: : : 3 : 1994 1 2008 1,,,,,,, : 1994,,, 1994 1 1, 1 8172, 1997 7, 1 8130, 418 % 2005 7 21, 1 8111, 2 % 2005,,2007, 1 713046, 2006 619 %, 2005, 1313 %,2007, 0141 %, 310,,?,?,?, Girton Roper (1977) ( EMP), ( Younus,2005),, ;, ;,,, Girton Roper (1977) 3,, :100871, :buyongxiang @ccer. edu. cn ( 70573121ΠG0302 ) (2007 4 ) Girton Roper (1977),, Girton Roper (1977), 58
2008 9 Girton Roper (1977),,,,,, ( ),,,,,,, ( Exchange Market Pressure) 30 EMP, EMP EMP,Girton Roper (1977), 1952 1974,,, Kim(1985) 1980 3 1983 7,,, Tanner (1999) 1990 1998,,,,, Kamaly Erbil (2000) 1990 1 2000 4, (MENA), Gochoco2Bautista Bautista (2005) 1990 1 2000 4,,, ( ) Garcia Malet (2005) 1993 1 2004 3,,,;,, EMP,Girton Roper (1977) Kamaly Erbil (2000),, (PPP) EMP Garcia Malet (2005),,,,Tanner (1999),6,, Kamaly Erbil (2000),, Gochoco2Bautista Bautista (2005),,, ;,,, Girton Roper (1977), 59
: :, (OLS), Girton Roper (1977) Kim(1985), (VAR), Tanner (1999) Kamaly Erbil (2000) Gochoco2Bautista Bautista (2005) Garcia Malet (2005) ( EMP), (2003) 1994 2002, EMP, EMP, EMP Girton Roper (1977), ( EMP),,, : M d = PY exp ( - ),, P, Y,, > 0,,, > 0 : H = F + D - B,, H, F, D, B, : H = F + D - B = PY exp ( - ) (1) (1), t, : 1 H 5 H = 1 H 5 ( F + D - B) = 1 P 5 P + 1 Y 5 Y - 5 : F( t) = t E( t) R - ( t) dt, B ( t) = t - (2) E( t) B ( t) dt (3) (3), R ( t) t, R ( t) t, B ( t) t, B ( t) t E ( t) t (3), (2) : 1 H 5 H h = 1 H 5 H : c = 1 H E5 R, r = E H 5 R + 5 D -, d = 1 H 5 D E5 B = 1 P 5 P, b = E H 5 B h c = r c + d c - b c = c + c y c + 1 Y 5 Y, = 1 P 5 P - 5 (4), y = 1 Y 5 Y 5, g =,, - c g c, (5),,, 2002,,,,,,2002 9 24, 6 25 9 24, 19, 193715,, 2008 2,, 36877158, 60
2008 9 : u (5) (6), : h u = r u + d u = u + u y u h c - h u = ( r c + d c - b c ) - ( r u + d u ) = ( c + c y c - u g u (6) - c g c ) - ( u + u y u - u g u ) Girton Roper (1977), Garcia Malet (2005),, u c,, cu = c - u + ge cu,ge cu, Π,ge cu = 1 e 5 e, ge cu > 0 e, ; ge cu < 0, e, (7) : r c - r u + ge cu = - d c + d u + b c + c y c - u y u + cu (7) - c g c + u g u (8), Girton Roper (1977),,,,,,, r u, (8) : r c + ge cu = - d c + b c + h u + c y c - u y u + cu - c g c + u g u (9) r u d u h u, h u (9) ( EMP),,, (9) : (1),, (2),,,( ), (3), (4),,,,, ;,, ;,,, (9), ;,,,,,,,,,, 61
: :, (9), 1994 1 2008 1,, 1994 1,,,, (OLS), (endogeneity problem), Kamaly Erbil (2000) Gochoco2Bautista Bautista (2005) Garcia Malet (2005), (VAR),,,,, VAR,, VAR,, Balassa2Samulson,,,, : p X t = A j X t - j j = 1 + 1 t + 2 USh t + 3 USg t + v t (10) (10), X t = [ EM P t, CNd t, CNy t, CNg t ],{ v t }, 0, ),A v j, 1, 2, 3 : v { v t } iid (0, EMP t, CNd t, CNy t, CNg t, t, USh t USg t, : ( Π ) 2008 3 ( International Financial Statistics, IFS), 2008 2 3,2008 1994 1999 IFS 12a 12d 12e 12f, 2000 (9),,,,,,,,,,, (2006), (2006) 62
2008 9, 1999 6,,, 1994 1 1999 6,,,, ( ), X11 IFS, X11 ( ), 1996 7,1996 1 CEIC : EMP = r c + ge cu, ge cu = ( e t Πe t - 1-1) 3 100, r c = ( Π 1 ) 3 100, = -, X11, 1 ] 3 100 CNd = (Π 1 ) 3 100 ( CNy) = [ ( Π )Π( Π ) - t = ( CPI - CPI + ge cu ) 1994 2 2008 3, ( EMP) 1 1 EMP 12 1994,, 1995 1997 7,,1997 10 2000 9,,, 2000 10 2005 8,, 15 2006 12 2007 9,,2007 10 2008 3, VAR 1, 1 1 % EMP 5 % VAR ( Granger Causality) 2, 2 VAR, 10 %,,,, 2006,2002 2005 2000 2001 1999 6, 1999 6,,,, 11 63
: : 1 ( EMP) 12,, 12,,, 1, 1 (ADF ) ADF T EMP, 1-31077 01030 CNd, 0-121780 01000 CNy, 0-191813 01000 CNg, 0-141477 01000 1 % - 31470 5 % - 21879 10 % - 21576 :ADF Schwarz (SIC) 2 ( Granger Causality) F2 CNd EMP Granger 156 12 21097 01021 CNy EMP Granger 156 12 11797 01055 EMP CNd Granger 167 1 81526 01004 EMP CNy Granger 160 8 11722 01098 EMP CNg Granger 167 1 81354 01004 CNd CNg Granger 167 1 21749 01099 CNg CNd Granger 162 6 11856 01092 : (1) 1994 2 2008 1 (2) 10 % 64
2008 9, VAR 1,,, 12, (LR), 5 % 12, 12 VAR 3 3,VAR 3 EMP t ( - 1) EMP t ( - 2) EMP t ( - 3) EMP t ( - 4) EMP t ( - 7) VAR 7916 % EMP, ( ) :1995 2 2008 1 : 156, EMP t CNd t CNy t CNg t ( R 2 t ) 01796 01412 01445 01358, R 2 01696 01124 01172 01043, F2 71964 11430 11632 11138,,,,,,, ;,, ( ), EMP, EMP t ( - 8) EMP t ( - 10) EMP t ( - 11) EMP t ( - 12) CNd t ( - 1) CNd t ( - 4) CNd t ( - 8) CNd t ( - 9) CNd t ( - 10) CNd t ( - 12) 01483 (51147) 01110 (11112) - 01121 ( - 11196) 01117 (11136) - 01043 ( - 11226) - 01037 ( - 11081) 01046 (11328) - 01107 ( - 21926) - 01455 ( - 11627) 01397 (11393) 01333 (11164) - 01483 ( - 11677) - 01421 ( - 11473) - 01121 ( - 11258) 01186 (11880) 01741 (11539) - 01804 ( - 11620) - 01721 ( - 11456) - 01220 ( - 11309) - 01059 ( - 11056) 01066 (11167) - 01027 ( - 11456) - 01033 ( - 11739) - 01052 ( - 21574) Akaike (AIC) Schwarz (SC) 65
: :,12, EMP 3 ( 2),, CNy t ( - 1) CNy t ( - 2), CNy t ( - 4) EMP 2 EMP 12 (t 21178),,,,, EMP,,,,,,,, 1 2, EMP, ( 2),, EMP,,,, 66 CNy t ( - 5) CNy t ( - 6) CNy t ( - 7) CNy t ( - 8) CNy t ( - 11) CNy t ( - 12) CNg t ( - 3) CNg t ( - 5) CNg t ( - 6) CNg t ( - 8) CNg t ( - 10) CNg t ( - 12) C 01211 (21030) 01033 (11507) 01043 (21178) 01243 (11386) 01343 (11721) 01001 t (01020) USh t - 01023 ( - 01385) - 01190 USg t ( - 01469) - 01097 ( - 11597) - 01097 ( - 11623) 01022 (11878) - 01067 ( - 11082) 01631 (11285) - 11260 ( - 21520) - 11135 ( - 21135) 01155 (01279) 01109 (01574) 01302 (11829) - 11211 ( - 11071) - 01566 ( - 51904) - 01279 ( - 21617) 01161 (11586) 01212 (11989) 01889 (11044) - 01291 ( - 01315) 11426 (11475) - 01756 ( - 21296) 01109 (01380) 01317 (01162) 01016 (11352) - 01243 ( - 21437) 01214 (21205) 01231 (21265) 01125 (11212) - 01073 ( - 01662) - 01005 ( - 01128) - 01020 ( - 01606) 01044 (01197) : (1) t2 (2) VAR,
2008 9 2 EMP ( 2 ),, ( ),,, EMP, 2 5 12 ( 3),EMP 3,, 6, 7 11,,, 12,, EMP,,,,, ( 4 ), 1 4,, 6 8,, 3, EMP, EMP,,,, ;,,,,, EMP, ( 11 ),, EMP,,, 67
: : 3 EMP ( 2 ),EMP VAR,,,,,, EMP EMP,, t,,, 2005,,,,, ;,, ;,, ;,,,,, ;,, ;,,,,,, 68
2008 9,2006,, 7,2006, (1978 2005) -, ( ) 6 2,2008 :,2003 : :, 6 Garcia,Clara and Nuria Malet,2005, Exchange Market Pressure, Monetary Policy, Economic Growth : Argentina in 1993 2004, Political Economy Research Institute, Working Paper Series No 99, University of Massachusetts2Amherst. Girton,Lance and Don Roper, 1977, A Monetary Model of Exchange Market Pressure Applied to the Postwar Canadian Experience, American Economic Review, Vol. 67, No. 4, 537 548. Gochoco2Bautista,Maria Socorro and Carlos C. Bautista,2005, Monetary Policy and Exchange Market Pressure : The Case of the Philippines, Journal of Macroeconomics 27,153 168. Kamaly,Ahmed and Nese Erbil, 2000, A VAR Analysis of Exchange Market Pressure : A Case Study for the MENA Region, ERF Working Paper No. 200025. University of Maryland,College Park,MD. Kim,Inchul, 1985, Exchange Market Pressure in Korean : An Application of the Girton2Roper Monetary Model : Note, Journal of Money, Credit and Banking,Vol. 17, No. 2,258 263. 99Π114. Tanner, Evan, 1999, Exchange Market Pressure and Monetary Policy : Asia and Latin America in the 1990s, The IMF Working Paper WPΠ Younus,Sayera,2005, Exchange Market Pressure and Monetary Policy, Working Paper Series WP0603, the Bangladesh Bank. China s Exchange Market Pressure and Monetary Policy : A Monetary Model Based on Empirical Analysis Bu Yongxiang (China Center of Economic Research ;Peking University) Abstract :Based on a monetary model this study derives a measure of Renminbi foreign exchange market pressure ( EMP), and investigates the interactions between EMP, central bank domestic credit, China s relative economic growth rate against US, and domestic interest rate. Also this paper explores the impacts of US monetary base and interest rate on China s EMP. Monthly data for the period 1994201 to 2008201 and a VAR methodology are used. We found some evidence of a negative relationship between Renminbi appreciation pressure and central bank domestic credit, as well as positive relationships between Renminbi appreciation pressure and economic growth, domestic interest rate respectively. Also there is some evidence that EMP affects domestic credit negatively, while no significant impacts on China s interest rate. Key Words : Exchange Market Pressure ; Monetary Policy ; Economic Growth JEL Classification : E580 ( : ) ( : ) 69