统计研究 ›› 2010, Vol. 27 ›› Issue (4): 89-95.

• 论文 • 上一篇    下一篇

基于OR分析框架的人民币汇率评估

彭国富 蔡扬扬   

  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2010-04-15 发布日期:2010-04-15

The Appraisal of Exchange Rate of RMB Based on OR Analytical Framework

Peng Guofu & Cai Yangyang   

  • Received:1900-01-01 Revised:1900-01-01 Online:2010-04-15 Published:2010-04-15

摘要: 本文在Obstfeld和Rogoff (1995) (OR)标准模型的分析框架下,构建出了基于分部门的、微观的、动态的、居民跨期消费效应最大化的均衡汇率决定模型。根据该理论模型的非线性和动态特点,设计了一个向量自回归(VAR)模型,实证分析了历年来人民币对美元的名义汇率是否合理。

关键词: 均衡汇率, 跨期消费, 向量自回归(VAR), 合理性评价

Abstract: In this paper, based on the standard model framework proposed by Obstfeld and Rogoff (1995) (OR),we build a decisive model of equilibrium rate of exchange decision in consideration of sector microeconomic dynamic and maximizing the utility of intertemporal consumption of residents. Based on the theoretical model, we design a Vector Autoregression Model and make empirical analysis to understand whether the nominal exchange rate between the RMB and US dollar is reasonable or not over the past few years. 

Key words: equilibrium rate of exchange, Intertemporal consumption, Vector Autoregression, reasonable analysis