基于VAR模型的QE政策下人民币汇率传导机制研究  

China's Exchange Rate Transmission Mechanism Under QE1-QE4-An Empirical Analysis Based on VAR Model

作　　者：张国胜[1] 张怡[2] 

机构地区：[1]北京第二外国语学院经贸与会展学院,北京100024 [2]中国人民大学,北京100872

出　　处：《数学的实践与认识》2016年第9期61-70,共10页Mathematics in Practice and Theory

摘　　要：针对美国实施的量化宽松货币政策,基于Frankel理论,通过建立VAR模型实证分析货币政策的汇率传导机制.研究发现:在美国四轮(2008-2014)QE国际环境下,从长期看,相对货币供给、利差、通货膨胀差、相对真实收入和人民币汇率具有一定长期均衡关系,但单个变量对汇率的影响并不显著,货币政策并不具有汇率有效传导机制;从短期看,上述长期均衡关系是汇率变化的重要因素,汇率的短期波动在很大程度上来自于系统对偏离这种长期均衡的修复,汇率的即期波动也受其自身、货币供给及真实收入的影响,且短期传导机制具有一定滞后性,其中货币供给效应滞后2个月;从中短期看,汇率变化除受到很强的自身相关性影响外,也受相对真实收入、相对利率冲击的影响,且影响滞后持久、深远(至少10个月),具有显著的汇率理论传导效应.据此提出了相关建议.Based on VAR model and Prankel theory,this paper discusses the transmission mechanism of the RMB/USD exchange rate under the American Quantitative Easing Monetary Policy（QE1-QE4）.It shows that under the QE,the Spreads,the relative Money supply and Real income,the Inflation difference,and the RMB/USD exchange rate have a long-term equilibrium relationship,but the impact of the single monetary policy variables on the RMB exchange rate is not significant.It illustrates that monetary policy between the two countries has not theoretical effects on China＇s exchange rate.In the short term,the exchange rate fluctuates depending mainly on the changes from the long-term equilibrium,then from its autocorrelation,the Relative money supply and the relative income.The time lag is 1-2months.In the mid-term,the exchange rate has much response to the impulses from its earlier data,the Relative income and the Spreads.There exists strong and long time lag also.The affecting time last at least above 10 months.Based these findings,we conclude that the short-term or mid-term effect of monetary policy on exchange rate is consistent with the traditional theoretical mechanism.We then put forward some policy suggestions combining with practice.

关 键 词：量化宽松货币政策 货币政策汇率传导机制 VAR模型 

分 类 号：F832.6[经济管理—金融学]