摘要
本文采用非线性Fourier函数方法分析了2005年7月份以来,人民币对美元及非美元货币(欧元、日元)汇率之间的关系。协整检验分析结果显示,人民币对美元、欧元、日元汇率与物价水平之间存在协整关系,且具有非线性特征;向量误差修正模型分析结果显示,短期内人民币对欧元、日元汇率向长期均衡汇率调整值大于人民币对美元汇率的调整值,且人民币对美元、欧元汇率的短期调整具有非线性波动特征;脉冲响应函数分析结果显示,中国物价水平升高,推动了人民币对美元、日元升值,但减缓了人民币对欧元升值。
This paper analyzed the relationship of RMB and USA dollar and non-usa dollars（Euro、Japan yen）exchange rates use nonlinear Fourier function method since July,2005.Co-integration test analysis indicated RMB and Usa dollar、Euro、Japan yen exchange rates have cointegration relationship and nonlinear characters;VECM indicated the size of short term RMB and Euro、Japan yen exchange rate adjust to the long equilibrium exchange rates is bigger than RMB and Usa dollar exchange rate,and the processes of adjustment between RMB and Usa dollar、Euro have nonlinear fluctuation characters;IRF indicated the inflation in China promoted RMB appreciation toward Usa dollar and Japan yen,and slow down RMB appreciation toward Euro.
出处
《国际金融研究》
CSSCI
北大核心
2012年第2期16-23,共8页
Studies of International Finance
