G-3汇率波动特征与驱动因素分析
发布时间：2019-05-10 03:45
【摘要】：汇率作为一个主要的宏观经济变量,是维系全球经济稳定发展的重要纽带,其波动对一国微观经济层面的资源配置和宏观经济的运行具有深刻的影响。布雷顿森林体系解体后,浮动汇率制度成为世界上主要的汇率制度。自此汇率变动反复无常,其非线性特征表现的更加明显。汇率会受到各种不确定因素的影响而产生不可预期的变动,正是这种变化使作为一国经济内生变量的汇率对货币经济和实体经济的影响和风险加大。由于经济全球化,世界主要发达国家或经济体的汇率波动会有巨大的联动效应,一国汇率的变化不仅影响本国经济,还会对其贸易相关国的进出口、利率、通货膨胀等宏观变量产生冲击,乃至影响经济政策的实施。美国、欧盟和日本是世界上主要的贸易国家,G-3汇率波动将对全球经济环境产生较大影响,所以研究G-3国家汇率波动特征和驱动因素具有典型且较深远的意义。 在蒙代尔-弗莱明模型基础上,假设价格是完全弹性的,并且绝对购买力平价成立,修正了多恩布什提出的粘性价格模型,以美国、日本、欧元区2000年1月到2012年12月的宏观经济数据为研究对象,构建状态空间模型进行实证分析,运用卡尔曼滤波算法分析国民收入、货币供应量和利率变化对G-3汇率波动的弹性,然后通过SVAR实证方法对三个国家汇率波动的冲击响应进行了分析和比较。 在分析实证结论的基础上,发现G-3汇率的波动与两国货币供给量、国民收入和债券利率的差值有密切的关系；在样本区间内G-3各国利差的变化对汇率的波动是缺乏弹性的,而在许多年份货币供应量弹性较大；相对于另外两个国家,美元汇率波动受供给、需求和利率冲击的影响较小；日元汇率的波动受供给冲击和需求冲击双重作用,需求冲击是欧元汇率波动的最主要因素。
[Abstract]:As a major macroeconomic variable, exchange rate is an important link to maintain the stable development of the global economy, and its fluctuation has a profound impact on the allocation of resources and the operation of macroeconomy at the microeconomic level of a country. After the disintegration of Bretton Woods system, floating exchange rate system became the main exchange rate system in the world. Since then, the exchange rate changes are capricious, and its nonlinear characteristics are more obvious. The exchange rate will be affected by various uncertain factors and produce unpredictable changes. It is this change that increases the impact and risk of the exchange rate as an internal variable of a country's economy on the monetary economy and the real economy. As a result of economic globalization, the exchange rate fluctuations of the major developed countries or economies in the world will have a huge linkage effect. The changes in a country's exchange rate will not only affect the domestic economy, but also the import and export and interest rates of its trade-related countries. Inflation and other macro variables have an impact, and even affect the implementation of economic policy. The United States, the European Union and Japan are the main trading countries in the world. The exchange rate fluctuations of G 鈮，
本文编号：2473316
[Abstract]:As a major macroeconomic variable, exchange rate is an important link to maintain the stable development of the global economy, and its fluctuation has a profound impact on the allocation of resources and the operation of macroeconomy at the microeconomic level of a country. After the disintegration of Bretton Woods system, floating exchange rate system became the main exchange rate system in the world. Since then, the exchange rate changes are capricious, and its nonlinear characteristics are more obvious. The exchange rate will be affected by various uncertain factors and produce unpredictable changes. It is this change that increases the impact and risk of the exchange rate as an internal variable of a country's economy on the monetary economy and the real economy. As a result of economic globalization, the exchange rate fluctuations of the major developed countries or economies in the world will have a huge linkage effect. The changes in a country's exchange rate will not only affect the domestic economy, but also the import and export and interest rates of its trade-related countries. Inflation and other macro variables have an impact, and even affect the implementation of economic policy. The United States, the European Union and Japan are the main trading countries in the world. The exchange rate fluctuations of G 鈮，
本文编号：2473316
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