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自1994年人民币汇率改革以来,受人民币名义汇率、通货膨胀、国际间贸易等因素综合作用,人民币实际有效汇率(REER)存在着显著波动,并且它的变动与产出的变化间存在着一定的相关关系。本文试图寻找出潜在于两者关系中的可能性因素:(1)产出到实际有效汇率的逆向因果关系;(2)涉及第三因素的伪相关;(3)存在于中国经济中的“扩张性贬值”——长期与短期的均衡关系。通过建立一系列向量自回归(VAR)模型,可得出如下结论:人民币实际有效汇率升值具有紧缩性,但影响是短期的;长期,随着经济的增长,有效汇率有上升的趋势。
Since the RMB exchange rate reform in 1994, RMB real exchange rate (REER) fluctuates significantly due to the combination of the nominal exchange rate of RMB, inflation, international trade and other factors, and there is a certain relationship. This article attempts to find out the potential factors that exist in the relationship between the two: (1) the reverse causation of output to the real effective exchange rate; (2) the pseudo-correlation involving the third factor; (3) “Expansion devaluation” - long-term and short-term equilibrium relationship. Through establishing a series of vector autoregressive (VAR) models, we can draw the following conclusions: The real effective exchange rate of Renminbi has the contractility but its impact is short-term. In the long run, as the economy grows, the effective exchange rate tends to rise.