人民币汇率适度弹性 —基于中美贸易的频域估计
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| Title | RMB Exchange Rate Appropriate Flexibility: Evidence from Frequency-domain Analysis of Sino-US Trade
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| 作者 | 刘啟仁 黄建忠 |
| Author | Liu Qiren and Huang Jianzhong |
| 作者单位 | 厦门大学经济学院 |
| Organization | XIAMEN UNIVERSITY |
| 作者Email | liuqiren@126.com；Jzhuang170@126.com |
| 中文关键词 | 汇率弹性 频域 贸易收支 人民币升值 |
| Key Words | Exchange Rate Floating; Frequency-domain; Sino-US trade; RMB appreciation |
| 内容提要 | 本文从汇率市场形成机制改革带来的汇率与贸易收支互动机制出发引出频域分析的必要性，并结合贸易收支稳定的政策目标，基于频域分析人民币汇率增强弹性的合意性及波动模式的适度区间。选取中美贸易的80个细分行业月度数据，采用“移动窗口单向带通滤波”技术分频量化出汇率冲击的集中域，结果表明：人民币升值的低频和极端高频波动是对贸易收支产生不利冲击的集中域，而保持1.5-2.5频率的适度弹性模式有利于规避汇率波动对贸易收支的不利冲击，经“总量”和“跨行业”频域格兰杰检验该结论均稳健。因此，我国需引入市场机制促使人民币由过去的持续升值模式转变到适当地双向弹性浮动模式，同时避免汇率过度波动。 |
| Abstract | This paper proposes a new analysis of RMB exchange rate floating model in frequency domain. Using 2002M1-2012M2 Sino-US industry-level panel data, we present evidence of “frequency dependence” in the classic elasticity analysis model developed by Goldstein & Kahn (1985). To avoid the feedback of exchange rate series, we apply moving window one-sided bandpass filters to partial the exchange rate series into 19 different frequency components. Through pooled OLS, random effect and fixed effect estimation, we find significant negative exchange rate volatility shocks in low-frequency and extreme high-frequency domain, however, moderate-frequency exchange rate volatility are favorable for Chinese currency account. Consequently, total amount and cross-industry frequency-domain granger test confirm robustness of the former estimation results. So China needs to introduce market mechanisms to cultivate exchange rate volatility, however, fierce volatility should be controlled, Generally, keeping RMB exchange rate volatility at 1.5-2.5 frequency(say 2.5 to 4 months period) is favorable for the stability of Chinese currency account. |
| 文章编号 | WP592 |
| 登载时间 | 2014-01-27 |
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