中国产业结构调整对汇率变动的冲击效应分析

转轨时期中国产业结构的升级可能会影响人民币汇率调整路径。本文运用Blanchard&Quah提出的对结构性冲击影响进行长期约束的方法,在实际冲击与名义冲击的基础上,进一步分析了产业结构调整对人民币汇率的冲击效应。结果表明,产业结构调整是影响人民币汇率变动的一个重要来源,并且产业结构调整对人民币汇率变动的冲击效应具有明显的结构性特征。实际有效汇率和名义有效汇率波动吸收第一、第二、第三产业和非农产业变化冲击的时期大体相同,分别为4、9、10和4个季度(期),但相较于对实际有效汇率的冲击,各产业结构调整对名义汇率的冲击效应更为显著,服务业的发展有利于弱化制造业和农业发展对人民币汇率的升值压力。

Research on the Shocks of Industrial Adjustment on the Exchange Rate Movements in China

During the transition period,China’s industrial structure upgrading may affect the path of the RMB exchange rate Movements.This paper follows the method of Blanchard and Quah(1989)under which the long-run effect of the shocks could be controlled and analyzes the dynamics effects of industrial adjustment on RMB exchange rate movements based on real shocks and nominal shocks decomposition.The results present evidence that industrial adjustment is an important source of RMB exchange rate movement,which incorporates obvious structural characteristics.Both real and nominal effective exchange rate fluctuations could absorb the shocks exerted by the primary,secondary,tertiary and non-agricultural industries and the time consumed to absorb all the shocks in the four industries are roughly the same,standing at 4,9,10 and 4 quarters respectively.Compared to the real effective exchange rate,the industrial adjustment may exert more significant shocks on the nominal effective exchange rate.The development of the service sector may help relieve the appreciation pressures on the RMB exchange rate.