汇率与货币错配协动性关系及机理探析  

The Comovement of Exchange Rate and Currency Mismatch and the Mechanism Exploration

作　　者：王中昭[1] 

机构地区：[1]广西大学商学院

出　　处：《国际金融研究》2010年第5期30-39,共10页Studies of International Finance

基　　金：国家社会科学基金项目"汇率政策与货币错配协动性及其传导机制研究"(批准号09BJY107)

摘　　要：本文从汇率对货币错配传导性入手,对汇率与货币错配的传导协动性关系和机理进行探讨。通过引入随机干扰的正向和逆向冲击因素,构建汇率等影响因素与货币错配协动性关系联立方程模型。研究表明:单一盯住美元汇率制度下的货币错配与各种因素综合协动性关系弱化,但参考一篮子货币汇率制下的综合传导协动性明显,并且货币错配汇率风险在缓慢增强;汇率升值政策效果受到阻滞比贬值大,呈现很快由强转弱的变异性;汇率与货币错配协动性关系呈现出12年左右周期性特征;低利率水平有助于弱化货币错配;货币错配与人民币汇率、外币负债以及外汇储备协动性关系均具有不对称性;我国货币错配主要是由短期外币负债增长和紧缩性长期外债的长期滞后影响叠加造成的。This paper mainly discusses the comovement of exchange rate and currency mismatch as well as the interaction mechanisms. By introducing the factors related to forward and reverse impacts of random interferences, the paper builds a model describing the comovement between the influential factors （such as exchange rate） and currency mismatch. The study shows that the comovement is relatively weak in an exchange rate regime of solely pegging to the US dollar, but quite obvious in a regime of pegging to a basket of currencies, with the exchange rate risks faced by currency mismatch slowly increased; the effect of appreciation policies is weakened to a greater extent than that of depreciation policies; the comovement between exchange rate and currency mismatch follows a cycle of 12 year or so; low interest rate level is conducive for reducing currency mismatch; there is an asymmetry among the comovements between currency mismatch and RMB exchange rate, foreign debt, and foreign exchange reserve; the currency mismatch in China is mainly a result of the increased short term foreign debt combined with the lagged effect of long term foreign debt.

关 键 词：汇率 货币错配 协动性 冲击效应 

分 类 号：F83[经济管理—金融学] F064.1