汇率的非线性波动与巴拉萨—萨缪尔森效应  

Joint Effect of The Nonlinear Volatility in the Exchange Rate and the Balassa-Samuelson Effect

作　　者：樊丰[1] 崔兴岩[1] 

机构地区：[1]对外经济贸易大学国际经济贸易学院,北京100029

出　　处：《经济问题》2013年第9期53-56,共4页On Economic Problems

摘　　要：将非线性平滑转移模型与巴拉萨—萨缪尔森效应相结合,使用实际汇率对相对生产率进行回归,并在回归残差的基础上建立STAR模型。结果显示残差存在非线性波动,并且具有两个转换函数的STAR模型能够较好地反映残差的非线性波动特征。证明交易成本、市场参与者的异质性等因素影响了人民币汇率的形成,同时也说明巴拉萨-萨缪尔森效应影响了人民币实际汇率的均衡值。This paper combines the nonlinear smooth transfer model and the Balassa - Samuelson effect by es- tablishing STAR model on the residuals result from the regression of real exchange rate on relatvie productivity. The results showed that the residuals presence of nonlinear fluctuation, and a STAR model with two transition functions could capture the nonlinear characteristic of residual fluctuation. This proves the influence of transaction cost and heterogeneity of the market traders on the formation of RMB exchange rate, and also demonstrate the affection of BS effect on equilibrium value of RMB exchange rate.

关 键 词：STAR模型 巴拉萨—萨缪尔森效应 实际汇率 相对生产率 

分 类 号：F830.92[经济管理—金融学]