资本回报率对美元汇率中长期周期性波动的影响研究——基于ARDL模型的实证分析  

The Return on Capital and the Fluctuations of the US Dollar Index in the Medium and Long Term:a Study Based on an ARDL Model

作　　者：刘晓曙[1,2] 王婧[3] 

机构地区：[1]青岛银行 [2]山东大学经济研究院 [3]招商银行

出　　处：《金融监管研究》2016年第3期81-89,共9页Financial Regulation Research

摘　　要：针对美元指数中长期的周期性波动现象,本文提出一种新的解释假说:美元指数的变化是由对美国国内资本回报率预期的变化引起的;对美国国内资本回报率预期的周期性波动引起了美元指数的周期性波动。本文针对这一假说,基于无约束误差修正模型对资本回报率预期与美元指数进行了边限检验,并通过建立长期动态关系方程ARDL及与此相联系的短期动态误差修正方程ARDL-ECM,进行了定量关系分析。实证研究结果表明:首先,美元指数与资本回报率预期之间存在稳定的长期关系;其次,资本回报率预期对美元指数走势存在单向的、稳定的影响力。资本回报率预期对美元指数中长期周期具有显著性的单向影响。这一发现显示,美元汇率波动并不主要是一种数量货币现象,而是一种真实经济活动状态的反映,是在市场经济条件下,资本逐利驱动技术创新与扩散引起的资本周期性流动的内生现象。Focusing on the movement of the U.S. dollar index in the medium and long term, a new explanation is proposed by this paper： the expectation on the rate of return on capital in the U.S causes the movement of the U.S. dollar index, and cyclical changes on the expectations on the rate of return on capital in the U.S cause the cyclical movement of the U.S. dollar index. Based on this hypothesis, in this paper conducted a bound test on the U.S. dollar index with the assistance of unconstrained error correction model. An ARDL model and a short-term error correction equation has been built to verify the hypothesis. The result proves a fact that there is a steady and significant unidirectional long-term relationship between the expectation on the rate of return on capital and the U.S. dollar index, and illustrates that the cyclical movements of the U.S. dollar index are more a reflection of real economy than just a quantitative monetary phenomenon. The cyclical movement of the U.S. dollar index is endogenous in market-oriented economy, which caused by technological innovation and diffusion driven by capital flow.

关 键 词：资本回报率 美元指数 蜂聚 扩散 周期性波动 边限检验 

分 类 号：F426.22[经济管理—产业经济]