预期引导下汇率的宏观经济效应研究——基于FSR-BVAR模型的检验  

Research on Macroeconomic Effect of Exchange Rate Guided by Expectation:Based on the Test of FSR-BVAR Model

作　　者：金春雨[1,2] 徐悦悦 JIN Chunyu;XU Yueyue(Center of Quantitative Economics,Jilin University,Changchun 130012,China;Business College,Jilin University,Changchun 130012,China)

机构地区：[1]吉林大学数量经济研究中心,吉林长春130012 [2]吉林大学商学院,吉林长春130012

出　　处：《华东经济管理》2022年第1期88-98,共11页East China Economic Management

基　　金：国家社会科学基金重大项目“适应新时代社会主要矛盾变迁着眼构建现代化经济体系的深化供给侧结构性改革研究”(18VSJ018)。

摘　　要：文章采用带符号约束的因子贝叶斯向量自回归模型(FSR-BVAR),检验了引入汇率预期后实际汇率波动对宏观经济目标影响效应的变化,对比分析了实际汇率和汇率预期对宏观经济目标的影响效应。结果表明:汇率预期对宏观经济调控具有引导作用,汇率升值预期对经济增长、国际收支和就业具有正向引导,对物价水平具有负向引导;引入汇率预期,实际汇率波动对稳定物价水平和促进就业的有效性显著提升,对促进经济增长有效性无明显变化,对平衡国际收支有效性有所下降;在预期引导下,汇率预期对促进经济增长和平衡国际收支的调控更有效,实际汇率波动对稳定物价和促进就业的调控更有效;汇改后,预期引导下的实际汇率对经济增长、物价水平及国际收支的调控能力显著提高,对就业影响效应减弱,而汇率预期对经济增长、价格水平及就业水平的调控效果减弱,对国际收支影响效应增强。Using FSR-BVAR model,this paper tests the change of the impact effect of real exchange rate fluctuation on macroeconomic objectives after the introduction of exchange rate expectation,and compares and analyzes the impact ef⁃fect of real exchange rate and exchange rate expectation on macroeconomic objectives.The results show that exchange rate expectation has a guiding effect on macroeconomic regulation,exchange rate appreciation expectation has a positive guidance on economic growth,international balance of payment,and employment,and a negative guidance on price level;with the introduction of exchange rate expectations,the effectiveness of real exchange rate fluctuations in stabilizing price levels and promoting employment has been significantly improved,there has been no significant change in the effective⁃ness of promoting economic growth,and the effectiveness of balancing international payments has decreased;under the guidance of expectations,exchange rate expectations are more effective in promoting economic growth and balancing inter⁃national payments,and real exchange rate fluctuations are more effective in stabilizing prices and promoting employment;after the exchange rate reform,the real exchange rate under the guidance of expectation has significantly improved its reg⁃ulation ability on economic growth,price level,and international balance of payment,and weakened its impact on employ⁃ment.However,the regulation effect of exchange rate expectation on economic growth,price level,and employment level has weakened,and its impact on international balance of payment enhanced.

关 键 词：汇率预期 宏观调控 人民币实际汇率 FSR-BVAR模型 

分 类 号：F832.6[经济管理—金融学]