外汇衍生品市场对货币政策汇率传导渠道的影响--基于中国的实证分析  

The Effects of Foreign Currency Derivatives on Exchange Rate Transmission Channel of Monetary Policy——An Empirical Analysis of China

作　　者：斯文[1] 

机构地区：[1]上海社会科学院世界经济研究所,上海200020

出　　处：《首都经济贸易大学学报》2013年第1期5-15,共11页Journal of Capital University of Economics and Business

基　　金：上海社会科学院2012~2013年度研究生课题《我国外汇衍生品市场发展对出口贸易的影响》

摘　　要：随着中国外汇衍生品市场的快速发展,这一市场对央行货币政策的传导机制尤其是汇率传导渠道的影响日益凸显。通过运用普通回归模型和向量自回归模型进行实证研究,证实了中国外汇衍生品市场已经对货币政策汇率传导渠道产生了显著的影响,并且汇率传导渠道的功能出现明显的减弱迹象。最后从外汇衍生品市场的视角出发,提出改进和完善中国货币政策传导机制的相关政策建议。With the rapid development of the foreign exchange derivatives market in China, its impact on mo- netary policy transmission mechanism, especially on exchange rate transmission channel, is increasingly appar- ent. Based on ordinary regression model and Vector Autoregression model, this paper finds there is a significant im- pact on the exchange rates transmission channels of monetary policy. Meanwhile, it also finds that the function of this channel clearly has been weakening. Finally, from the foreign exchange derivatives market perspective, it puts forward policy recommendations to improve monetary policy transmission mechanism in China.

关 键 词：外汇衍生品 货币政策 汇率传导渠道 VAR模型 

分 类 号：F831.6[经济管理—金融学]