我国外汇市场压力研究——基于马尔可夫区制转换方法

发布时间：2018-03-19 17:21

本文选题：外汇市场压力　切入点：马尔可夫区制转换　出处：《国际金融研究》2011年06期 　论文类型：期刊论文

【摘要】：本文基于1996~2010年月度数据,采用马尔可夫三区制转换模型对人民币外汇市场压力进行了区制识别,并考察了货币扩张、通货膨胀、外汇储备、经济增长及人民币名义有效汇率变动5个变量在不同区制及区制转换过程中的动态变化情况。实证结果表明,MSIH(3)-VAR(1)模型能较好识别人民币外汇市场压力区制,人民币外汇市场经历了适度升值压力区制、贬值压力区制及较强升值压力区制三个阶段;其中,外汇储备是外汇市场压力区制转变的关键因素,较强升值压力区制向其他两种区制转换过程中会伴随着汇率的升值和外汇储备的减少。
[Abstract]:Based on the monthly data from 1996 to 2010, this paper uses the Markov model to identify the regional pressure of RMB foreign exchange market, and examines the monetary expansion, inflation and foreign exchange reserves. The dynamic changes of the five variables of economic growth and RMB nominal effective exchange rate changes in the process of regional system and regional system transition. The empirical results show that the MSIH3 / VAR1) model can better identify the pressure zone system of RMB foreign exchange market. The RMB foreign exchange market has experienced three stages: moderate appreciation pressure zone system, devaluation pressure zone system and stronger appreciation pressure zone system. Among them, foreign exchange reserves are the key factors in the change of foreign exchange market pressure zone system. The exchange rate appreciation and the decrease of foreign exchange reserves will accompany the conversion of the stronger appreciation pressure zone system to the other two regional systems.
【作者单位】：厦门大学经济学院;中国社会科学院世界经济与政治研究所;
【基金】：国家自然科学基金(批准号:71071132) 教育部人文社科规划项目(批准号:09YJA790118)、教育部首届博士研究生学术新人奖项目厦门大学优秀博士学位论文培育工程项目(批准号ZX11B1)的阶段性研究成果
【分类号】：F832.52

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