人民币汇率风险及其非对称性的实证研究

2008年以来,人民币进入加速升值阶段,影响了国内各经济行业。为定量刻画汇率波动尤其是人民币升值对经济的影响,本文运用汇率风险不对称模型,分离汇率升值和贬值的不同效应,明确升值背景下各行业的汇率风险。实证结果表明,风险不对称现象很普遍,且多数行业在升值时的风险系数都为负数,说明名义与实际汇率的升值的确对经济行业产生了一定的负面影响。

Empirical Analysis on RMB Exchange Rate Exposure and its Asymmetric Nature

From the year of 2008 on,the appreciation of RMB has speed up and various domestic industries have been affected greatly. In this paper, we quantified the exchange rate exposure by asymmetric model in order to describe exchange rate exposure and its effects to economy in China. The empirical results show that asymmetric exposure is prevalent.Moreover,the negative sign of appreciation regression parameters illustrates that the appreciation of RMB exchange rate have negatively affected the value of industries.