国际石油价格与人民币汇率的联动效应研究——基于VAR模型的实证分析
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摘要
石油作为重要的大宗商品,通过国际收支和通货膨胀的渠道影响到我国的人民币汇率。基于2005年7月21日到2017年4月12日的数据,在借鉴国内外相关研究的基础上,通过协整分析、格兰杰因果检验、建立VEC模型分析二者之间的联动关系,结果发现国际石油价格和人民币汇率之间存在长期均衡关系,国际石油价格每变动1%,人民币汇率会反向变动0.11%,并且在短期内国际石油价格是人民币汇率的单向格兰杰原因,长期内二者存在双向格兰杰因果关系。随着今年我国外汇储备的增加,国际石油价格波动对我国汇率市场带来的风险弱化,但是我们依然要强化风险防范意识。
As an important commodity, oil affects the exchangerate of China's currency through the channels of balance ofpayments and inflation. Based on the data from July 21,2005 to April 12, 2017, based on the relevant research both at home and abroad, through the cointegration analysis and Granger causality test, the VEC model is established to analyze the interaction between the two. The results show that there is a long-term equilibrium relationship between the international oil price and the exchange rate of RMB. For every 1%change in the international oil price, the RMB exchange rate will change 0.11% in the reverse direction. In the short term, the international oil price is a one-way Granger reason for the RMB exchange rate. There is a two-way Granger causality in the long run. With the increase of China's foreign exchange reserves this year and the fluctuation of international oil prices on the exchange rate market in our country, the risk weakened, but we still have to strengthen the awareness of risk prevention.
As an important commodity, oil affects the exchangerate of China's currency through the channels of balance ofpayments and inflation. Based on the data from July 21,2005 to April 12, 2017, based on the relevant research both at home and abroad, through the cointegration analysis and Granger causality test, the VEC model is established to analyze the interaction between the two. The results show that there is a long-term equilibrium relationship between the international oil price and the exchange rate of RMB. For every 1%change in the international oil price, the RMB exchange rate will change 0.11% in the reverse direction. In the short term, the international oil price is a one-way Granger reason for the RMB exchange rate. There is a two-way Granger causality in the long run. With the increase of China's foreign exchange reserves this year and the fluctuation of international oil prices on the exchange rate market in our country, the risk weakened, but we still have to strengthen the awareness of risk prevention.
引文
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[4]刘凌.国际油价与人民币汇率传导效应研究[J].商业研究,2010(8).
[5]朱新玲、黎鹏.人民币汇率与国际石油价格的联动效应——基于溢出和动态相关视角[J].贵州财经学院学报,2011(4).
[6]丁绪辉.国际黄金价格波动特征及风险防范研究——基于GARCH族模型的实证分析[J].价格理论与实践,2014(7).
[7]周欣、何嘉庆.国际油价变化对人民币汇率影响的实证研究[J].对外经贸,2015(3).
[8]刘啟仁、黄建中.人民币汇率、依市场定价与资源配置效率[J].经济研究,2015(7).
[9]何启志、张晶、范从来.国内外石油价格波动性溢出效应研究[J].金融研究,2015(8).
[10]Yuan,Xinyu.Analysis of fruit and vegetable exports and imports,exchange rate,and crude oil price on economic development of China:A GARCH-vine copula model approach.[J].Journal of Computational and Theoretical Nanoscience,2016(3).
[11]Tiwari,Aviral Kumar.Oil price and exchange rate in India:Fresh evidence from continuous wavelet approach and asymmetric,multi-horizon Granger-causality tests[J].Applied Energy,2016(10).
[12]Jain,Anshul.Dynamic linkages among oil price,gold price,exchange rate,and stock market in India.[J].Resources Policy,2016(9).
[13]Chen,Hongtao.Oil price shocks and U.S.dollar exchange rates[J].Energy,2016(10).
[14]Hussain,Muntazir.Oil price and exchange rate co-movements in Asian countries:Detrended cross-correlation approach[J].Statistical Mechanics and its Applications,2017(1).
[15]Rasasi,Moayad Al.Oil prices and GCC exchange rates[J].Economics,Planning and Policy,2017(4).
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