中美经济关系、汇率制度与中国汇率政策——基于FAVAR模型的实证分析  

China-US Economic Relationship,Exchange Rate System and Chinese Exchange Rate Policy

作　　者：王胜[1,2] 陈继勇[1] 

机构地区：[1]武汉大学经济与管理学院 [2]武汉大学经济发展研究中心

出　　处：《数量经济技术经济研究》2010年第1期95-106,共12页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金青年项目(批准号:70803037);国家社会科学基金重点项目(批准号:07AJL016);教育部人文社会科学规划基金项目(批准号:08JA790097)的资助

摘　　要：本文对美国经济因素与中国主要宏观经济变量之间的相关性进行了定量研究,实证分析了1993～2007年中美经济关系、人民币汇率制度改革对中国汇率政策传导机制和效果的影响。通过因素增强型向量自回归模型的实证分析,我们发现中美两国经济关系呈现出高度的协同性。中美经济交流和互动对中国汇率政策传导机制和效果产生了明显影响,主要表现为美国因素弱化了汇率政策的短期效应。人民币名义汇率能够浮动时,能在一定程度上缓和国内外供需矛盾,减小实际升值对外贸顺差的负面效应,但加剧了产出衰退。This paper quantifies the correlations between US economic factor and China＇s macroeconomic variables, and analyzes the influences on exchange rate policy transmission mechanism and effectiveness over the 1993 -2007 period by China-US relationship and revolution of exchange rate system. We do empirical analysis by estimating a factor-augmented vector autoregressive model, and find that there is high degree of comovements across China and US. The intercommunion and interaction between China and US exert a distinct influence on the exchange rate policy transmission mechanism and effectiveness in China, which leads to a decline in the sensitivity of exchange rate policy in the short run. Moreover, RMB exchange rate system also produces an important influence on the effectiveness of exchange rate policy.

关 键 词：汇率政策 美国经济 脉冲响应 

分 类 号：F832[经济管理—金融学]