汇率波动对世界经济的影响  

The Effects of Exchange Rate Volatility on World Economy

作　　者：戴金平[1,2] 黎艳[2] 刘东坡[2] 

机构地区：[1]中国特色社会主义经济建设协同创新中心 [2]南开大学经济学院国际经济研究所

出　　处：《国际金融研究》2017年第5期46-55,共10页Studies of International Finance

基　　金：2016年港澳研究项目(批准号:HKM1612)资助

摘　　要：本文从实体经济和金融市场两个维度入手,将汇率波动影响世界经济的渠道归纳为贸易规模效应、资本流动效应和金融稳定效应。利用世界主要经济体2008-2015年的季度面板数据,借助TGARCH模型测度世界汇率的波动指标,并采用PVAR模型实证检验了汇率波动对世界经济的影响。研究发现,汇率波动促进了资本的全球流动,但是不利于国际贸易的发展,也在一定程度上加剧了金融市场的动荡,从而不利于世界经济的发展,阻碍了世界经济的复苏。在此基础上,本文给出了相应的对策建议。Based on the two dimensions of real economy and financial market, the channels of exchange rate volatility affecting the world economy are summarized as trade scale effect, capital flow effect and financial stability effect. Then this paper chooses TGARCH model to measure the world＇s exchange rate volatility, and based on the quarterly panel data of the world＇s major economies from 2008 to 2015, this paper empirically studies the effects of exchange rate volatility on the world economy by using the PVAR model. The results indicate that exchange rate volatility promotes the global capital flows, but is not conducive to the development of international trade, and exacerbates the turmoil in the financial markets to some extent, which goes against the recovery and development of world economy. On this basis, this paper gives some countermeasures and suggestions.

关 键 词：汇率波动 贸易规模效应 资本流动效应 金融稳定效应 PVAR模型 

分 类 号：F831[经济管理—金融学]