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实际有效汇率最能准确反映一国的汇率水平。“中国大宗商品价格指数”涵盖了9大类别共26种商品,能够最全面和准确地反映中国大宗商品的价格情况。本文运用多元协整模型、误差修正模型以及脉冲响应函数等多种分析方法,对人民币兑美元实际有效汇率与中国大宗商品价格指数之间的联动关系进行实证分析,结果表明,各类产品价格与人民币汇率之间的关系差异性很大,尤其值得关注的是能源和农产品价格与人民币汇率存在着长期的协整关系,而且农产品价格与人民币汇率互为格兰杰因果关系。
The real effective exchange rate can most accurately reflect the exchange rate of a country. “China Commodity Price Index ” covers a total of 26 kinds of goods in 9 categories, which can most fully and accurately reflect the price of Chinese commodities. This paper uses multiple cointegration models, error correction models and impulse response functions and other analysis methods to carry out an empirical analysis of the linkage between the real effective exchange rate of RMB against the US dollar and China’s bulk commodity price index. The results show that all kinds of product prices The relationship between RMB exchange rates is very different. Of particular concern is the long-term cointegration relationship between the prices of energy and agricultural products and the exchange rate of RMB, and the exchange rate between agricultural products and RMB is Granger causality.