财政支出、贸易条件和中国的实际汇率——基于期内和跨期双重优化和无限期预算约束的理论和实证研究  

Government Expenditure,Terms of Trade and the Real Exchange Rate in China:Theoretical and Empirical Research Based on Intratemporal and Intertemporal Dual Optimization and Indefinite Budget Constraints

作　　者：陆前进[1] 温彬[2] 

机构地区：[1]复旦大学国际金融系,上海200433 [2]中国银行国际金融研究所,北京100818

出　　处：《金融研究》2014年第6期115-131,共17页Journal of Financial Research

基　　金：国家自然科学基金(70673011;71173042);教育部后期项目(12JHQ030)资助;上海市教委科研创新重点项目资助(13ZS010)

摘　　要：本文首先在消费者效用最优化条件下构建典型代理人的期内内部实际汇率模型和跨期内部实际汇率模型,在此基础上,得到双重最优化下的实际均衡汇率。进一步,在无限期消费预算约束的条件下,融入了贸易条件的变化,得到内部实际汇率和外部实际汇率的封闭解,综合考察了政府支出、贸易条件等对外部实际汇率的影响。本文实证结果显示:经常项目,政府支出等对实际汇率影响为正,贸易品产出和贸易条件对实际汇率的影响为负,和理论分析一致。经常项目、政府支出、贸易品产出和贸易条件能够解释实际汇率的变动,实际汇率预测误差方差被政府支出、贸易品产出和贸易条件解释相对较多,政府支出、贸易品产出和贸易条件是影响实际汇率的重要因素。Firstly the theoretical model of the intratemporal real exchange rate is established under the consumer utility optimization and at the same time the internal real exchange rate is obtained under the representative agent intertemporal equilibrium model, and the dual optimal real exchange rate is determined. Further, under the condition of indefinite consumption budgetary constraints, merging the terms of trade, the closed - form solutions of the internal real exchange rate and the external real exchange rates will be obtained, comprehensively examining the effects of government spending, terms of trade , etc, on the external real exchange rate. The empirical results display： Current account, government spending have positive effects on the real exchange rate, the tradable output and terms of trade have negative impacts on the real exchange rate. Current account, government spending, the tradable output and the terms of trade can explain the changes of the real exchange rate, the variance of the real exchange rate forecast errors can be more accounted for by the government spending, the tradable output and the terms of trade, and the government spending, the tradable output and the terms of trade are important factors which affect the real exchange rate.

关 键 词：内部和外部实际汇率 政府支出 贸易条件 预算约束 期内和跨期 

分 类 号：F812.45[经济管理—财政学] F752F832.6