人民币汇率双向浮动宏观因素影响机制研究——基于多重政策目标协调视角的实证分析

doi:10.16381/j.cnki.issn1003-207x.2020.0240

中国管理科学 ›› 2022, Vol. 30 ›› Issue (1): 32-41.doi: 10.16381/j.cnki.issn1003-207x.2020.0240

人民币汇率双向浮动宏观因素影响机制研究——基于多重政策目标协调视角的实证分析

刘子熙¹, ², 宫健³

1.上海财经大学高等研究院，上海200433；2.上海财经大学数理经济学重点实验室，上海200433;3.东北财经大学国际经济贸易学院，辽宁大连116025

收稿日期:2020-02-20 修回日期:2020-08-11 出版日期:2022-01-20 发布日期:2022-01-29
通讯作者: 宫健（1987-），男（汉族），辽宁沈阳人，东北财经大学国际经济贸易学院，讲师，博士，研究方向：人民币汇率、中国经济，Email：gongjian0523@163.com. E-mail:gongjian0523@163.com
基金资助:
国家自然科学基金资助项目(71850002)；上海财经大学基本科研业务费预研究项目(2018110130)；上海财经大学基本科研业务费资助项目(2019110085，2017110719)

Influencing Mechanism of Macroeconomic Factors on RMB Exchange Rate Bidirectional Fluctuations: An Empirical Research from the Perspective of Multiple Policy Goals

LIU Zi-xi¹, ², GONG Jian³

1. Institute for Advanced Research，Shanghai University of Finance and Economics，Shanghai 200433, China；2. Key Laboratory of Mathematical EconomicsSUFE, Ministry of Education, Shanghai 200433, China;3. School of International Economics and Trade, Dongbei University of Finance and Economics, Dalian 116025, China

Received:2020-02-20 Revised:2020-08-11 Online:2022-01-20 Published:2022-01-29
Contact: 宫健 E-mail:gongjian0523@163.com

摘要/Abstract

摘要： 本文通过引入结构性政策转变虚拟变量，构建了反映人民币汇率形成机制改革效应的MDV-TARCH-M模型，分析了国内外差值变量和货币政策调控指标对汇率长期和短期变动的影响，得到如下结论：首先，历次改革中，只有中间价形成机制调整对促进汇率双向浮动产生显著效果；其次，人民币汇率浮动区间扩大是我国经济结构调整、技术进步速度放缓与国际经贸关联日趋紧密的交互效应的具体表现；第三，国内利率主要调节实体经济，对汇率的影响被阻断，但过高国际利差不利于人民币升值；最后，建立在贸易生产与货币政策之上的两组变量反馈机制通过宏观经济调控准则相互关联。

关键词: 人民币汇率浮动；货币政策；溢出效应；结构转变

Abstract: Since 2011, although the RMB exchange rate starts to implement managed bidirectional floating regime, the increase in the range and frequency of exchange rate fluctuations means that the bidirectional spillover effect of domestic and foreign monetary policies has been increased, which affects the domestic economy and the confidence in holding RMB. The effects of structural changes in exchange rate regimes comprehensively are analyzed via introducing policy dummy variables, in order to find out the transmission mechanism of macroeconomic factors on RMB exchange rate bidirectional fluctuations, which is significant to maintain financial stability.

Key words: RMB exchange rate fluctuation；monetary policy；spillover effects；structure break

中图分类号:

刘子熙, , 宫健. 人民币汇率双向浮动宏观因素影响机制研究——基于多重政策目标协调视角的实证分析[J]. 中国管理科学, 2022, 30(1): 32-41.

LIU Zi-xi, , GONG Jian. Influencing Mechanism of Macroeconomic Factors on RMB Exchange Rate Bidirectional Fluctuations: An Empirical Research from the Perspective of Multiple Policy Goals[J]. Chinese Journal of Management Science, 2022, 30(1): 32-41.

参考文献

［1］唐旭，钱士春．相对劳动生产率变动对人民币实际汇率的影响分析——哈罗德-巴拉萨-萨缪尔森效应实证研究［J］.金融研究，2007(5)：1-14.Tang Xu, Qian Shichun. The impact of relative labor productivity on real exchange rate: An empirical study of the Harrod-Balassa-Samuelson effect in China［J］. Journal of Financial Research, 2007(5): 1-14.
［2］卢峰，韩晓亚.长期经济成长与实际汇率演变［J］.经济研究，2006(7)：4-14.Lu Feng, Han Xiaoya. Economic growth and real exchange rate changes［J］. Economic Research Journal, 2006(7): 4-14.
［3］卢峰，刘鎏．我国两部门劳动生产率增长及国际比较(1978—2005)——巴拉萨-萨缪尔森效应与人民币实际汇率关系的重新考察［J］．经济学(季刊)，2007(2)：357-380．Lu Feng, Liu Liu. Measurements of China’s relative labor productivity growth (1978-2005)—Rethinking the relationship between the Balassa-Samuelson effect and Renminbi real exchange rate［J］. China Economic Quarterly, 2007(2): 357-380.
［4］陈仪，张鹏飞，刘冲.二元经济环境下的巴拉萨-萨缪尔森效应——对人民币实际汇率的再考察［J］．金融研究，2018(7)：1-17.Chen Yi, Zhang Peifei, Liu Chong. The Balassa-Samuelson effect in a dual economy: RMB real exchange rate revisited［J］. Journal of Financial Research, 2018(7): 1-17.
［5］陈斌开，陆铭．迈向平衡的增长——利率管制、多重失衡与改革战略［J］．世界经济，2016(5)：29-53.Chen Binkai, Lu Ming. Toward a balanced growth: Interest rate regulation, multi-dimensional imbalances and reform strategies［J］. The Journal of World Economy, 2016(5): 29-53.
［6］ Yoon G．Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models［J］．Economic Modelling，2010，27(2)：605-612.
［7］ Koenda E，Valachy J.Exchange rate volatility and regime change：A visegrad comparison［J］.Journal of Comparative Economics，2006，34(4)：727-753.
［8］ Kutan A M，Zhou Su．PPP may hold better than you think：Smooth breaks and non-linear mean reversion in real effective exchange rates［J］.Economic Systems，2015，39(2)：358-366．
［9］赵华.人民币汇率与利率之间的价格和波动溢出效应研究［J］．金融研究，2007(3)：41-49.Zhao Hua. The spillover effects of price and volatility between RMB exchange rate and interest rate［J］. Journal of Financial Research, 2007(3): 41-49.
［10］陈创练，杨子晖.“泰勒规则”、资本流动与汇率波动研究［J］．金融研究，2012(11)：60-73.Chen Chuanglian, Yang Zihui. Taylor rule, capital mobility and real exchange rate fluctuations［J］. Journal of Financial Research, 2012(11): 60-73.
［11］金中夏，陈浩．利率平价理论在中国的实现形式［J］．金融研究，2012(7)：63-74.Jin Zhongxia, Chen Hao. The realization form of interest rate parity theory in China［J］. Journal of Financial Research, 2012(7): 63-74.
［12］ Rey H．Dilemma not trilemma：The global financial cycle and monetary policy independence［R］.Working Paper，NBER，2015.
［13］ Devereux M B，Young E R，Yu C. A new dilemma：Capital controls and monetary policy in sudden stop economies［R］.Working Paper，NBER，2015.
［14］ Han Xuehui, Wei Shangjin. International transmissions of monetary shocks：Between a trilemma and a dilemma［J］. Journal of International Economics，2018，110(1)：205-219.
［15］赵星，崔百胜．中国货币政策对美国的溢出效应研究——基于两国开放经济DSGE模型的分析［J］．中国管理科学，2020,28(7)：77-88.Zhao Xing, Cui Baisheng. The spillover effects of China’s monetary policy on the United States—An analysis based on the two countries’ open DSGE model［J］. Chinese Journal of Management Science, 2020,28(7): 77-88.
［16］姚余栋，李连发，辛晓岱．货币政策规则、资本流动与汇率稳定［J］．经济研究，2014(1)：127-139.Yao Yudong, Li Lianfa, Xin Xiaodai. Monetary policy rules, capital flows and exchange rate stability［J］. Economic Research Journal, 2014(1): 127-139.
［17］陆晓琴，冯玲，丁剑平.汇率货币模型的非线性协整关系检验——基于深度GRU神经网络［J］．中国管理科学，2020,28(5)：1-13.Lu Xiaoqin, Feng Ling, Ding Jianping. Testing the nonlinear cointegration relation of monetary models of exchange rate determination—An analysis based on the deep GRU neural network［J］. Chinese Journal of Management Science, 2020,28(5): 1-13.
［18］ Reitz S，Taylor M P.The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis［J］.European Economic Review，2008，52(1)：55-76.
［19］ Taylor J.Discretion versus policy rules in practice［J］.Carnegie-Rochester Series on Public Policy，1993，39(1)：195-214.
［20］何德旭，苗文龙．国际金融市场波动溢出效应与动态相关性［J］．数量经济技术经济研究，2015(11)：23-40.He Dexu, Miao Wenlong. Spillover effect and dynamic correlation among international financial market［J］. The Journal of Quantitative & Technical Economics, 2015(11): 23-40.
［21］胡小文，章上峰.利率市场化、汇率制度改革与资本账户开放顺序安排——基于NOEM-DSGE模型的模拟［J］.国际金融研究，2015(11)：14-23.Hu Xiaowen, Zhang Shangfeng. The arrangement of interest rate marketization, exchange rate regime flexibilization and capital account liberalizations——Simulation of a NOEM-DSGE model［J］. Studies of International Finance, 2015(11): 14-23.
［22］黄宪，杨子荣.中国货币政策会冲击到美国货币政策吗——基于效应外溢的视角［J］．国际金融研究，2016(1)：15-27.Huang Xian, Yang Zirong. Does China’s monetary policy affect America’s monetary policy? — From the perspective of spillover effect［J］. Studies of International Finance, 2016(1): 15-27.
［23］蔡跃洲，付一夫．全要素生产率增长中的技术效应与结构效应——基于中国宏观和产业数据的测算及分解［J］.经济研究，2017(1)：72-88.Cai Yuezhou, Fu Yifu. The technical and structural effects of TFP growth: Measurement and decomposition based on China’s macro and sector data［J］. Economic Research Journal, 2017(1): 72-88.
［24］林毅夫.关于人民币汇率问题的思考与政策建议［J］．国际经济评论，2007(3)：9-14.Lin Yifu. Thoughts and policy advice on the issue of RMB exchange rate［J］. International Economic Review, 2007(3): 9-14.

人民币汇率双向浮动宏观因素影响机制研究——基于多重政策目标协调视角的实证分析

Influencing Mechanism of Macroeconomic Factors on RMB Exchange Rate Bidirectional Fluctuations: An Empirical Research from the Perspective of Multiple Policy Goals

PDF (PC)

可视化

摘要/Abstract

引用本文

使用本文

参考文献

相关文章 1

Metrics

本文评价

推荐阅读 10