人民币汇率、外汇储备累积与宏观经济波动  

RMB Exchange Rate,Foreign Exchange Reserves and Volatilities of Macro-Economy

作　　者：周靖祥[1] 

机构地区：[1]重庆大学经济与工商管理学院,重庆400044

出　　处：《广东金融学院学报》2009年第3期14-38,共25页Journal of Guangdong University of Finance

摘　　要：汇改后，外部经济失衡成为了政府部门的“棘手”问题。选取2000年1月-2008年2月的时间序列数据检验外汇储备累积带来的宏观经济和金融波动影响，并借助ARCH模型和TVP模型进行动态分析得出：外汇储备在长期内影响价格波动，而对产出的影响具有短期性；外汇储备对经济增长的动态波动系数为β1=-0．09，外部失衡下经济高增长波动较小，低速增长时期的波动加大；而对国内宏观金融的影响则恰好相反（分别为β1=0．08和β1=0．689）；TVP模型检验得出，国内产出增加和FDI流入都不是国际收支波动的主要影响因素，而进口和外汇储备占款成为国际收支失衡量的重要影响因素。因此，解决“内外”经济平衡的关键是要运用汇率、利率、物价水平调节国际收支及外汇储备．Since the reform of exchange rate regime, external economic imbalance has become the ＂thorn＂ issue for the government. This paper used time-series data from Jan. 2000 to Feb. 2008 to test effects brought from the accumulation of foreign exchange reserves to macro-economy and financial volatility, with ARCH models and TVP model for dynamic analysis. It is concluded that the foreign exchange reserves have Long-term effects to price fluctuations, while have short-term effects to the output. The dynamic volatility coefficient of the foreign exchange reserves to the economic growth is β1 = - 0. 09. External imbalance has small volatility effects to high growth economic period but big volatility effects to slow growth economic period. On the contrary, the impact to the macro-finance is opposite （β1=- 0. 08 and β1= 0. 689）. TVP model tests that domestic output and the increase in FDI flows are not the main factors to fluctuate the balance payments, instead of imports and foreign exchange reserves. Therefore, key to achieve both internal and external economic balance is to use the exchange rate, interest rates and price levels to adjust the balance of payments and foreign exchange reserves.

关 键 词：外部失衡 宏观经济波动 汇率 ARCH模型 TVP模型 

分 类 号：F822.1[经济管理—财政学]