人民幣匯率波動(dòng)成因分解研究——基于BQ-SVAR模型的估計(jì)
發(fā)布時(shí)間：2019-02-22 10:14
【摘要】：以BQ-SVAR模型為基礎(chǔ),構(gòu)建多種動(dòng)態(tài)方法把匯率波動(dòng)分解為由供給因素、需求因素和名義因素解釋的三部分,以此揭示1985—2010年間驅(qū)動(dòng)人民幣匯率波動(dòng)的原因。經(jīng)驗(yàn)結(jié)果顯示不論是雙邊實(shí)際匯率還是人民幣實(shí)際有效匯率的動(dòng)態(tài)特征并不像典型的轉(zhuǎn)軌國(guó)家那樣,主要由供給沖擊因素所解釋。相反,它更為接近發(fā)達(dá)國(guó)家的情形,即需求沖擊因素和名義沖擊因素對(duì)實(shí)際匯率波動(dòng)的影響占據(jù)主導(dǎo)地位。與此同時(shí),本文還發(fā)現(xiàn)人民幣兌換美元、日元和英鎊雙邊匯率中分解出的三類沖擊成分之間存在顯著正相關(guān)關(guān)系,但匯改后相關(guān)性變小,且顯著性水平下降,說明匯改制度使得人民幣兌換美元匯率對(duì)人民幣兌換各國(guó)貨幣之間雙邊匯率的影響減弱,從而能夠避免由于人民幣兌換美元升值引發(fā)的結(jié)構(gòu)性失衡,有利于穩(wěn)定人民幣匯率預(yù)期。
[Abstract]:Based on the BQ-SVAR model, this paper constructs a variety of dynamic methods to decompose the exchange rate volatility into three parts, which are explained by supply factor, demand factor and nominal factor, so as to reveal the reasons driving RMB exchange rate volatility from 1985 to 2010. The empirical results show that the dynamic characteristics of both the bilateral real exchange rate and the RMB real effective exchange rate are not mainly explained by the supply shock factors as in typical transition countries. Instead, it is closer to the developed world, where demand shocks and nominal shocks dominate the real exchange rate volatility. At the same time, the paper also finds that there is a significant positive correlation between the three kinds of impact components of RMB exchange rate to US dollar, Japanese yen and sterling, but the correlation becomes smaller and the level of significant decline after the exchange rate reform. It shows that the exchange rate reform system has weakened the impact of the RMB exchange rate against the US dollar on the bilateral exchange rate between the RMB and the currencies of various countries, thus avoiding the structural imbalance caused by the appreciation of the RMB against the US dollar. This will help stabilize the expectation of RMB exchange rate.
【作者單位】： 華南師范大學(xué);
【基金】：教育部人文社科規(guī)劃項(xiàng)目(09YJA790118)、教育部“博士研究生學(xué)術(shù)新人獎(jiǎng)”(ZX11b1) 中央高�；究蒲袠I(yè)務(wù)費(fèi)專項(xiàng)基金(201122G011) 廣東省哲學(xué)社會(huì)科學(xué)“十一五”規(guī)劃項(xiàng)目(08GE-10)
【分類號(hào)】：F224;F832.6
，
本文編號(hào)：2428116
[Abstract]:Based on the BQ-SVAR model, this paper constructs a variety of dynamic methods to decompose the exchange rate volatility into three parts, which are explained by supply factor, demand factor and nominal factor, so as to reveal the reasons driving RMB exchange rate volatility from 1985 to 2010. The empirical results show that the dynamic characteristics of both the bilateral real exchange rate and the RMB real effective exchange rate are not mainly explained by the supply shock factors as in typical transition countries. Instead, it is closer to the developed world, where demand shocks and nominal shocks dominate the real exchange rate volatility. At the same time, the paper also finds that there is a significant positive correlation between the three kinds of impact components of RMB exchange rate to US dollar, Japanese yen and sterling, but the correlation becomes smaller and the level of significant decline after the exchange rate reform. It shows that the exchange rate reform system has weakened the impact of the RMB exchange rate against the US dollar on the bilateral exchange rate between the RMB and the currencies of various countries, thus avoiding the structural imbalance caused by the appreciation of the RMB against the US dollar. This will help stabilize the expectation of RMB exchange rate.
【作者單位】： 華南師范大學(xué);
【基金】：教育部人文社科規(guī)劃項(xiàng)目(09YJA790118)、教育部“博士研究生學(xué)術(shù)新人獎(jiǎng)”(ZX11b1) 中央高�；究蒲袠I(yè)務(wù)費(fèi)專項(xiàng)基金(201122G011) 廣東省哲學(xué)社會(huì)科學(xué)“十一五”規(guī)劃項(xiàng)目(08GE-10)
【分類號(hào)】：F224;F832.6
，
本文編號(hào)：2428116
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