中国外汇市场压力指数的构建及对比分析——基于中国2005-2015年数据的实证研究

摘要

为了有效衡量中国外汇市场的压力变动,首次系统性研究中国外汇市场压力指数(EMPI)的构建方案.根据中国EMPI的定义,改进现有构建指标.通过符号一致检验、方差分析以及动态相关系数对比分析不同赋权方案,确定广义脉冲响应函数(GIRF)方法为最优的赋权方案.运行结果表明:从2005年7月到2011年1月,主要呈现人民币升值压力;从2011年2月到2015年12月,主要呈现人民币贬值压力.该指数为分析外汇市场运行状况提供了合理的量化工具.%In order to measure the variation of Chinese exchange market pressure,it is the first time that we systematically construct Chinese EMPI.Firstly,according to the definition of Chinese EMPI,we improve the existing construction indicators.Secondly,we use sign test,analysis of variance and dynamic correlation coefficient to analysis these indexes,and then we confirm GIRF method is the best choice to construct EMPI.At last,we find appreciation pressure of RMB is mainly showed from July 2005 to January 2011,depreciation pressure of RMB is mainly showed from February 2011 to December 2015,this index provides a quantitative tool for Chinese monetary authorities to analyze the operation of the foreign exchange market.