人民币汇率波动与货币政策调控——基于新凯恩斯垄断竞争模型框架的理论分析与实证

发布时间：2019-03-16 11:40

【摘要】：本文首先在新凯恩斯垄断竞争模型框架基础上,建立了开放经济条件下动态随机一般均衡理论模型,通过对模型参数的校准、冲击因素脉冲影响的识别,较为详细地考察了国内货币政策、人民币汇率之间的动态关系及其对我国宏观经济稳定的影响。结果表明,货币政策调控和汇率波动都会对产出、通货膨胀产生明显的冲击效应,同时货币政策与汇率波动之间也存在着显著作用。而后,基于均值与波动方程的相关计量模型表明,我国货币政策与人民币汇率之间存在显著的均值与波动溢出效应。考虑到我国金融自由化的不断深入,资本逐步对外开放,中国金融市场与国际金融市场之间联系更加密切,在存在升值预期的时候,单一的货币政策或是汇率政策无法实现经济均衡增长,也没有办法使人民币稳定升值。因此,应当进一步推进我国利率市场化进程,完善人民币汇率形成机制。这对于协调好汇率与货币政策之间关系,维护宏观经济、汇率稳定和货币政策独立性具有十分重要的意义。
[Abstract]:Firstly, based on the framework of New Keynesian monopolistic competition model, a dynamic stochastic general equilibrium theory model under open economy is established. Through the calibration of model parameters and the identification of impulse effects of shock factors, the dynamic stochastic general equilibrium model is established in this paper. The dynamic relationship between domestic monetary policy and RMB exchange rate and its influence on China's macro-economic stability are investigated in detail. The results show that both monetary policy regulation and exchange rate fluctuations have a significant impact on output and inflation, and there are also significant effects between monetary policy and exchange rate fluctuations. Then, the correlation econometric model based on mean value and wave equation shows that there are significant spillover effects between China's monetary policy and RMB exchange rate. Considering the continuous deepening of financial liberalization in China and the gradual opening of capital to the outside world, China's financial market and the international financial market are more closely connected, and when there is an expectation of appreciation, A single monetary policy or exchange rate policy cannot achieve balanced economic growth, and there is no way to make the yuan appreciate steadily. Therefore, we should further promote the process of interest rate marketization and improve the formation mechanism of RMB exchange rate. It is of great significance to coordinate the relationship between exchange rate and monetary policy, maintain macro-economy, exchange rate stability and independence of monetary policy.
【作者单位】：西安交通大学经济与金融学院;
【基金】：国家社科基金重点项目(09AZD020) 教育部应急项目(2009JYJR058)资助
【分类号】：F224;F832.6;F822.0

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