The Construction And Analysis Of RMB Effective Exchange Rate Index From The Perspective Of Trade And Capital

With the development of the globalized economy,the economic transactions between countries have become increasingly closer and more complex.At this time,the traditional bilateral exchange rates cannot fully reflect the value changes of a country's currency under the overall economic environment,therefore many international organizations as well as relevant financial institutions in various countries have begun to compile effective exchange rate indexes.However,the current official indexes are compiled from the perspective of trade.It is also necessary to consider capital factors in the environment where capital projects are gradually being liberalized in various countries.Therefore,based on the methods of index compilation in various countries and the research of previous scholars,this paper constructs a real effective exchange rate index from the perspectives of trade and capital,and conducts empirical analysis on it.First,it comprehensively introduces the index construction process under the perspective of the trade and capital,including the determination of sample countries,the design of weights,the selection of deflator,and the determination of release frequency.Then,in the construction of the RMB real effective exchange rate index,in order to better conduct comparative analysis,this paper separately compiles the effective exchange rate index from the perspective of trade and from the dual perspectives of trade and capital monthly and weekly.Among them,the widely used bilateral trade-weighted model and the double-weighted model have been used in the computation of export weights,so a total of four real effective exchange rate indexes have been constructed in this paper.Through comparison,because of the existence of third-party market competition factors,the effective exchange rate index calculated in the double-weighted model slightly lower than that of the bilateral trade-weighted model;due to the existence of capital flow factors,the effective exchange rate calculated from dual perspectives is slightly lower than the results from the trade perspective.In addition,this paper chooses the BIS RMB effective exchange rate index published by the Bank for International Settlements and the CFETS RMB effective exchange rate index published by the Forex Trading Center to compare with the index constructed in this paper.It can be seen that due to the differences in the sample country and weight of the index,there are some differences,but they are still consistent in the general trend and the nodes.Finally,this paper uses the co-integration and error correction models to empirically analyze the impact of the RMB real effective exchange rate index on the trade surplus.The co-integration relationship shows that China's trade surplus has a certain relationship with the income of the counterparty countries,the real effective exchange rate index of the RMB and its volatility.