第三方市场竞争效应、投资效应与人民币有效汇率指数测算

Journal of Financial Research

2017, Vol. 450

Issue (12): 33-47 DOI:

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The Third-market Competition Effect, Investment Effect and RMB Effective Exchange Rate Calculation

YIN Mingming, CHEN Ping, WANG Wei

Lingnan College, Sun Yat-sen University

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Abstract This paper takes the influences of third-market competition and investment into the calculation of RMB effective exchange rate index. 29 Basket currencies are chosen by establishing the direct export and import competition index, third-market competition stress index as well as FDI and OFDI structure index with data from 1999 to 2016, and weights are assigned according to the spillover index estimation of basket currencies using daily exchange rate data from January 1999 to April 2017. To verify the effectiveness of the index calculated, this paper utilizes the Johansen cointegration and ECM method to estimate the export and FDI determination equations and compare the explanation power of different RMB effective exchange rate indexes. Result indicates that the RMB effective exchange rate we established is more efficient than the BIS and IMF ones.

Key words： Third-market Competition Effect Investment Structure RMB Effective Exchange Rate

Received: 19 July 2017 Published: 02 April 2018

JEL分类号:	F10
	F30
	F31

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YIN Mingming,CHEN Ping,WANG Wei. The Third-market Competition Effect, Investment Effect and RMB Effective Exchange Rate Calculation[J]. Journal of Financial Research, 2017, 450(12): 33-47.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2017/V450/I12/33

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