基于频域的汇率非对称传递研究

发布时间：2017-12-27 06:16

本文关键词：基于频域的汇率非对称传递研究　出处：《统计研究》2013年11期 　论文类型：期刊论文

【摘要】：出口厂商根据汇率历史波动频率预期汇率升值或贬值的持续性,进而采取不同的调价策略,这造成汇率对出口价格的非对称传递。本文选取2005年7月至2012年6月中国等7国对美国出口价格等面板数据,采用"移动窗口单向带通滤波"技术将汇率分解为19种相互正交的频率分量,并频域估计出不同频率的汇率波动对出口价格的传递系数,检验其非对称传递性。结果表明:显著存在汇率传递的频率区间集中在[0,1.4],即汇率持续升值或贬值累积超过4.5个月会导致显著的汇率传递,而汇率短暂的波动并不引起显著传递效应,汇率波动频率对出口价格存在显著非对称传递性。因此,人民币应增强汇率弹性以减少持续升值的累积,从而降低其对厂商定价的不利冲击。
[Abstract]:According to the historical fluctuation frequency of exchange rate, the expected value of exchange rate appreciation or depreciation, exporters adopt different price adjustment strategies, which results in asymmetric transmission of exchange rate to export prices. In this paper, from July 2005 to June 2012 7 of the United States Chinese export price panel data, using the "moving window unidirectional band pass filtering technology exchange rate will be decomposed into 19 mutually orthogonal frequency components, and to estimate the frequency of different frequency of exchange rate fluctuations on the transfer coefficient of the export price, the asymmetric transfer of inspection. The results show that the significant frequency range of exchange rate pass from [0,1.4], the exchange rate continued appreciation or depreciation accumulated more than 4.5 months will lead to significant exchange rate, exchange rate and short volatility does not cause significant fluctuations in the exchange rate pass through effect, frequency of the export price significantly asymmetric transmission. Therefore, the RMB should increase the flexibility of the exchange rate to reduce the accumulation of sustained appreciation, thus reducing the adverse impact on the price of the firm.
【作者单位】：厦门大学经济学院国际经济与贸易系;
【分类号】：F830.7;F224
【正文快照】： 一、引言汇率波动频率体现了汇率波动状态的持续性,低频的汇率波动代表汇率较长时间持续某一波动状态,例如:人民币持续多个月升值;而高频的汇率波动代表汇率短时间内升值或贬值交替波动的状态,例如:人民币暂时性地升值。汇率波动的历史频率往往影响出口厂商对未来汇率水平的

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