汇率制度外生性检验——基于人民币实际有效汇率的分析*

郑建明1 张海森1 李文锋2

（1.对外经济贸易大学；2.商务部）

 

【摘要】本文通过构建条件ECM模型对人民币汇率与宏观经济变量关注参数的内生性或外生性进行检验，结果表明，人民币实际有效汇率贬值从总体上有利于GDP的增长，但是由于人民币实际有效汇率具有弱外生性、强外生性和超外生性，汇率制度缺乏弹性不利于我国国民经济的发展。加快人民币汇率形成机制的市场化进程，是大势所趋。

关键词 实际有效汇率，外生性检验，误差修正模型

中图分类号：F064.1                       文献标识码：A

 

Exogeneity Test of Exchange Rate System: Analyse Based on RMB Real Exchange Rate

Zheng Jianming   Zhang Haisen   Li Wenfeng

Abstract: Based on Error Correction Model, this paper is to testify the exogenoeity of RMB exchange rate in China. Our study shows that although depreciation of real exchange rate of RMB may benefit the growth of GDP, but RMB exchange rate is weak exogenous and superexogenous of the parameter of GDP. The market-oriented and internationalization reform will be favored for the development of China’s economy.

Key words: Real Exchange Rate(REER), Exogeneity test, Error Correction Model(ECM)

JEL classification: F064.1

 

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