汇率和外币负债对货币错配传导特征及其异质性——中国和东盟各国的经验实证  

The Characteristics and Heterogeneity of the Conduction on the Exchange Rate and Foreign Currency Liabilities to Currency Mismatch:Empirical Test of China and ASEAN Countries

作　　者：王中昭[1] 易扬[2] 

机构地区：[1]广西大学商学院,广西南宁530004 [2]中国人民银行南宁中心支行,广西南宁530028

出　　处：《国际商务（对外经济贸易大学学报）》2012年第4期23-37,共15页INTERNATIONAL BUSINESS

基　　金：国家社科基金项目"汇率政策与货币错配协动性及其传导机制研究"(批准号09BJY107)阶段性成果

摘　　要：文章在分析中国和东盟各国汇率对货币错配传导特征、差异性和金融危机与货币错配风险的关联性的基础上,通过构建动态面板模型和面板VAR模型,对传导的边际效应、敏感程度的异质性作了深入分析,考察了货币错配对汇率和外币负债冲击的响应程度,并提出了我国汇率机制选择的建议。研究表明:大规模外币负债、外汇储备不足和本币汇率的大幅贬值触发了债务型货币错配风险;货币错配对汇率变动的敏感性的强弱和波动幅度取决于汇率制度的改革和国家的经济发展水平;货币错配受汇率冲击响应的方向和持续的时间与该国汇率是否稳定和激烈波动密切相关;扩张性的外币负债对货币错配积累起到加重的作用,外币负债对货币错配的影响和解释能力持续时间较长。Based on the analysis of the characteristics and heterogeneity of the conduction on the exchange rate to currency mismatch in China and ASEAN countries and the relevance between financial crisis and the currency mismatch risk, the article analyzes the marginal effects of conduction and the heterogeneity of sensitive degree through building a dynamic panel model and the panel VAR model, and reviews the response degree of impact from currency mismatch to ex- change rates and foreign currency liabilities, and finally puts forward the propos- al of Chinas exchange rate mechanism options. Research shows that： large-scale foreign currency debt, the shortage of foreign exchange reserves and the sharp de- preciation of local currency exchange rate trigger the risk of debt type currency mismatch; the sensitivity and fluctuated range of the conduction from currency mismatch to the exchange rate change depend on the reform of exchange rate system and development of national economy level; the direction and duration of impact on currency mismatch from the exchange rate is closely related to the sta- bility and intense fluctuation of country s exchange rate; the expansionary foreign currency liabilities plays an aggravating role to the currency mismatch accumula- tion; the duration of the impact and explanatory power from foreign currency lia- bilities to currency mismatch is longer.

关 键 词：汇率 外币负债 货币错配 传导异质性 面板VAR模型 

分 类 号：F831.6[经济管理—金融学] F821F224