Real Exchange Rate's Fluctuating Factors Analysis Under Chinese Current Exchange Rate Institution

Based on VAR model, SVAR model and ECM model of Cointegration function, normal impulse response function has been applied in the analysis of economic variables' fluctuating factors effectively. However, this approach is targeted at one unit standard variance, which means it still exists inefficiency and shortage. So this article extends the standard impulse response function from three inefficient aspects, and based on SVAR model this article gives out the impulse response functions of random shocks , several shocks happening simultaneously, and spotted shocks. In the part of empirical researches, this article makes use of this approaches on our China's exchange rate problem. This article selects 1994's and 2004's real exchange rate,comparative productivity,relative price to set up Structural Vector Autoregression Model, to find out the supply,demand and nominal shock on real exchange rate through impulse response function. The result shows that positive demand impact will ascend the real exchange, depreciates RMB and then gives some policy advice. Secondly, through random shock function this article draws conclusions that when RMB is shocked by the same supply,demand or nominal factors, the change of real exchange rate will maximize at the nominal shock. Then, through spotting analysis approach on the 1997's Asian Financial Crisis. This article gets the main error of real exchange rate by the nominal and demand shock through variance decomposition, which is accordance with the conclusion gotten by independent floating foreign exchange rate institution. But the contribution of nominal impact is comparatively high, so we conclude the independence of our monetary policy is impacted by the exchange institution and accordingly give some reform measures. Blanchard and Quah firstly proposed SVAR in 1989. They made use of VAR imposed by economic theory's long-term restriction to reduce model's parameters needed to be estimated, identify the aggregate demand and aggregate supply shock. Later, scholars did sophisticated researches on SVAR, and used them to anglicize real shock and monetary shock's transition mechanism. However, nowadays domestic researches and applications are rare. Especially, this article employs random shock impulse response function analysis and definite spot shock analysis are firstly used not only in the domestic but also in the foreign.