商业研究

商业研究

• 商经理论 • 上一篇    下一篇

“浮动恐惧”还是趋势性贬值？ —— “8.11”汇改以来人民币汇率贬值机制分析

田涛1，许泱1，李敬云2   

  1. （湖北科技学院 1.经济与管理学院；2.图书馆，湖北 咸宁 437100）
  • 收稿日期:2020-07-09 出版日期:2020-10-19
  • 作者简介:田涛（1979-），男，湖北仙桃人，湖北科技学院经济与管理学院副教授，经济学博士，研究方向：国际金融与国际宏观经济学；许泱（1981-），本文通讯作者，男，湖北咸宁人，湖北科技学院经济与管理学院副教授，经济学博士，研究方向：经济统计与计量分析；李敬云（1968-），女，武汉人，湖北科技学院图书馆馆员，研究方向：图书情报学。
  • 基金资助:
    教育部人文社会科学研究青年基金项目，项目编号：17YJC630191;湖北科技学院校内科研发展基金国家级科研培育计划项目，项目编号2020-22GP09。

“Fluctuation Fear” or Trend Devaluation?An Analysis of RMB Exchange Rate Depreciation Mechanism since the “8.11”Exchange Rate Reform

TIAN Tao1,XU Yang1,LI Jing-yun2   

  1. (1.School of Economics and Management, Hubei University of Science and Technology, Xianning 437100,China;2.Library of Hubei University of Science and Technology, Xianning 437100, China)
  • Received:2020-07-09 Online:2020-10-19

摘要： 本文采用Beveridge和Nelson提出的对非平稳时间序列进行分解的方法，将“8.11”汇改以来人民币实际有效汇率指数分解为确定性趋势成分、随机趋势成分和周期成分，以研究人民币汇率形成机制。确定性趋势分析表明，尽管“8.11”汇改以来人民币汇率整体呈现贬值态势，但是人民币实际有效汇率指数的非趋势平稳特征、人民币实际有效汇率波动范围以及中国宏观经济基本面三方面研究表明人民币汇率并存在长期持续贬值趋势；中国经济进入“新常态”、美国经济强劲复苏以及美元进入加息通道是导致人民币持续贬值的主要原因，而市场情绪的顺周期性则加剧了人民币汇率下行压力；人民币汇率周期成分和随机趋势成分研究表明“8.11”以来人民币汇率对各种外在随机冲击的反应比较敏感，人民币汇率双向波动呈现常态化态势，市场力量在人民币汇率形成机制过程中的作用不断增强。

关键词: “8.11”汇改, 人民币汇率, B-N分解

Abstract: Using the method of decomposing non-stationary time series proposed by Beveridge and Nelson, the real effective exchange rate index of RMB is decomposed into deterministic trend component, random trend component and periodic component since the “8.11” exchange rate reform to study the formation mechanism of RMB exchange rate.The deterministic trend analysis shows that although the RMB exchange rate has been devalued since the “8.11” exchange rate reform, the non-trend stationary characteristics of RMB real effective exchange rate index, the fluctuation range of RMB real effective exchange rate and China′s macroeconomic fundamentals show that the RMB exchange rate does not show a long-term depreciation trend;that China′s economy has entered a “new normal” economy, the strong recovery of the US economy and the US dollar′s entry into the interest rate increase channel are the main reasons for the continuous depreciation of RMB, while the pro cyclical nature of market sentiment aggravates the downward pressure on the RMB exchange rate;research on the cyclical components and stochastic trend components of RMB exchange rate shows that the RMB exchange rate has been more sensitive to various external random shocks since “8.11”,the two-way fluctuation of RMB exchange rate presents a normalized trend, and the role of market forces in the formation mechanism of RMB exchange rate is increasing.

Key words: “8.11” exchange rate reform, RMB exchange rate, B-N decomposition