【摘要】 2015年8月11日，中国人民银行发布关于完善人民币兑美元汇率中间价报价的声明后，人民币汇率的波动幅度增大，双向波动特征逐渐显著，与世界主要货币的联系日益密切。基于集合经验模态分解方法，对货币序列进行有效分解与重构，以提取最适合表达汇率序列波动特征的短期波动项，并进一步采用动态溢出和复杂网络的方法，从“811汇改”前后人民币汇率短期波动项的溢出强度和方向两个维度，定量考察此次汇改的成效。结果表明：“811汇改”对人民币汇率对外溢出指数和净溢出指数的影响都是短期的，波动溢出效应有限；人民币国际化水平仍需进一步提高，反映出汇率制度改革的复杂性，由此提出相应建议。更多还原

【Abstract】 On August 11, 2015, the People’s Bank of China issued a statement to initiate a reform of the quotation mechanism for the exchange rate of the RMB against the US dollar. After the exchange rate reform, the volatility of the RMB exchange rate has increased, the two-way fluctuation characteristics have gradually become prominent, and the connection with the world’s major currencies has become increasingly close. In this paper, currency exchange rate is decomposed and reconstructed based on the Ensemble Empirical Mode Decomposition(EEMD), and the short-term fluctuation used to represent the fluctuation characteristics of the exchange rate series is extracted. The spillover degree and direction of short-term fluctuations in RMB exchange rate before and after “811 Exchange Rate Reform” is measured by dynamic spillover and network topology, to quantify the effect of this reform. The results show that “811 Exchange Rate Reform” has short-term impact on both the external spillover index and the net spillover index of RMB exchange rate. Volatility spillover effect is limited, and the level of RMB internationalization still needs to be further improved. Considering the complexity of the reform of the exchange rate system, this paper puts forward some corresponding suggestions.更多还原