汇率弹性、货币篮设计与政策实效分析
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| Title | Estimating and Testing the Optimal Currency Baskets in China--PMG dynamic panel ECM
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| 作者 | 张晓莉 刘啟仁 |
| Author | Zhang Xiaoli and Liu Qiren |
| 作者单位 | 上海对外贸易学院 国际经贸学院 |
| Organization | Shanghai Institute of Foreign Trade |
| 作者Email | zxl-mailbox@163.com; liuqiren@126.com |
| 中文关键词 | 货币篮 汇率制度 最优货币权重 协整面板 PMG |
| Key Words | Currency Basket; Exchange Rate Regime; Optimal Currency Weight; Cointegrated Panel; PMG |
| 内容提要 | 2005年以来我国实行有管理的浮动汇率制度，该制度的核心为货币篮，货币篮的有效构建能够为我国稳健地增强汇率弹性奠定基础。本文设定政府目标函数为最小化外部账户波动，采用收支平衡模型推导出最优货币篮构建公式，并模拟出我国最优货币篮倾向于由美元、欧元、日元组成，其中美元权重约为40%。本文采用PMG方法对动态误差修正模型进行估计，评估我国货币篮政策的实际绩效，计量出采用货币篮政策前后我国进出口对汇率波动的短期和长期敏感性的变化，结论表明货币篮的缓冲作用显著，其中汇率对出口的冲击减缓平均2.897个百分点，对进口的冲击减缓平均4.722个百分点。 |
| Abstract | Since 2005, China deploys a currency basket as a reference unit for monitoring exchange rate changes and as an anchoring mechanism for the formation of the central parity. Designing an appropriate weighting scheme can also enhance the fundament to increase exchange rate volatility in further exchange rate reforms. We derive the optimal currency basket in terms of its contribution to minimize the fluctuation of China’s external account and find that it is best for China to form a currency basket that leans towards the dollar, the euro and Japanese yen, with the dollar taking up about 40% of the total weight. Then we employ pooling mean group(PMG) method to estimate the dynamic ECM panel data model, and figure out whether china’s currency basket policy has already met its objection, the result robustly shows its effect on minimizing the sensibility of china’s export and import to exchange rate. |
| 文章编号 | WP112 |
| 登载时间 | 2011-08-30 |
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