本文選題：匯率波動(dòng)　切入點(diǎn)：貨幣政策　出處：《國(guó)際貿(mào)易問(wèn)題》2016年07期

【摘要】：本文先構(gòu)建帶有匯率波動(dòng)的內(nèi)生經(jīng)濟(jì)增長(zhǎng)模型,理論分析人民幣匯率波動(dòng)加劇對(duì)資本流入的影響,進(jìn)而基于TVP-VAR-SV模型,實(shí)證研究人民幣匯率波動(dòng)、貨幣政策與資本流入之間的互動(dòng)關(guān)系。理論結(jié)果表明,人民幣匯率波動(dòng)加劇對(duì)資本流入的影響是不確定的,主要取決于廠商對(duì)進(jìn)口資本的依賴程度,以及出口商品價(jià)格在一般價(jià)格水平中的相對(duì)權(quán)重。實(shí)證結(jié)果表明,人民幣匯率波動(dòng)對(duì)于利率和資本流入的影響乘數(shù)在整個(gè)樣本期內(nèi)均表現(xiàn)為負(fù)值,且保持相對(duì)穩(wěn)定,而利率波動(dòng)對(duì)于資本流入的影響乘數(shù)則表現(xiàn)為"先低-后高-再低"的趨勢(shì),表現(xiàn)出時(shí)變特征;對(duì)于不同提前期的匯率波動(dòng)沖擊,預(yù)期在利率和資本流入反應(yīng)中,起到重要作用;而不同時(shí)點(diǎn)的匯率波動(dòng)沖擊,資本流入反應(yīng)程度與匯率波動(dòng)幅度之間呈正相關(guān)關(guān)系。
[Abstract]:This paper first constructs an endogenous economic growth model with exchange rate fluctuations, analyzes theoretically the impact of RMB exchange rate volatility on capital inflow, and then empirically studies RMB exchange rate volatility based on TVP-VAR-SV model. The theoretical results show that the impact of RMB exchange rate fluctuation on capital inflow is uncertain, which mainly depends on the degree of dependence of firms on imported capital. The empirical results show that the influence multiplier of RMB exchange rate fluctuation on interest rate and capital inflow is negative in the whole sample period and remains relatively stable. On the other hand, the multiplier of interest rate fluctuation on capital inflow is the trend of "low first-then high-then low", showing time-varying characteristics, and for the exchange rate fluctuation shock of different lead times, it is expected to be in the reaction of interest rate and capital inflow. The impact of exchange rate fluctuations at different time points, the degree of capital inflow response and the exchange rate volatility range are positively correlated.
【作者單位】： 上海師范大學(xué)商學(xué)院;
【基金】：國(guó)家社會(huì)科學(xué)基金項(xiàng)目(16BJY168) 國(guó)家自然科學(xué)基金資助項(xiàng)目(71471117) 教育部人文社會(huì)科學(xué)規(guī)劃項(xiàng)目(12JYC790020) 上海市教委科研創(chuàng)新重點(diǎn)項(xiàng)目(14ZS105)
【分類號(hào)】：F832.6;F822.0

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本文編號(hào)：1673013