货币政策、人民币汇率与国际原油市场关系的实证分析  

Empirical Study of Relationship Between Monetary Policies, RMB Exchange Rate and International Crude Oil Market

作　　者：李建峰 卢新生 蒋伟[3] Li Jianfeng;Lu Xinsheng;Jiang Wei(College of Economics and Management,China University of Metrology,Hangzhou 310018,China;Business School,University of Jinan,Jinan 250022,China;School of Economics and Management,Tongji University,Shanghai 200092,China)

机构地区：[1]中国计量大学经济与管理学院,杭州310018 [2]济南大学商学院,济南250022 [3]同济大学经济与管理学院,上海200092

出　　处：《统计与决策》2018年第18期154-157,共4页Statistics & Decision

基　　金：国家自然科学基金资助项目(71173088)

摘　　要：文章基于人民币汇率和国际原油市场数据,在VAR-BEKK-MGARCH模型基础上引入中外利差、央行公开市场操作以及利率和准备金率调整等货币政策变量,实证分析了人民币汇率市场和国际原油市场之间的溢出效应。结果发现,五个人民币汇率与国际原油之间存在不同的均值和波动溢出关系。货币政策、人民币汇率和国际原油市场间的互动关系明显。Based on RMB exchange rate, the data of international crude oil market, and VAR-BEKK-GARCH model, this paper introduces monetary policy variables such as domestic and foreign interest rate spreads, central bank open market operations and interest rate and reserve ratio adjustments to empirically analyze the spillover effect between the Chinese foreign exchange rate and international crude oil market. The results show that the five RMB exchange rates have different average and volatility spillover relations with international crude oil, and that there is a significant interaction among monetary policy, RMB exchange rate and crude oil

关 键 词：人民币汇率 国际原油市场 中外利差 货币政策 

分 类 号：F821[经济管理—财政学]