人民币汇率指数编制及其与宏观经济变量的联动分析

本文在总结国内外汇率指数编制经验教训的基础上，提出了人民币汇率指数编制的基本理论与方法，设计了一套能全方位多角度反映我国在不同市场特征下进出口竞争力状况的包含人民币发达市场汇率指数、人民币新兴市场汇率指数和人民币全市场汇率指数的指数体系编制方案。具体编制时，本文首次引入“第三方市场效应”，以全面反映我国与其他经济体之间的竞争关系，并首次使用“除数修正法”，对指数因成分货币或权重调整引起的非汇率价格因素变动进行修正，以保证指数的连续性。最后，用交叉谱分析实证发现，相对于国内外其他人民币汇率指数，本文编制的人民币汇率指数与主要宏观经济变量之间存在更强的一致性和不同情形的领先响应关系，联动更为紧密。

Linkage Analysis of the Compilation of RMB Exchange Rate Index and its Macroeconomic Variables

Based on the experience of domestic and foreign exchange rate compilation, this study proposes the theory and method for compiling the RMB exchange rate index and designs a comprehensive multi-angle programming of the RMB exchange rate index system, which includes the RMB developed market index, RMB emerging market index and RMB whole market index. This system can also be used as an important tool for understanding and grasping our country’s import and export competitive conditions under different characteristic markets. When compiling the RMB exchange rate index, for the first time, we introduce the third-party market effect to reflect the competitive relationship between our country and other economies, and also for the first time, we introduce the divisor adjustment method to guarantee the continuity of the index which is often demolished by the adjustment of index ingredients currency and weight. Finally, by using the cross-spectral analysis method, we find that comparing to the other RMB exchange rate index there are stronger consistency relations and certain leading-responding relationships between the RMB exchange rate index we have built and the main economic indicators, hence the co-movement relationships between are much closer.