【作者】 陈海霞；

【导师】 徐广军； 张永军；

【作者基本信息】 北京化工大学 ， 技术经济及管理， 2007， 硕士

【摘要】 近年来，我国贸易顺差逐年扩大，不断创出新高，主要贸易伙伴要求人民币升值的呼声越来越高，中国政府面临的因贸易顺差过大造成的问题越来越多。2006年—2007年，人民币对美元不断创出新高，但真正影响我国国际收支的是人民币实际有效汇率，要想正确分析汇率变动对我国出口的影响，首先应对人民币实际有效汇率进行正确的测算。目前，国际货币基金组织(IMF)定期公布成员国的实际有效汇率数据，但它是如何测算人民币实际有效汇率指标的，国内还没有相关的研究。鉴于汇率指标对我国外贸发展的重要性，本文对测算人民币实际有效汇率的方法进行了探索，以期找到与IMF相近的测算方法，从而可以预先对汇率变动情况采取有效的应对措施。最后，我们以测算所得的人民币实际有效汇率为核心，对我国外贸变动进行了实证分析。本文在详细介绍汇率决定理论和国际收支调节理论的基础上，分别运用算术加权平均法和几何加权平均法，测算了在贸易权重分别为出口额、进口额和进出口额，样本货币分别为10、15、20的情况下，人民币实际有效汇率的18种结果。通过对18种结果的比较分析，得出与IMF相关度极高的人民币实际有效汇率的测算方法。目前，这一方法已经被国家信息中心预测部采纳，用于测算人民币有效汇率的月度数据。根据测算结果，我们分析了人民币实际有效汇率的变动情况，并利用计量经济学软件Eviews3.1，通过ADF单位根检验、Granger因果关系检验和协整检验，建立了中国实际出口额、人民币实际有效汇率和贸易伙伴的实际GDP之间长期稳定的协整模型、误差修正模型。并就人民币实际有效汇率和贸易伙伴GDP的冲击对我国出口的影响进行了脉冲响应分析。更多还原

【Abstract】 In recent years, with the trade surplus of China continuously increasing every year, our trade partners are pushing for the appreciation of RMB. The government of China is facing more and more problems due to trade surplus. The exchange rate of RMB to US dolor is keeping increasing during 2006 - 2007. But what really influences our balance of payments is the real effective exchange rate of RMB(REER). To accurately analyze the effects of REER on our export, it is essential to accurately calculate REER. Currently, the real effective exchange rates of various countries are published by International Monetary Fund (IMF), but it is not clear to us how they calculate REER. Due to the importance of REER to our foreign trade development, the calculation methods of REER were explored in this dissertation to find the approximately same method as IMF. Effective measures will be taken in advance before the change of exchange rate if we know about the approximately method of IMF. The correlation between the change of our exports and the change of exchange rate was analyzed based on the calculations.The theories of exchange rate determination and adjustment of balance of payments were elaborated in this dissertation. With extensive calculation, 18 results of REER, which were yielded by arithmetic and geometric weighted average calculations based on export, import and import-export with sample currencies of 10, 15, 20 respectively, were comparatively analyzed and a method highly related to IMF was determined. Currently, this method was adopted by State Information Centre to calculate monthly REER. Based on calculations, the change of REER was analyzed and variables in model were passed the augmented Dickey-Fuller (ADF) test , Granger causality test and cointegration tests by Eviews3.1. A long-term stable cointegration model was established among the real export of China, REER and real gross domestic product (GDP) of our trade partners. We also analyzed error correction model and the response of export to REER and GDP.更多还原