美国经常项目与金融市场关系的实证分析

发布时间：2018-09-14 11:50

【摘要】：1992年以来,美国经常项目逆差与GDP的比值持续扩大;金融市场中的汇率、利率、金融深化程度和流动性指标表现出阶段特征。根据国民收入核算模型和境外投资收益模型,可以看出经常项目是国内储蓄与投资差额的反映,汇率与经常项目有正向关系,流动性与经常项目有负向关系,较高的实际利率与经常项目逆差相对应。对美国1975-2005年时间序列数据的实证检验结果表明,经常项目与汇率、利率、金融深化、流动性和财政政策有稳定的协整关系。脉冲响应函数表明,在长期内对美国经常项目有正向冲击效应的是美元贬值、金融创新和扩大流动性;方差分解表明,长期而言,金融创新、汇率和流动性是影响经常项目的重要因素。
[Abstract]:Since 1992, the ratio of current account deficit to GDP in the United States has continued to expand, and the exchange rate, interest rate, financial deepening degree and liquidity index in the financial market show the characteristics of stage. According to the national income accounting model and the overseas investment income model, it can be seen that the current account reflects the difference between domestic savings and investment, the exchange rate has a positive relationship with the current account, and the liquidity has a negative relationship with the current account. Higher real interest rates correspond to current account deficits. The empirical results of time series data from 1975 to 2005 in the United States show that there is a stable cointegration relationship between current account and exchange rate, interest rate, financial deepening, liquidity and fiscal policy. The impulse response function shows that in the long run, the positive impact on the current account of the United States is the depreciation of the dollar, financial innovation and the expansion of liquidity; the decomposition of variance shows that in the long run, financial innovation, Exchange rates and liquidity are important factors affecting the current account.
【作者单位】：华东理工大学商学院国际经济与贸易系;上海对外贸易学院国际经贸研究所;
【基金】：上海市高校人文社科重点研究基地上海对外贸易学院国际经贸研究所资助
【分类号】：F224;F757.12;F837.12

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