【摘要】：本文選取2006年10月至2015年10月間的月度數(shù)據(jù),運用Markov區(qū)制轉(zhuǎn)換VAR模型(MS-VAR)中的參數(shù)估計和脈沖響應(yīng)函數(shù),實證分析不同區(qū)制狀態(tài)下人民幣國際化、人民幣匯率與匯率預(yù)期之間的動態(tài)關(guān)系。研究表明,人民幣國際化、匯率與匯率預(yù)期在一定程度內(nèi)呈同向變化,但變量間互動效果在不同的區(qū)制時有所區(qū)別;總體而言,相較于經(jīng)濟(jì)平緩狀態(tài),劇烈經(jīng)濟(jì)波動在一定程度上會抑制人民幣國際化進(jìn)程和人民幣匯率、匯率預(yù)期的提升空間。
[Abstract]:This paper selects the monthly data from October 2006 to October 2015, applies the parameter estimation and impulse response function in the VAR model of Markov district conversion (MS-VAR), and empirically analyzes the internationalization of RMB under different regional regimes. The dynamic relationship between RMB exchange rate and exchange rate expectation. The study shows that RMB internationalization, exchange rate and exchange rate expectations in a certain extent change in the same direction, but the effect of interaction between variables in different regions are different; On the whole, compared with the economic levelling, the sharp economic fluctuation will restrain the internationalization of the RMB and the RMB exchange rate to some extent, and improve the expectation of the exchange rate.
【作者單位】： 中南大學(xué)商學(xué)院;
【基金】：國家自然科學(xué)基金項目,項目編號:71373288 湖南省哲學(xué)社會科學(xué)基金項目,項目編號:12YBB273 中南大學(xué)中央高校基本科研業(yè)務(wù)費專項資金資助項目,項目編號:2015zzts154
【分類號】：F832.6;F224

【參考文獻(xiàn)】

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本文編號：2397119