新特里芬悖论之VECM模型分析及对中国货币政策的启示  

On the VECM Model Analysis of New Triffin Paradox and its Inspiration to Currency Policy in China

作　　者：王雅炯[1] 

机构地区：[1]中央财经大学金融学院,北京100081

出　　处：《现代财经（天津财经大学学报）》2012年第3期54-61,118,共9页Modern Finance and Economics：Journal of Tianjin University of Finance and Economics

摘　　要：本文从特里芬悖论的原意出发提出新特里芬悖论概念,通过协整检验和构建向量误差修正模型(VECM),建立美元实际有效汇率与货币供应量、国际资本收支之间的长期均衡和短期动态关系,并利用脉冲响应函数和方差分解原理分析变量短期波动给美元实际有效汇率的冲击。新特里芬悖论产生的问题对实际经济活动影响有限,当世界各国的美元需求增长可持续时,以美元为主导的国际货币体系不存在根本性矛盾,新特里芬悖论并不能作为美元贬值政策的理论依据,这也对人民币国际化和外汇政策有长期的借鉴意义。In this paper,I propose the concept of New Triffin Paradox,and with cointegration test and VECM model,I set up a long-term equilibrium and short-term dynamic relationship among US dollar real effective exchange rate and currency supply and international capital revenue and expenditure.And by using impulse response function and variance decomposition principle,I make an analysis on the shock of variables＇ short-term fluctuation on US dollar real effective exchange rate.The effect of New Triffin Paradox problems on real economic activity is limit.When the world nations have a sustainable growing demand for US dollar,there does not exist a fundamental contradiction of international currency system led by US dollar,New Triffin Paradox can not be a theoretical basis for US dollar depreciation policy,and it provides reference for RMB internationalization and foreign exchange policy in a long time.

关 键 词：新特里芬悖论 经常项逆差 协整检验 向量误差修正模型 

分 类 号：F820.1[经济管理—财政学]