实际汇率波动来源的动态演进特征

发布时间：2018-08-06 08:24

【摘要】：实际汇率波动来源中可贸易品与不可贸易品因素哪个居于主导地位是近10年来汇率理论研究的热点问题,本文首次采用长期数据从动态角度考察了十五个更具有代表性的国家实际汇率波动来源的演进特征。本文在对实际汇率波动来源测度的指标方法进行一系列探索的基础上,我们首次发现:(1)实际汇率呈现出与可贸易品实际汇率、不可贸易品实际汇率两者同时高度相关的特征;(2)实际汇率的波动来源与各国经济增长特征存在关系,经济高速增长时期,不可贸易因素对实际汇率波动的贡献明显增大;(3)实际汇率的波动来源与汇率制度存在关系,在浮动汇率时期,可贸易因素对实际汇率波动的贡献大幅提高;(4)可贸易性与实际汇率波动来源之间的传导机制需要进一步研究。
[Abstract]:Which factor of tradable goods or non-tradable goods is dominant in the source of real exchange rate fluctuation is a hot issue in the theoretical study of exchange rate in the last 10 years. This paper, for the first time, uses long-term data to investigate the evolution characteristics of the sources of real exchange rate fluctuations in 15 more representative countries from a dynamic point of view. On the basis of a series of exploration on the index method of the source measurement of the real exchange rate fluctuation, we find for the first time that: (1) the real exchange rate is the same as the real exchange rate of tradable goods. The real exchange rate of non-tradable goods is highly correlated at the same time. (2) the source of the fluctuation of the real exchange rate is related to the characteristics of the economic growth of each country, and the period of rapid economic growth, The contribution of non-tradable factors to the real exchange rate fluctuation is obviously increased. (3) the source of the real exchange rate fluctuation is related to the exchange rate regime, and in the floating exchange rate period, The contribution of tradable factors to real exchange rate fluctuations is greatly enhanced. (4) the transmission mechanism between tradeability and real exchange rate volatility needs to be further studied.
【作者单位】：复旦大学国际金融系;国信证券经济研究所;
【分类号】：F224;F832.6

【共引文献】