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人民币汇率的内在形成机制：基于非参数时变系数的估计方法

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  • 方颖
  • 梁芳
  • 牛霖琳

Abstract

2005 年7 月21 日, 中国人民银行宣布人民币从长期钉住单一美元的固定汇率制度转向以市场供求为基础，以一篮子货币为参考的有管理的浮动汇率制度。本文将Frankel和Wei (2007) 和非参数时变系数模型相结合，估计一篮子货币中包括美元在内的各主要货币在决定人民币汇率时潜在的时变权重。利用时变权重中所包含的丰富信息，我们进一步分析影响美元权重的主要经济因素，发现人民币对美元的非交割远期合约（NDF）和中国对美国的贸易顺差都和美元权重呈负相关关系，而美国对中国的直接投资对美元权重的影响不显著。

Suggested Citation

  • 方颖 & 梁芳 & 牛霖琳, 2013. "人民币汇率的内在形成机制：基于非参数时变系数的估计方法," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    • Handle: RePEc:wyi:wpaper:002035
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    Keywords

    人民币汇率 时变系数模型 局部线性回归;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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