汇率与货币错配协动性关系及机理探析

发布时间：2018-05-18 21:32

本文选题：汇率 + 货币错配　；参考：《国际金融研究》2010年05期

【摘要】：本文从汇率对货币错配传导性入手,对汇率与货币错配的传导协动性关系和机理进行探讨。通过引入随机干扰的正向和逆向冲击因素,构建汇率等影响因素与货币错配协动性关系联立方程模型。研究表明:单一盯住美元汇率制度下的货币错配与各种因素综合协动性关系弱化,但参考一篮子货币汇率制下的综合传导协动性明显,并且货币错配汇率风险在缓慢增强;汇率升值政策效果受到阻滞比贬值大,呈现很快由强转弱的变异性;汇率与货币错配协动性关系呈现出12年左右周期性特征;低利率水平有助于弱化货币错配;货币错配与人民币汇率、外币负债以及外汇储备协动性关系均具有不对称性;我国货币错配主要是由短期外币负债增长和紧缩性长期外债的长期滞后影响叠加造成的。
[Abstract]:In this paper, the conduction and mechanism of exchange rate and currency mismatch are discussed from the point of view of exchange rate mismatch to currency. By introducing the positive and reverse impact factors of random interference, the simultaneous equation model of the relationship between exchange rate and currency mismatch is established. The results show that the currency mismatch under the single peg to the dollar exchange rate system weakens the comprehensive synergistic relationship with various factors, but the comprehensive conduction coordination under the basket currency exchange rate system is obvious, and the exchange rate risk of currency mismatch is increasing slowly; The effect of the exchange rate appreciation policy is more retarded than the depreciation, and it presents the variability of strong to weak quickly; the cooperativeness of exchange rate and currency mismatch shows the characteristics of 12 years or so, the low interest rate level is helpful to weaken the currency mismatch; The currency mismatch has asymmetry with RMB exchange rate, foreign currency debt and foreign exchange reserve, and the currency mismatch of our country is mainly caused by the long-term lag effect of short-term foreign currency debt growth and contractible long-term foreign debt.
【作者单位】：广西大学商学院;
【基金】：国家社会科学基金项目“汇率政策与货币错配协动性及其传导机制研究”(批准号09BJY107)
【分类号】：F832.6

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