人民币实际有效汇率与外商直接投资关系的实证分析

摘要

Based on data analysis of RMB real effective exchange rate and foreign direct investment(FDI)during 1995~2011,the relationship between RMB real effective exchange rate and FDI is researched by means of some empirical methods such as Johansen co-integration test,Granger causality test and pulse response analysis. The results show that not only a signifi-cant correlation exists between RMB real effective exchange rate and FDI,but also there is a one-way Granger causality between them,that is,FDI can affect the real effective exchange rate in china.%通过对1995-2011年人民币实际有效汇率和外商直接投资的数据进行分析，运用Johansen协整检验、Granger因果检验、脉冲响应分析等实证方法对外商直接投资与人民币实际有效汇率及其波动之间的关系进行了研究。结果表明，人民币实际有效汇率与FDI之间不仅存在显著相关性，而且也存在单向格兰杰因果关系，即外国直接投资会影响我国实际有效汇率。