真实汇率波动根源探究

发布时间：2018-01-18 06:14

本文关键词：真实汇率波动根源探究　出处：《统计与决策》2010年20期 　论文类型：期刊论文

【摘要】：使用结构性向量自回归模型对中国、印度、韩国、印尼、泰国和菲律宾等6个亚洲新兴市场国家货币兑美元真实汇率波动根源进行了探索,实证结果表明,与学者在分析发达国家货币真实汇率波动根源时发现供给冲击对真实汇率波动的影响不显著而名义冲击在其中或占有重要作用,及正的供给冲击会导致真实汇率贬值相反,供给冲击是导致这6种货币真实汇率波动的主要或重要因素,且正的供给将导致真实汇率升值,名义冲击对真实汇率波动的作用不明显。笔者认为具有弹性的汇率制度更有利于这些国家经济的发展。
[Abstract]:The structural vector autoregressive model is used to explore the real exchange rate fluctuations of six Asian emerging market countries, such as China, India, South Korea, Indonesia, Thailand and the Philippines, and the empirical results show that. When analyzing the origin of the real exchange rate fluctuation in developed countries, the scholars find that the supply shock has no significant effect on the real exchange rate fluctuation, but the nominal shock plays an important role in it. And the positive supply shock will lead to the depreciation of the real exchange rate on the contrary, the supply shock is the main or important factor leading to the real exchange rate fluctuations of these six currencies, and the positive supply will lead to the real exchange rate appreciation. The effect of nominal shock on the real exchange rate fluctuation is not obvious. The author thinks that the flexible exchange rate system is more favorable to the economic development of these countries.
【作者单位】：上海财经大学金融学院;
【基金】：国家社科基金资助项目(07BJY155) 2008年国家社会科学基金重大项目(08&ZD036) 上海财经大学研究生创新基金资助项目(CXJJ-2008-319)
【分类号】：F224.9;F831.6
【正文快照】： 0引言长期以来,真实汇率的波动根源是个备受争议的话题,“非均衡”理论派,如Dornbush(1976)和Mussa(1982)指出名义冲击在真实汇率的波动中起了很大作用,而“均衡”理论者,如Stockman(1987)则认为真实冲击是真实汇率波动的主要根源。前者是从货币市场均衡的角度来考察货币供给

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