我国外汇储备影响因素动态效应研究

发布时间：2018-04-16 13:23

本文选题：外汇储备规模 + SVAR模型　；参考：《商业研究》2012年12期

【摘要】：基于中国1997年1月-2011年12月的外汇储备规模、汇率、GDP、外商直接投资和出口额的数据,利用SVAR模型分析外汇储备规模对汇率、GDP、外商直接投资和出口额的脉冲响应和方差分解。实证结果表明:外汇储备对汇率、GDP、外商直接投资和出口的响应总体来说均是正向的,即汇率的提高、GDP规模的扩大、外商直接投资和出口的增加都将会引起外汇储备的增加。其中,汇率对外汇储备规模具有长期的影响,外商直接投资对外汇储备的短期作用较为显著,GDP和出口也是影响中国外汇储备的重要因素;汇率对外汇储备的短期影响要小于外商直接投资,但是其长期影响要大于外商直接投资;外商直接投资对外汇储备增长的实际贡献已经超过出口对外汇储备增长的实际贡献。
[Abstract]:Based on the data of China's foreign exchange reserve size, exchange rate, foreign direct investment and export volume from January 1997 to December 2011, the SVAR model is used to analyze the impulse response and variance decomposition of foreign exchange reserve size to exchange rate, foreign direct investment and export volume.The empirical results show that the response of foreign exchange reserves to exchange rate GDP, foreign direct investment and export is generally positive, that is to say, the increase of exchange rate and the expansion of GDP, the increase of foreign direct investment and export will lead to the increase of foreign exchange reserves.Among them, the exchange rate has a long-term impact on the scale of foreign exchange reserves, and the short-term effect of foreign direct investment on foreign exchange reserves is more significant. GDP and exports are also important factors affecting China's foreign exchange reserves.The short-term effect of foreign exchange rate on foreign exchange reserve is smaller than that of foreign direct investment, but its long-term effect is larger than that of foreign direct investment, and the actual contribution of foreign direct investment to the growth of foreign exchange reserve is higher than that of export to foreign exchange reserve growth.
【作者单位】：郑州大学商学院;
【分类号】：F832.6

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