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題名 | 以VAR模型預測人民幣匯率之波動=Using VAR Model Predicted the Fluctuation in RMB |
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作者 | 倪仁禧; 吳明哲; 張萃貞; Ni, Jen-shi; Wu, Ming-che; Chang, Tsui-chen; |
期刊 | 中華管理發展評論 |
出版日期 | 20091200 |
卷期 | 1:2 2009.12[民98.12] |
頁次 | 頁175-190 |
分類號 | 563.2 |
語文 | chi |
關鍵詞 | 實質匯率; 釘住匯率; 人民幣; 自我迴歸向量; 共整合; Real exchange rate; Peg exchange rate; Renminbi; Vector of autoregressive; Cointegration; |
中文摘要 | 1997-8亞洲金融,亞洲各國貨幣大幅貶值,大陸人民幣釘住8.28兌一美元匯率。2008年以來全球金融風暴之後,人民幣維持6.8兌一美元。中國大陸2009年第一季外匯存底1兆9460億美元,為日本近二倍,貿易盈餘加資本流入,累積大量外匯存底形成外匯市場升值壓力。本文以人民幣兌美元匯率、貨幣供給、外匯準備及貿易條件等四變數VAR模型,透過Johansen's Maximum Likelihood共整合及誤差修正模型(VECM)被定。實證結果人民幣匯率受前一及前二期的匯率及前二期外匯準備影響。人民幣兌美元匯率受貨幣供給及外匯準備變動影響較為顯著。每增加1%貨幣供給將會使人民幣兌美元匯率下跌2.85%。外匯準備每增加1%將使人民幣兌美元匯率下跌4.6%,即人民幣兌美元值4.6%。貿易條件變動與人民幣兌美元匯率變動無顯著效果。人民幣實質有效匯率低於均衡匯率時,每期調整速度為0.18%回到均衡匯率。長期及短期均呈現貨幣供給及外匯準備對均衡匯率同方向的影響。 |
英文摘要 | As results of the collapsing of financial markets throughout Asian countries during 1997-98, most Asian countries experienced significant depreciations of their currencies. Yet the exchange rate of Renminbi has been fixed at 8.28 per U.S. dollar. During the global financial markets in 2008, the exchange rate of the Rmb remains fixing at 6.8 per U.S. dollar. The Chinese foreign exchange reserves reached almost 195 billion dollars, twice the size of Janpan's foreign reserve. The surpIus of foreign trade and the inflows of foreign capitals result in continuing increase in foreign exchange reserves which in terns cause appreciation pressures on the Rmb. There are four variables apply to analytic the real exchange rate of Rmb in this paper. Rmb, money supply, foreign exchange reserve, terms of trade between china and US. We used four variables to construct VAR model with Johansen's Maximum Likelihood function and VECM mode l. We founded the lag 1 and lag 2 of Rmb and lag 2 of the foreign exchange reserve have significant effect on Rmb. Increase 1% in money supply will cause to decrease 2.85% exchange rate in Rmb. Increase 1%in foreign exchange reserve will decrease4.6%exchange rate in Rmb. If real effect exchange rate under equilibrium rate, it will back to equilibrium rate on 0.18% per time. |
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