中美汇率是中国经济波动的原因还是稳定器?  

Is the RMB/USD Exchange Rate a Source of Chinese Economy Fluctuation or a Shock Absorber?

作　　者：邹宏元[1] 罗然[1] 

机构地区：[1]西南财经大学金融学院

出　　处：《国际金融研究》2017年第2期45-53,共9页Studies of International Finance

基　　金：四川省科技厅项目"人民币分行业有效汇率研究"(2015ZR0122)阶段性成果

摘　　要：本文应用附加短期和长期零约束的结构性向量自回归(SVAR)模型,考察了汇率是中国经济波动的原因还是经济波动的稳定器。研究发现,从方差分解结果看,汇率冲击对中美相对产出、真实汇率、名义汇率、中美利率差的影响都不大,特别是汇率冲击对真实汇率波动和名义汇率波动的解释作用都比需求冲击小得多。从脉冲反应结果看,在石油价格冲击、生产力冲击和需求冲击影响下,真实汇率都朝着有利于吸收冲击的方向波动。因此,中美汇率不是导致中国经济波动的重要原因,而是吸收冲击的稳定器。This paper investigates whether the RMB/USD exchange rate is a source of Chinese economy fluctuation or a shock absorber, using a structural vector autoregressive model （SVAR） with a combination of short-run and long-run zero restrictions. The results are as follows： first, we find that exchange rate shocks are not very important in explaining the variance of relative output, real exchange rate, nominal exchange rate and interest rate differential between China and the US. The demand shock dominates exchange rate shock in explaining the real and nominal exchange rate movement. Second, in response to oil price shock, productivity shock, or demand shock, the movement of the real exchange rates would absorb the effect of these shocks. Overall, we conclude that the exchange rate behaves as a shock-absorber rather than a source of shock.

关 键 词：真实和名义汇率 波动原因 冲击稳定器 附加短期和长期零约束的SVAR 模型 真实和名义冲击 

分 类 号：F831[经济管理—金融学]