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本文利用JJ协整检验和Granger因果检验的计量方法,研究了汇率制度改革后中国汇率市场与原油期货市场的关系。实证结果表明,汇率制度改革后,人民币名义汇率与原油期货价格存在长期稳定的协整关系。从长期来看,原油期货价格上涨是人民币升值的单向Granger原因。从短期来看,原油期货价格和人民币名义汇率互为Granger成因。针对以上结论,进一步分析、提出了相应的政策建议。
In this paper, we use the JJ cointegration test and Granger causality test to study the relationship between China’s exchange rate market and crude oil futures market after the reform of the exchange rate system. The empirical results show that after the reform of the exchange rate system, there is a long-term and stable co-integration relationship between the nominal exchange rate of RMB and the price of crude oil futures. In the long run, rising crude oil futures prices are a one-way Granger cause of RMB appreciation. In the short term, the crude oil futures price and RMB nominal exchange rate each other Granger cause. In view of the above conclusions, further analysis, put forward the corresponding policy recommendations.