美元汇率长期波动动因探析  

An Exploration of the Influencing Factors for Long-term Fluctuation of U.S. Dollar Exchange Rate

作　　者：胡援成[1] 段希文[2] 彭美玲[3] 

机构地区：[1]江西财经大学金融发展与风险防范研究中心,南昌330013 [2]中国人民大学财政金融学院,北京100872 [3]中信证券股份有限公司经纪业务部,北京100045

出　　处：《当代财经》2011年第5期48-57,共10页Contemporary Finance and Economics

基　　金：国家社会科学基金资助项目(07BJY154)

摘　　要：基于国际金融危机背景来研究美元价值与美国国债、美国股指、经常项目逆差以及大宗商品价格之间的相关性具有现实意义。通过选取美国国债、联邦基金利率、标准普尔指数、经常项目逆差以及国际大宗商品价格指数,运用Johansen协整检验、VEC模型、脉冲响应模型及Granger因果检验等计量方法进行考察后发现,美国国债的泛滥与美元贬值没有直接的因果关系;美元价值的波动与美国经济基本面(包括金融环境)的状况存在显著的长期相关性;美元指数的走势与国际金融市场中石油、黄金等大宗商品价格指数的走势相关,且后者对美元变动具有一定程度的短期预测效应。Against the background of the international financial crisis,this paper probes the correlation between the value of US dollar and US national debt,US stock index,the current account deficit,and the CRB index,which is of real significance.This study is carried out by choosing the US national debt,the federal fund rate,SandP index,the current account deficit and the CRB index and by adopting such methods as Johansen co-integration,VEC model,impulse reaction model and Granger causality test,etc..The results indicate that there is no direct cause-effect relationship between the increasing of U.S.national debt and the devaluation of U.S.dollar;there exists a significant long-term correlation between the fluctuation of the value of U.S.dollar and the fundamental conditions of US economy（including financial conditions）;the trend of U.S.dollar is correlated with the trend of oil,gold and other CRB index in the international financial markets,and the later has a certain short-term predictive effect on the changes of US dollar.

关 键 词：美元汇率 长期波动 美国国债 

分 类 号：F830.73[经济管理—金融学]