利率冲击、汇率冲击与中国宏观经济波动——基于TVP-SV-VAR的研究  

Interest Rate Shocks, Exchange Rate Shocks and China's Macro-Economic Fluctuation: A Study Based on TVP-SV-VAR

作　　者：刘永余[1] 王博[1] 

机构地区：[1]南开大学经济学院,300071

出　　处：《国际贸易问题》2015年第3期146-155,共10页Journal of International Trade

基　　金：国家社科基金重点项目"深化政策性金融改革研究"(14AZD032);教育部重点研究基地重大项目"全球金融体系变革下的跨国公司投资"(14JJD790030);中国滨海金融协同创新中心课题"金融创新与宏观金融稳定"

摘　　要：本文选取1996年到2013年的季度数据,利用具有符号约束的贝叶斯时变随机波动向量自回归模型(TVP-SV-VAR),针对人民币利率冲击、汇率冲击在不同经济环境中对于宏观经济的时变影响进行分析。结果表明,利率冲击对于物价的短期影响并不稳定,通胀水平越高影响越大,长期影响相对稳定。利率冲击主要通过资本形成影响产出,资本形成比重越高或利率敏感性越强则影响越大。汇率冲击对于物价水平的传递效应在通胀水平越高时越明显,整体上并未出现降低趋势。汇率主要通过支出转换效应对产出形成短期时变影响,长期时变影响则主要通过资产负债表效应和利率影响渠道。This paper takes the Bayesian time-varying VAR approach with sto- chastic volatility to analyze the relationship between interest rate, exchange rate and China＇s macro economy. The empirical results show that, the short-term influence of interest rate on price is unstable, and the influence is positively related with inflation. However, the long-term influence tends to be stable. Interest rate influences the output mainly through the capital formation channel. The more capital formation in GDP, the stronger the influence is. The pass-through of exchange rate to the price tends to be stronger when there is a higher inflation. Furthermore, exchange rate exerts a time-varying influence on the output in the short run mainly through the expenditure-switching channel, while the long-term time-varying effect is exerted mainly through the interest rate channel and balance sheet effect.

关 键 词：利率 冲击 汇率冲击 符号约束 贝叶斯时变随机波动向量自回归模型 

分 类 号：F832.1[经济管理—金融学]