本文選題：匯率波動　切入點：貨幣政策　出處：《國際貿(mào)易問題》2016年07期

【摘要】：本文先構(gòu)建帶有匯率波動的內(nèi)生經(jīng)濟增長模型,理論分析人民幣匯率波動加劇對資本流入的影響,進(jìn)而基于TVP-VAR-SV模型,實證研究人民幣匯率波動、貨幣政策與資本流入之間的互動關(guān)系。理論結(jié)果表明,人民幣匯率波動加劇對資本流入的影響是不確定的,主要取決于廠商對進(jìn)口資本的依賴程度,以及出口商品價格在一般價格水平中的相對權(quán)重。實證結(jié)果表明,人民幣匯率波動對于利率和資本流入的影響乘數(shù)在整個樣本期內(nèi)均表現(xiàn)為負(fù)值,且保持相對穩(wěn)定,而利率波動對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,表現(xiàn)出時變特征;對于不同提前期的匯率波動沖擊,預(yù)期在利率和資本流入反應(yīng)中,起到重要作用;而不同時點的匯率波動沖擊,資本流入反應(yīng)程度與匯率波動幅度之間呈正相關(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】：國家社會科學(xué)基金項目(16BJY168) 國家自然科學(xué)基金資助項目(71471117) 教育部人文社會科學(xué)規(guī)劃項目(12JYC790020) 上海市教委科研創(chuàng)新重點項目(14ZS105)
【分類號】：F832.6;F822.0

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本文編號：1673013