人民币汇率波动成因分解研究——基于BQ-SVAR模型的估计
发布时间：2019-02-22 10:14
【摘要】：以BQ-SVAR模型为基础,构建多种动态方法把汇率波动分解为由供给因素、需求因素和名义因素解释的三部分,以此揭示1985—2010年间驱动人民币汇率波动的原因。经验结果显示不论是双边实际汇率还是人民币实际有效汇率的动态特征并不像典型的转轨国家那样,主要由供给冲击因素所解释。相反,它更为接近发达国家的情形,即需求冲击因素和名义冲击因素对实际汇率波动的影响占据主导地位。与此同时,本文还发现人民币兑换美元、日元和英镑双边汇率中分解出的三类冲击成分之间存在显著正相关关系,但汇改后相关性变小,且显著性水平下降,说明汇改制度使得人民币兑换美元汇率对人民币兑换各国货币之间双边汇率的影响减弱,从而能够避免由于人民币兑换美元升值引发的结构性失衡,有利于稳定人民币汇率预期。
[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.
【作者单位】： 华南师范大学;
【基金】：教育部人文社科规划项目(09YJA790118)、教育部“博士研究生学术新人奖”(ZX11b1) 中央高校基本科研业务费专项基金(201122G011) 广东省哲学社会科学“十一五”规划项目(08GE-10)
【分类号】：F224;F832.6
，
本文编号：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.
【作者单位】： 华南师范大学;
【基金】：教育部人文社科规划项目(09YJA790118)、教育部“博士研究生学术新人奖”(ZX11b1) 中央高校基本科研业务费专项基金(201122G011) 广东省哲学社会科学“十一五”规划项目(08GE-10)
【分类号】：F224;F832.6
，
本文编号：2428116
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