关键词: 汇率, 非对称冲击, 巴拉萨-萨缪尔森效应, 结构向量误差修正模型

Abstract: Based on the theory of exchange rate determination, this paper constructs the VAR model including the variables of the RMB exchange rate, the GDPs, the inflation rates and the interest rates of China and US. With the tools of structural VECM, we identify RMB exchange rate determination equation and RMB exchange rate pass-through effect equation, and analyze the impact effects of Sino-US underlying economic variables on RMB exchange rate in the long run. And this paper uses the tool of variance decomposition to judge the mechanism how RMB exchange rate absorb the asymmetric shocks resulting from US. The empirical results show that the higher output growth rate and inflation rate of China compared with the ones of US are the essential causes of RMB appreciation in the long-run, and the exchange rate pass-through effect is incomplete. And in one or two years, the resources of RMB exchange rate fluctuation come from the demand shocks (real shocks), however, the resources of RMB exchange rate fluctuation mainly come from the monetary policy disturbances of US (nominal shocks) in three to five years. So, re-launching RMB exchange rate forming-mechanism reform by central bank might enhance the ability of RMB exchange rate to cushion external shocks.

Key words: Exchange Rate, Asymmetric Shock, Balassa-Samuelson Effect, Structural VECM