人民币外汇市场压力及其时变溢出效应研究  

Study on RMB exchange market pressure and its time-varying spillover effects

作　　者：梁琪[1] 刘精山 王睿[2] Liang Qi;Liu Jingshan;Wang Rui

机构地区：[1]南开大学经济学院,天津300071 [2]中国人民银行天津分行,天津300040

出　　处：《东岳论丛》2019年第4期34-45,191,共13页DongYue Tribune

基　　金：中国人民银行天津市分行项目"我国外汇市场交易监管机制设计研究";天津市131创新型人才团队"金融风险创新团队"的资助

摘　　要：本文从金融压力的视角研究了外汇市场压力对其他金融市场压力的动态关系和影响机制,并进一步通过TVP-VAR-SV模型进行了实证研究。研究发现外汇市场压力与我国其他金融市场和行业压力具有显著的非线性动态关系,不同的压力区制和压力程度下有不同的影响效果和冲击程度,并且不同市场压力对外汇市场压力的响应速度不同。在升值压力区制阶段,尤其是强升值压力区制阶段,外汇市场压力的增加会导致股票市场、债券市场及房地产市场压力的提升,在贬值压力阶段显著提升了银行业和房地产市场的压力水平。因此,为防范外汇市场极端压力对我国金融市场的冲击,应继续推进汇率市场化改革,并建立风险预警机制和金融体系关联性监管机制。This paper studies the dynamic relationship and influence mechanism of foreign exchange market pressure and other financial market pressure from the perspective of financial pressure. It conducts empirical analysis with a TVP-VAR-SV model and finds that there is a significant nonlinear dynamic relationship between exchange market pressure and other financial market pressures in China. The impact effect and impact degree are different under different pressure system and pressure degree, and he response speed of different market pressure to foreign exchange market pressure is different too. The appreciation pressure on the exchange market may increase the pressure on the stock market, bond market and real estate market. On the other hand, the increasing depreciation pressure on the exchange market may significantly raise the pressure on the banking sector and real estate market. In order to prevent the impact of extreme pressure in foreign exchange market on China’s financial market, we should continue to promote exchange rate market reform, establish risk warning mechanism and financial system relevance supervision mechanism.

关 键 词：外汇市场压力 金融压力 金融风险 外汇风险 货币市场 房地产市场 

分 类 号：F832.5[经济管理—金融学]