货币反替代对我国汇率和资产价格的影响分析基于人民币国际化进程的视角  

The Impact of Anti-substitution of Currency on China's Exchange Rate and Asset Prices: A Perspective of the Process of RMB Internationalization

作　　者：巴曙松[1,2] 刘精山 黄文礼[1] 

机构地区：[1]中国科学技术大学统计与金融系,安徽合肥230026 [2]国务院发展研究中心,北京100010

出　　处：《财经理论与实践》2014年第1期2-7,共6页The Theory and Practice of Finance and Economics

基　　金：国家自然科学基金(70973104)项目资助;中国博士后基金资助(2012M511942)

摘　　要：随着我国人民币国际化的推进，货币反替代程度不断增强。这种反替代深化势必对我国的汇率和资产价格产生影响。基于SVAR模型，利用2005～2013年的月度数据，应用脉冲响应和方差分解研究货币反替代对人民币汇率、股票和房地产的影响，实证研究表明，货币反替代对人民币汇率有“放大效应”，对房地产市场的影响程度要大于对股票市场的影响程度。With the advance of RMB internationalization, the anti-substitution of RMB is growing rapidly. This phenomenon must have an impact on Chinas exchange rate and asset price. Based on SVAR model, the paper studies the impact of anti-substitution of RMB on the RMB exchange rate, equity price and real property price, using impulse response and variance decomposition with monthly data during the 2005- 2013. The empirical evidence shows that the anti-substitution of currency produces an ＂amplification effect＂ to the RMB exchange rate, and that the anti-substitution of currency has far greater influence on real estate market than on the stock market.

关 键 词：货币反替代 汇率 资产价格 SVAR模型 

分 类 号：F822.2[经济管理—财政学]