| 人民币汇率变动与实际产出——基于协整的VECM分析 |
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| 引用本文： | 朱永行.人民币汇率变动与实际产出——基于协整的VECM分析[J].上海金融,2011(7). |
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| 作者姓名： | 朱永行 |
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| 作者单位： | 复旦大学,上海,200433 |
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| 摘 要： | 本文通过协整分析和VECM检验表明，实际产出、出口额、实际利用FDI和人民币实际有效汇率四个指标变量之间存在长期均衡关系和短期动态关系。长期内人民币实际有效汇率与实际产出呈负相关关系，人民币实际有效汇率每上升1％，实际产出将下降0．26％。短期内，人民币实际有效汇率变化主要对出口产生冲击，并与出口、FDI一起对实际产出产生影响。
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| 关 键 词： | 人民币汇率 实际产出 协整 向量误差修正模型 |
The Change of RMB's Exchange Rate and Real Output--based on Co-integration Analysis and VECM |
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| Zhu Yonghang.The Change of RMB's Exchange Rate and Real Output--based on Co-integration Analysis and VECM[J].Shanghai Finance,2011(7). |
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| Authors: | Zhu Yonghang |
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| Institution: | Zhu Yonghang |
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| Abstract: | The article adopts co-integration analysis and VECM(Vector Error Correction Model) to demonstrate that there is long-term equilibrium and short-term dynamic relationship among four factors,which are real output,export,FDI in actual use and the real effective exchange rate of RMB.In the long run,the real effective exchange rate of RMB is negatively related to real output.For each 1% hike of the real effective exchange rate of RMB,real output will fall by 0.26%.In the short run,the change of real effective ex... |
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| Keywords: | The Exchange Rate of RMB Real Output Co-integration Vector Error Correction Model |
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