关于宏观经济变量与境内外币资金波动规律的研究  

Research on the Relationship between Macroeconomic Variables and the Fluctuation of Domestic Foreign Currency

作　　者：李海霞[1,2] 杨磊[3] 

机构地区：[1]西南财经大学 [2]中国银行 [3]中国银行财务管理部

出　　处：《国际金融研究》2014年第12期86-93,共8页Studies of International Finance

摘　　要：本文从我国货币供给量计算公式和居民持有外币的效用函数出发推导建立了宏观经济变量与境内外币资金波动的动态决定方程,从理论上证明了在当前市场环境下,决定境内外币资金数量的主要因素是国内信贷投放、外汇占款和人民币汇率,并通过实证检验建立了变量之间的ECM模型。研究结果表明,宏观经济变量与境内外币资金长期存在"弱平衡"关系,一方面,两者在宏观经济运行的某一阶段可能存在稳定的线性关系。另一方面,两者之间的关系并不牢固,在外界因素的冲击下将会持续偏离均衡水平。The paper discusses about the relationship between Macroeconomic variables and the fluctuation of domestic foreign currency using dynamic equations established from monetary aggregates determination mechanism and residents＇ utility function, finding that the three main push-powers of the volume of domestic foreign currency are domestic credit loan, position for forex purchase and RMB exchange rate under the current market circumstance. The paper further applied ECM model to fulfill empirical tests. Both the mathematical and empirical studies reveal that, in the long run, there is a ＂weak equilibrium＂ existing between macroeconomic variables and domestic foreign currency. They may have a linear relationship under a certain status of macroeconomic operation, yet the relationship is not stable and has the probability of persistent deviation from equilibrium level due to the impact of exogenous shocks.

关 键 词：宏观经济变量 境内外币资金 动态方程 ECM模型 

分 类 号：F831[经济管理—金融学]