人民币汇率变动研究①

©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,,,;,,,,,,,F015AStudiesontheRMBExchangeRateMovementAbstract:RMBappreciatesordevaluesagainstUSdollaralittle,butRMBoftenmovesinanoppositedirectionagainstnon2USdollar1WehardlyjudgetheRMBcurrencyvaluebasedonthis1ThepapermainlystudiestheexchangeratesofRMBagainstUSdollarandnon2USdollar,andthenfocusesontheRMBeffectiveexchangerate1TheauthorthinksRMBexchangeratetargetpresentlyfocusesontheexchangerateofRMBagainstUSdollar,soRMBexchangeratemoveslargelyagainstnon2USdollar1HencethepaperindicatesifthecentralbanktargetsRMBeffectiveexchangerate,themiddlepriceofRMBexchangerateagainstUSdollarcanbedetermined,andfurtherwecanobtainRMBexchangerateagainstUSdollarwithreferencetoabasketofcurrencies1Keywords:RMB;USDollar;non2USDollar;ExchangeRate;EffectiveExchangeRateIndex3(70673011)(2008BJB024),,©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2008),(2008),(2009),,,2008730,,,,,(2007)2002120066,BIS(2005),,,IMF(2005),,,(2002),,,,(1999)19971141117,1241125,(2008)(2008),Zanello(1997)IMFBayoumi(2005)19992001IMF420097©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2006),Leahy(1998)Loretan(2005);ECB(2004a2004b);LynchWhitaker(2004);BankofJapan(2005);HargreavesWhite(1999)White(1997),,,,,,,;,,,,,,,20088,,?,2008,,,,,2008110414912118105,12197%,,,,,,,,,,,,,,,,,,,;,,,,,,2008,,20089,,,,5©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(1)1:©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),(),,;,,,,,,,,;,,20079,,,,,20084221:1160,199920088,,,,,,,,,,,,200811,200927870,,,,,,,,,,,,,,,20087,,,2008,(2),,,,2008,,,,,,,,,,,,,7©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(3)3,,,2008,,,,20087,,,,,,,,,820097©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(4)4,,,,,,,,,,,,,,,,,S1/,S2/,S3/,:S1/3S2/3S3/=1,,:,,,:9,,,©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=0,0,:dS3S3=-dS1S1-dS2S2(),(),:dS1S1=,dS2S2=,0,0,0,0:dS3S3=--,1dS3S3=--0,;dS3S3=--0,(1),1:1,,,1=0,0dS3S3=-(+)0dS3S3=-(+)0dS3S3=-(+)00,0dS3S3=-(-)0dS3S3=-000,0dS3S3=-0dS3S3=-(-)000,0dS3S3=+0dS3S3=+0dS3S3=+02005721,,3,2005923,,,115%3%2007521,35,,5,,,,0120097©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=1,S2=1S1S3,,S2x,:S2(1+x)=(1+0103)S1(1-01005)S3,x=010351S2y,:S2(1-y)=(1-0103)S1(1+01005)S3,y=010349S1[S1(1-01005),S1(1+01005)],1/S3[1/S3(1-0103),1/S3(1+0103)](S3[S3/(1+0103),S3/(1-0103)]),S2[S2(1-010349),S2(1+010351)],,,,2:S2[-010349,010351],,,,,,AB,C,,,,,(EffectiveExchangeRate),,,,,,,,,,,:NEERt=NEERt-1ni=1(Si,t/Si,t-1)wi,t,NEERtt,NEERt-1t-1,Si,tti(),Si,t-1t-1i,wi,ttin:S1,t=eŠS1-t,S2,t=eŠS2-(+2)t,,Sn,t=eŠSn-(+n)t,S1,tt,S2,t,,Sn,tn-1,(),i(i1)i(),eŠSii()11,Loretan(2005),MarcSan(2006),ECB(2004a)©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=NEERt-1(eŠS1-t/eŠS1-(t-1))w1,t(eŠS2-(+2)t/eŠS1-(+2)(t-1))w2,t(eŠSn-(+n)t/eŠSn-(+n)(t-1))wn,t=NEERt-1e--(2w2,t++nwn,t)=NEERt-1e--=(2w2,t++nwn,t)n-1,:NEERt=NEER0(e€)t,€=--,:lnNEERt=lnNEER0+ln(e€)t=lnNEER0+t€:dlnNEERt=dlnNEER0+d(t€)dNEERtNEERt=€=--dNEERtNEERt=--0,;dNEERtNEERt=--0,3:€,(2),(BIS),BIS5,,2=0,0dNEERtNEERt=-(-)0dNEERtNEERt=-(+)0dNEERtNEERt=-(+)00,0dNEERtNEERt=-(-)0dNEERtNEERt=-000,0dNEERtNEERt=-0dNEERtNEERt=-(-)000,0dNEERtNEERt=+0dNEERtNEERt=+0dNEERtNEERt=+02120097©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(2005=100),,(IMF),:;,,1998,1997015%,,26;1%,,20068,100=797141458,100=10201928,100=61882175,100=10215455,100=15081507BIS,:21,1814,1618,018,311,6011%,,,1,:013494,013061,012795,010133,01051531,,,(thebroadindex)(themajorcurren2ciesindex)(theotherimportanttradingpartners,OITAP)Loretan(2005)200681BIS,19931995199619981999200120022004,,,,2008,20022004,IBS2005200720052007BISTurner(1993)©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=NEERt-1ni=1(Si,t/Si,t-1)wi,t=NEER0ni=1(Si,t/Si,0)wi,t=100ni=1(Si,t/Si,0)wi,t:NEERt=1005i=1(Si,t/Si,0)wi,t=100(S1,t)013494(S2,t)013061(S3,t)012795(S4,t)010133(S5,t)0105150112540134940109790130611415302012795019751010133010662010515,200681(6)4:5,,,6:2006812009430,20068=1006,2008,5,,4BIS(5),,,,,,,,,,,,,,,,,,,,4120097©1994-2009ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:NEERt=NEERt-1ni=1(Si,t/Si,t-1)wi,t=100ni=1(Si,t/Si,0)wi,t=100S1,tw1,t(S1,tX2,t)w2,t(S1,tX3,t)w3,t(S1,tXn,t)wn,tS1,0w1,t(S1,0X2,0)w2,t(S1,0X3,0)w3,t(S1,0X