Empirical Research on RMB Equilibrium Exchange Rate - Analysis and Forecast Based on Multivariable VAR Model

Wang Ya-jie, Zhao Xin, Han Jian-guang
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引用次数: 1

Abstract

Since the implementation of the new mechanism of RMB exchange rate in 2005, its revaluation has been anticipated. The issue of RMB exchange rate still is the focal point of various circles. How much space there is for the revaluation, and how far is it away from the equilibrium level? These questions were explored in this paper through application of the new approach of studying equilibrium exchange rate - the behavior equilibrium exchange rate (BEER) analysis method. Also the RMB's exchange rate level was discussed and the trend of RMB equilibrium exchange rate was forecasted under the pulse function in the VAR model system, and accordingly the corresponding policy proposals were put forward
人民币均衡汇率实证研究——基于多变量VAR模型的分析与预测
自2005年人民币汇率新机制实施以来,人民币升值一直是市场预期。人民币汇率问题仍然是各界关注的焦点。升值的空间有多大?距离均衡水平有多远?本文运用均衡汇率研究的新方法——行为均衡汇率分析法对这些问题进行了探讨。并对人民币汇率水平进行了探讨,在VAR模型系统的脉冲函数下预测了人民币均衡汇率的走势,并提出了相应的政策建议
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