关键词: 人民币汇率指数, 第三方市场效应, 除数修正法, 交叉谱分析

Abstract: Based on the experience of domestic and foreign exchange rate compilation, this study proposes the theory and method for compiling the RMB exchange rate index and designs a comprehensive multi-angle programming of the RMB exchange rate index system, which includes the RMB developed market index, RMB emerging market index and RMB whole market index. This system can also be used as an important tool for understanding and grasping our country’s import and export competitive conditions under different characteristic markets. When compiling the RMB exchange rate index, for the first time, we introduce the third-party market effect to reflect the competitive relationship between our country and other economies, and also for the first time, we introduce the divisor adjustment method to guarantee the continuity of the index which is often demolished by the adjustment of index ingredients currency and weight. Finally, by using the cross-spectral analysis method, we find that comparing to the other RMB exchange rate index there are stronger consistency relations and certain leading-responding relationships between the RMB exchange rate index we have built and the main economic indicators, hence the co-movement relationships between are much closer.

Key words: RMB Exchange Rate Index, Third-party Market Effect, Divisor Adjustment Method, Cross-spectral Analysis