摘要
外汇的稳定对于一国经济而言至关重要,稳定的汇率往往体现为汇率的波动性较低,交易量越活跃的货币其汇率的波动幅度也越小。人民币有效汇率自汇率并轨改革以来经历了不同的发展阶段,呈现出时变的波动特征,这为人民币汇率的趋势预测与分析工作造成了一定的困扰。本文选取三区制MSVAR模型,对不同状态下人民币有效汇率的时变波动进行分析,发现人民币实际有效汇率短期波动存在显著的非对称性,长期存在"外升内贬,外贬内升"的现象,并且人民币实际有效汇率存在显著的"快涨慢跌"特征。
The stability of foreign exchange is very important to a country’s economy.A stable exchange rate is often reflected in the lower exchange rate volatility. The more active the trading volume, the smaller the exchange rate volatility. The effective exchange rate of RMB has gone through different stages of development since the reform of exchange rate unification, showing the characteristics of time-varying fluctuations,which has caused troubles for the forecast and analysis of the trend of RMB exchange rate. This paper selects the three-region MSVAR model to analyze the time-varying fluctuations of the effective exchange rate of the RMB under different conditions, and finds that the short-term fluctuations of the effective exchange rate of the RMB have significant asymmetry. There has been a long-standing phenomenon of "External appreciation and internal devaluation, external devaluation and internal appreciation ",and the real effective exchange rate of the RMB exchange rate has obvious characteristics of "rapid rise and slow fall".
作者
吴航宇
WU Hang-yu(School of Economics,Shenzhen University,518000,Shenzhen,Guangdong,China)
出处
《特区经济》
2020年第10期48-53,共6页
Special Zone Economy
基金
国家自然基金(71773079)“中国非线性、非对称型货币政策的规则的识别及形成:理论模型与计量框架”。
关键词
人民币实际有效汇率
汇率时变波动
MSVAR
RMB Real Effective Exchange Rate
Time-Varying Exchange Rate Fluctuation
MSVAR
