The Empirical Study About The Effect Of CNY Exchange Rate Expectation On The Chinese Macro-economy

With the growth of Chinese economy and the increasing contribution to the world economic growth, the pressure of the bulging foreign exchange reserves caused by " double surplus " in the field of net exports and foreign direct investment, the depreciation of the dollar and the influx of foreign capital, the CNY is facing the pressure of appreciation which is reflected on the continued appreciation expectation of CNY exchange rate in the foreign exchange market. The expectation of CNY appreciation not only affects the individual’s behavior on the participation in international trade, also makes a large number of foreign capital into China, thus has the influence on all aspects of macro-economy. Economic growth, the balance of international payments, the stability of price and full employment are the targets of Chinese Macro-control. Therefore, the research on the effect of CNY exchange rate appreciation expectation on macro-economy has the important theoretical significance on China’s future direction of macro-control.In this paper, the domestic and foreign scholars in expectation of exchange rate and the effect of exchange rate expectation on the economy are summarized and discussed, Then the conduction mechanism of the expectation of exchange rate to macro-economy. is elaborated, on the basis of the above all, select Non-deliverable Forwards as the substitutive variable of CNY exchange rate expectation and exchange rate to NDF as RMB exchange rate,and selection another five variables which are affected by CNY exchange rate expectation:capital flows; the balance of trade; economic growth; price and unemployment rate, then the VAR model including six variables is established, the Granger relation, impulse response function and variance decomposition between NDF and the remaining variables are anaylsed. This paper argues that:there is a stable long term equilibrium relationship between all variables; the fluctuation of CNY exchange rate expectation is the Grainger reason of the fluctuation of the net capital inflow, balance of trade and economic growth, rather than the fluctuation of the price and the unemployment rate; the appreciation of CNY exchange rate expectation is expected to make net capital inflow and unemployment decline in long-term, but make balance of trade, economic growth and price rise in a long time. Finally, on the basis of the theoretical analysis and empirical analysis, the suggestions are given...