货币政策冲击与人民币汇率动态  

Monetary Policy Shocks and the Dynamics of China’s Exchange Rate

作　　者：赵文胜 张屹山 

机构地区：[1]占林大学数量经济研究中心,吉林长春130012

出　　处：《金融研究》2012年第8期1-15,共15页Journal of Financial Research

基　　金：国家自然科学基金项目“全球经济失衡背景下美国经济政策对中国的溢出效应及其风险隔阻机制的研究”(71173087);教育部人文社会科学一般项目“具有区制转移的利率期限结构模型研究”(12YJCZH187)资助

摘　　要：传统的货币政策冲击是通过短期约束或者长期约束下的向量自回归模型识别的,由于这种识别方法往往会引起"价格之谜"悖论,为保证实证分析的稳健性,本文同时采用短期约束和符号约束(Uhlig,2005)方法识别货币政策冲击,并对中国2005～2011年的数据进行实证检验,给出货币政策冲击对汇率影响的证据。结果表明,中国采取紧缩货币政策减少货币供应量,以及美国采取宽松货币政策降低短期利率,均会引起人民币兑美元汇率持久性升值,前者对汇率变动的解释能力更强,但解释比例不超过50%,并且实证分析认为人民币兑美元汇率没有产生超调现象。由于货币政策等外部冲击以及市场的不完全性,会导致汇率异常波动,我们认为央行适度的外汇干预仍然是有必要的。Traditional monetary policy shock is identified by short-term or long-term restriction in SVAR model, which may lead to ＂price puzzle＂. In order to assure robustness of resuhs, we impose both short-term restric- tion and sign restriction （Uhlig, 2005） to identify monetary policy shocks. And then, we empirically research into RMB exchange rate with the data from 2005 to 2011, which reveals the effects of monetary shocks on the exchange rate volatility. The results show that China＇s contractionary monetary policy and America＇s easing mo- netary policy could both lead to permanent appreciation of exchange rate. The former could explain more of the exchange rate movements than the latter. And we find there is no RMB exchange rate overshooting. Due to the incomplete market, we insist that PBOC＇s proper intervention in foreign exchange market is still necessary.

关 键 词：货币政策冲击 汇率动态 识别 符号约束 

分 类 号：F224[经济管理—国民经济] F822.0F832.6