中国银行业货币错配问题实证分析  

The empirical analysis of banking of currency mismatch in China

作　　者：郭盛 刘洋[3] 房勇 GUO Sheng;LIU Yang;FANG Yong(School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190,China;China Life Asset Management Company Limited,Beijing 100033,China;Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China)

机构地区：[1]中国科学院大学经济与管理学院,北京100190 [2]中国人寿资产管理有限公司,北京100033 [3]中国科学院数学与系统科学研究院,北京100190

出　　处：《系统工程理论与实践》2019年第8期1936-1942,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71271201,71631008)~~

摘　　要：货币错配问题长期存在于新兴经济体中,近二十年来受到了学者的广泛关注.学者们提出了多种衡量货币错配的实证性指标,但这些指标仅考察了货币错配的存量部分,导致以往的结论存在一定的局限性.基于此,本文提出采用银行结售汇数据构建货币错配的流量指标,此指标可以动态分析出引致货币错配的深层次原因.然后运用ADL模型分别对货币错配的存量指标和流量指标进行建模,实证分析了货币错配与利差、汇差等多个指标间的关系.研究表明:本币的适当贬值、适当扩大进口以减少贸易顺差,可以从存量的角度有效降低货币错配问题而加快人民币国际化,可以从流量的角度有效降低中国存在的货币错配问题.Currency mismatch has drawn attention of the scholars in the recent 20 years.Scholars have proposed lots of empirical measures of currency mismatch of bank that only focus on stock currency mismatch,which leads to some limitations in the conclusion.Based on this fact,this paper comes up with a new indicator of flow currency mismatch,which can be used to analyzing the cause of currency mismatch of bank deeply and dynamically.Then this paper gives an empirical analysis of the relationship between the currency mismatch and some economic variables using ADL model.The study shows that the proper depreciation of domestic currencies,appropriately expanding imports to reduce the trade surplus can effectively reduce the currency mismatch in China from the perspective of stock and the promotion of RMB internationalization can effectively reduce the currency mismatch in China from the perspective of low.

关 键 词：货币错配 流量型货币错配 ADL模型 

分 类 号：F832[经济管理—金融学]