基于SVAR模型的汇率影响因素分析  

SVAR Model-based Analysis of Influencing Factors of Exchange Rate

作　　者：王相宁[1] 李文[1] 

机构地区：[1]中国科学技术大学统计金融系,安徽合肥230026

出　　处：《运筹与管理》2010年第2期134-139,共6页Operations Research and Management Science

基　　金：国家973重点基础研究发展计划(2007CB814901)

摘　　要：为了分析汇率与其他宏观经济变量的关系,本文在信息国际化和虚拟资本脱离实体经济迅速发展的假设下,建立SVAR结构的综合效应汇率模型,并实证检验了诸宏观经济变量对人民币汇率的同期效应及滞后效应。研究发现,人民币汇率不但受到外汇储备等宏观经济变量的滞后影响,也受到了信息变化对市场预期和行为的同期影响;在同期,货币供给量和国内股票总值信息变动对其影响尤其大;人民币对特别提款权汇率比人民币对美元汇率更能反映人民币的价值。因此,本文认为货币当局在汇率管理中可以将直接冲击货币价值的因素(如货币供给量)作为主要变量。Under the assumption that internationalization of information and rapid development of fictitious capital are from the real economy entity, this paper constructs the model of exchange rate with comprehensive effect for analyzing the relationship between exchange rate and other maeroeconomie variables and empirically tests the contemporaneous effect and hysteretic effect of various macroeconomic variables on RMB exchange rate. The research result indicates that, first, RMB exchange rate is not only hysteretically affected by macroeeonomic variables such as foreign exchange reserves, but also synchronously by the behavior of foreign exchange market participants whose expectation changes with information change, especially when the changing information of money supply and gross amount of domestic stock have deeper effects; second, RMB exchange rate against SDR reflects the monetary value of RMB better than RMB exchange rate against u. s dollar. Therefore, we consider that the monetary authorities can select principal variables like money supply directly affecting the monetary value in exchange rate regulation.

关 键 词：国际金融 综合效应汇率模型 SVAR 人民币对SDR汇率 虚拟资本 

分 类 号：F830.92[经济管理—金融学]