汇率波动与新兴市场国家货币政策规则——基于巴西、南非和俄罗斯的研究  

Exchange Rate Movements and Monetary Policy Rule of Emerging Market Countries: A Research Based on Brazil, South Africa and Russia

作　　者：林季红[1] 潘竟成[1] 

机构地区：[1]厦门大学经济学院世界经济研究中心,福建厦门361005

出　　处：《国际经贸探索》2015年第5期73-85,共13页International Economics and Trade Research

摘　　要：文章在一个汇率不完全传递的开放经济动态随机一般均衡模型框架下,对巴西、南非和俄罗斯的货币政策规则进行了贝叶斯估计。研究结果表明:巴西和南非央行实施通货膨胀目标制以后货币政策规则对汇率波动反应系数较低;而俄罗斯央行则面临稳定通胀和稳定汇率的双重货币政策目标,所以俄罗斯货币政策规则对汇率波动反应系数较高,较高的汇率波动反应系数能否稳定俄罗斯的通胀和产出则取决于外生冲击的类型。因此,各国央行应妥善协调政策利率和外汇市场干预,加大宏观经济领域风险识别与监控,积极促进各国之间货币政策合作。Based on a small open-economy＇s dynamic stochastic general equilibrium （DSGE） model, the paper makes a Bayesian estimation of Brazil, South Africa and Russia＇ monetary policy rules. The empirical results show that： the response of Brazil and South Africa＇s central banks to exchange rate movements is significantly small after their adoption of Inflation Targeting Regime. The response coefficient of Russia＇ central bank is relatively bigger when facing the inflation and exchange rate targeting anchor. Whether the bigger response coefficient of Russia＇ central bank can help to stabilize its domestic inflation and output or not depends on the style of shocks. So central banks of BRICS countries should coordinate their monetary policy rates and foreign exchange market intervention, strengthen their supervision on the risk identification and risk control of macro economy, and actively promote harmony and coordination between their monetary policies.

关 键 词：动态随机一般均衡 贝叶斯估计 货币政策规则 

分 类 号：F820.2[经济管理—财政学]