货币政策协调、汇率波动与亚太经济周期协动性--基于PVAR模型的实证研究  

Monetary Policy Coordination,Exchange Rate Fluctuation and Asia-Pacific Business Cycle Synchronization:An Empirical Study Based on PVAR Model

作　　者：郭卫军 黄繁华 Guo Wei-jun;Huang Fan-hua

机构地区：[1]南京大学经济学院 [2]南京大学经济学院,长江三角洲经济社会发展研究中心

出　　处：《亚太经济》2018年第6期30-38,M0004,M0005,共11页Asia-Pacific Economic Review

基　　金：教育部人文社会科学研究重点基地重大项目“长江三角洲全面建设小康社会中的开放发展研究”(批准号16JJD790025).

摘　　要：基于1997-2016年亚太地区13个主要国家或地区的样本数据,采用面板向量自回归模型(PVAR)和脉冲响应函数图分析货币政策协调、汇率波动对亚太经济周期协动性的影响及三者之间的相互动态关系。研究结果表明:在短期内,货币政策协调度的提高能够增强亚太经济周期协动性,汇率波动的增加将减弱亚太经济周期协动性,而亚太经济周期协动性的增强也有助于亚太地区货币政策协调度的提高和汇率波动的减少。进一步将样本分类进行研究发现,对于不同类型的国家之间来说,货币政策协调、汇率波动与经济周期协动性的相互关系和影响程度都存在一定差异。Based on the sample data from 13 major countries or regions in the Asia-Pacific region from 1997 to 2016,the paper analyzes the impact of monetary policy coordination and exchange rate volatility on the business cycle synchronization in the Asia-Pacific region and the dynamic relationship between each other by using panel vector autoregressive model( PVAR) and impulse response function diagram. The research results show that,in the short term,the improvement in the coordination of monetary policy can enhance the Asia-Pacific business cycle synchronization. The increase in exchange rate fluctuations will weaken the Asia-Pacific business cycle synchronization. The enhancement of Asia-Pacific business cycle synchronization also contribute to the improvement of the coordination of monetary policy and the reduction of exchange rate fluctuations. Further study on the classification of samples shows that,for different types of country groups,there is a certain degree of difference in mutual relations and the degree of influence between monetary policy coordination,exchange rate fluctuations,and business cycle synchronization.

关 键 词：货币政策协调 汇率波动 亚太经济 周期协动性 

分 类 号：F831[经济管理—金融学]