亚洲国家汇率决定：基于汇率联动可行性的分析  

The Determination of Asian Countries' Exchange Rate:An Analysis based on the Feasibility of Exchange Rate Linkage

作　　者：张婧[1] 

机构地区：[1]中国人民大学经济学院．北京100872

出　　处：《上海金融》2012年第2期9-17,116,共9页Shanghai Finance

摘　　要：2000年以来,中国、日本、马来西亚、新加坡、泰国五国汇率总体呈升值趋势,相关度较高,初步具备联动特征。本文从汇率决定理论入手,分析五国汇率的影响因素,并论证五国汇率决定过程中的异同点。我们发现,上述五国虽然宏观经济政策取向不尽相同,但对每一个国家,其货币供应量、GDP、利率、汇率、贸易顺差与美国对应指标的差额,能够形成协整关系,并且除日本外其他四国的短期均衡能够逐步向这种长期均衡自动收敛。据此,本文建立向量自回归模型,模拟出2011年至2018年各国的汇率走势,分析了五国汇率的波动情况,发现五国汇率的中心正从新加坡逐渐转向中国。在此基础上,本文分析了未来各国汇率实施联动的可行性,并得出初步结论,提出相关建议。Since 2000,the overall exchange rates of five countries including China,Japan,Malaysia,Singapore and Thailand have been appre ciated.Also,the exchange rates of these five countries were in high correlation and already showed the initial characteristics of linkage.The paper starts with the exchange rate determination theory,analyzes factors affecting the exchange rates,and demonstrates the similarities and differences in the process of exchange rate determination in the above countries.We find out that,although the five countries' macro-economic policy orientation vary from each other,the margins of these countries' money supply,GDP,interest rate,exchange rate,trade surplus and the corresponding indicator of United States form co-integration relationship,and four countries 's short-term equilibrium except Japan can gradually converge to the long-run equilibrium automatically.On this basis,the paper establishes VAR model to describe the trend of these countries' exchange rates in 2011-2018,and finds out that the center of these countries' exchange rates is gradually switching from Singapore to China.The paper then analyzes the feasi bility of exchange rate linkage in these countries,draws conclusions and puts forward suggestions.

关 键 词：汇率联动 汇率决定 升值 协整 

分 类 号：F3[经济管理—产业经济] F830