金融理论与实践
金融理論與實踐
금융이론여실천
Financial Theory and Practice
2008年
4期
74~77
,共null页
外汇储备 人民币实际有效汇率 协整关系 误差修正模型
外彙儲備 人民幣實際有效彙率 協整關繫 誤差脩正模型
외회저비 인민폐실제유효회솔 협정관계 오차수정모형
Foreign Exchange Reserve; RMB Real Effect Exchange Rate; Co-Integration Relationship; Error-Correct Model
本文利用1999-2007年的月度数据为样本，通过协整模型和误差修正模型对我国外汇储备的长期均衡关系和短期动态关系进行了实证研究，并发现人民币实际有效汇率、进出口贸易总额、社会商品零售总额与我国外汇储备额之间存在长期协整关系。而短期内，外汇储备的影响因素主要是进出口贸易总额。
本文利用1999-2007年的月度數據為樣本，通過協整模型和誤差脩正模型對我國外彙儲備的長期均衡關繫和短期動態關繫進行瞭實證研究，併髮現人民幣實際有效彙率、進齣口貿易總額、社會商品零售總額與我國外彙儲備額之間存在長期協整關繫。而短期內，外彙儲備的影響因素主要是進齣口貿易總額。
본문이용1999-2007년적월도수거위양본，통과협정모형화오차수정모형대아국외회저비적장기균형관계화단기동태관계진행료실증연구，병발현인민폐실제유효회솔、진출구무역총액、사회상품령수총액여아국외회저비액지간존재장기협정관계。이단기내，외회저비적영향인소주요시진출구무역총액。
Based on the monthly data during 1999-2007, we empirically studied the short-term dynamical relationship and long-term equilibrium relationship of China＇s foreign exchange reserve using the co-integration model and error-correct model. We found that there is a long-term co-integration relation among RMB real effect exchange rate, aggregate import and export, aggregate social commodity retail, and China＇s foreign exchange reserve. Whereas, the major influence factor of foreign exchange reserve is aggregate import and export.
