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本文根据货币供给分解和银行信贷供给的最优化,以及总需求和总供给均衡,建立了人民币实际汇率的理论模型。本文实证结果显示实际汇率、名义汇率、贷款利率、外汇储备、劳动生产率和美国物价水平之间存在长期的协整关系,误差修正模型显示实际汇率受到冲击以后,以14.07%速度向均衡回复。最后本文引入外汇市场压力指数,考察人民币实际汇率变动,实证结果显示外汇市场压力对实际汇率有显著负的影响。
Based on the optimization of the supply of money and the supply of bank credit, as well as the equilibrium between aggregate demand and total supply, this paper establishes a theoretical model of RMB real exchange rate. The empirical results show that there is a long-term co-integration relationship between the real exchange rate, nominal exchange rate, lending rate, foreign exchange reserve, labor productivity and the price level in the United States. The error correction model shows that the real exchange rate will rebalance to 14.07% after the real exchange rate is hit. Finally, this article introduces the pressure index of the foreign exchange market to examine the real exchange rate changes of Renminbi. The empirical results show that the pressure of the foreign exchange market has a significant negative impact on the real exchange rate.