| 人民币汇率、升值预期与外汇储备相关性研究 |
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| 引用本文： | 黄寿峰,陈浪南.人民币汇率、升值预期与外汇储备相关性研究[J].管理科学学报,2011,14(3):60-72. |
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| 作者姓名： | 黄寿峰 陈浪南 |
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| 作者单位： | 黄寿峰,HUANG Shou-feng(厦门大学财政系,厦门,361005);陈浪南,CHEN Lang-nan(中山大学岭南学院,广州,510275) |
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| 基金项目： | 国家自然科学基金资助项目，北京大学汇丰金融研究院资助项目，中山大学"985工程"产业与区域发展研究创新基地资助项目，国家社科基金资助项目，广东省自然科学基金资助项目，广东省社科基金，广东省普通高校人文社会科学重点研究基地资助项目 |
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| 摘 要： | 在理论分析的基础上,采用结构变化单位根(ZA)检验对数据进行处理,运用结构变化协整(GH)检验实证研究人民币汇率、人民币升值预期与外汇储备之间的相关性.实证结果表明:人民币汇率(名义有效汇率及实际有效汇率)与外汇储备之间不存在普通意义上的协整关系;而人民币升值预期与外汇储备之间存在发生结构变化的长期协整关系,人民币升值...
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| 关 键 词： | 人民币汇率 人民币升值预期 外汇储备 结构变化单位根 结构变化协整 |
Investigations on the correlationships among RMB exchange rate,RMB appreciation expectations and foreign exchange reserves |
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| HUANG Shou-feng,CHEN Lang-nan.Investigations on the correlationships among RMB exchange rate,RMB appreciation expectations and foreign exchange reserves[J].Journal of Management Sciences in China,2011,14(3):60-72. |
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| Authors: | HUANG Shou-feng CHEN Lang-nan |
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| Institution: | HUANG Shou-feng1,CHEN Lang-nan2 1.Department of Public Economics,Xiamen University,Xiamen 361005,China,2.Lingnan College,Sun Yat-sen University,Guangzhou 510275 |
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| Abstract: | This paper employs structural break unit root ZA test and structural break cointegration GH test to investigate the correlationships among RMB exchange rate,RMB appreciation expectations and foreign exchange reserves based on the theoretical analysis.The results show that there is no simple cointegration between RMB exchange rate(nominal effective exchange rate and real effective exchange rate) and foreign exchange reserves,while there is a structural break cointegration relationship between RMB appreciatio... |
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| Keywords: | RMB exchange rate RMB appreciation expectations foreign exchange reserves structural break unit root structural break cointegration |
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