基于TVP-VAR模型的人民币国际化与经常账户关系研究  

Study on the Relationship between RMB Internationalization and Current Account by Using the TVP-VAR Model

作　　者：刘方[1] LIU Fang(School of Economics and Management,Yunnan Normal University,Kunming,Yunan 650500,China)

机构地区：[1]云南师范大学经济与管理学院,云南昆明650500

出　　处：《金融教育研究》2023年第5期45-53,共9页Research of Finance and Education

基　　金：国家社会科学基金项目“东南亚地区人民币国际化效果的国家异质性及政策优化研究”(21BGJ043)。

摘　　要：采用TVP-VAR模型,实证研究人民币国际化与经常账户的双向影响。结果表明:人民币国际化对经常账户顺差具有持续的逆向调节作用,其强度随时间推移而减弱,且当期效果明显;经常账户顺差扩大则抑制人民币国际化水平上升,该抑制作用具有明显的时滞性,表现为当期效果弱、中期效果强;进一步研究发现,人民币国际化和资本与金融账户相互促进,且外生冲击并未改变二者的内在关系。This paper studies the two-way interaction between RMB internationalization and current account by using the time varying parameters vector autoregressive(TVP-VAR)model.The results show that:1)the im-provement of RMB internationalization has a continuous reverse adjustment effect on China's current account sur-plus,and its intensity weakens overtime,and shows an obvious effect in the current period;2)the expansion of cur-rent account surplus inhibits the rise of RMB internationalization but the inhibition has an obvious time-lag,and that showing a weak current effects,a strong medium-term effects.Further research found that the internationaliza-tion of RMB and capital and financial account are mutually reinforcing,even the external impact also doesn't change the relationship.

关 键 词：人民币国际化 经常账户 资本与金融账户 时变参数向量自回归模型 

分 类 号：F831.6[经济管理—金融学]