【摘要】：匯率作為一個主要的宏觀經(jīng)濟變量,是維系全球經(jīng)濟穩(wěn)定發(fā)展的重要紐帶,其波動對一國微觀經(jīng)濟層面的資源配置和宏觀經(jīng)濟的運行具有深刻的影響。布雷頓森林體系解體后,浮動匯率制度成為世界上主要的匯率制度。自此匯率變動反復(fù)無常,其非線性特征表現(xiàn)的更加明顯。匯率會受到各種不確定因素的影響而產(chǎn)生不可預(yù)期的變動,正是這種變化使作為一國經(jīng)濟內(nèi)生變量的匯率對貨幣經(jīng)濟和實體經(jīng)濟的影響和風(fēng)險加大。由于經(jīng)濟全球化,世界主要發(fā)達國家或經(jīng)濟體的匯率波動會有巨大的聯(lián)動效應(yīng),一國匯率的變化不僅影響本國經(jīng)濟,還會對其貿(mào)易相關(guān)國的進出口、利率、通貨膨脹等宏觀變量產(chǎn)生沖擊,乃至影響經(jīng)濟政策的實施。美國、歐盟和日本是世界上主要的貿(mào)易國家,G-3匯率波動將對全球經(jīng)濟環(huán)境產(chǎn)生較大影響,所以研究G-3國家匯率波動特征和驅(qū)動因素具有典型且較深遠的意義。 在蒙代爾-弗萊明模型基礎(chǔ)上,假設(shè)價格是完全彈性的,并且絕對購買力平價成立,修正了多恩布什提出的粘性價格模型,以美國、日本、歐元區(qū)2000年1月到2012年12月的宏觀經(jīng)濟數(shù)據(jù)為研究對象,構(gòu)建狀態(tài)空間模型進行實證分析,運用卡爾曼濾波算法分析國民收入、貨幣供應(yīng)量和利率變化對G-3匯率波動的彈性,然后通過SVAR實證方法對三個國家匯率波動的沖擊響應(yīng)進行了分析和比較。 在分析實證結(jié)論的基礎(chǔ)上,發(fā)現(xiàn)G-3匯率的波動與兩國貨幣供給量、國民收入和債券利率的差值有密切的關(guān)系；在樣本區(qū)間內(nèi)G-3各國利差的變化對匯率的波動是缺乏彈性的,而在許多年份貨幣供應(yīng)量彈性較大；相對于另外兩個國家,美元匯率波動受供給、需求和利率沖擊的影響較�。蝗赵獏R率的波動受供給沖擊和需求沖擊雙重作用,需求沖擊是歐元匯率波動的最主要因素。
[Abstract]:As a major macroeconomic variable, exchange rate is an important link to maintain the stable development of the global economy, and its fluctuation has a profound impact on the allocation of resources and the operation of macroeconomy at the microeconomic level of a country. After the disintegration of Bretton Woods system, floating exchange rate system became the main exchange rate system in the world. Since then, the exchange rate changes are capricious, and its nonlinear characteristics are more obvious. The exchange rate will be affected by various uncertain factors and produce unpredictable changes. It is this change that increases the impact and risk of the exchange rate as an internal variable of a country's economy on the monetary economy and the real economy. As a result of economic globalization, the exchange rate fluctuations of the major developed countries or economies in the world will have a huge linkage effect. The changes in a country's exchange rate will not only affect the domestic economy, but also the import and export and interest rates of its trade-related countries. Inflation and other macro variables have an impact, and even affect the implementation of economic policy. The United States, the European Union and Japan are the main trading countries in the world. The exchange rate fluctuations of G 鈮，

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