不同汇率制下我国货币政策的净出口需求非线性效应的实证研究

发布时间：2018-05-20 10:02

本文选题：货币政策 + 净出口需求　；参考：《国际金融研究》2012年12期

【摘要】：本文采用TVAR模型实证检验不同汇率制度下我国货币政策能否产生净出口的需求效应,并运用广义脉冲响应(GIRF)分析了该效应的作用强度和持续时间。实证结果表明,货币政策在不同汇率制度下均产生了净出口需求效应,但是随着汇率浮动幅度增大,货币政策的净出口需求效应出现非线性的变化。这种非线性效应主要表现为,货币供应环比增速的增长引起净出口环比增速波动的幅度在浮动汇率制度下明显大于固定汇率制度下;净出口环比增速受到货币政策冲击后在固定汇率制度下能够恢复到初始状态,而在浮动汇率制度下则一直在正负双向波动中逐渐扩大。此外,货币政策对净出口需求的有效性在固定汇率制度下仅有一年,而在浮动汇率制度下则始终存在。
[Abstract]:In this paper, the TVAR model is used to test the demand effect of the net export of China's monetary policy under different exchange rate systems. The effect intensity and duration of the effect are analyzed by the generalized impulse response (GIRF). The empirical results show that the net export demand effect is produced by the monetary policy under the different exchange rate systems, but with the exchange rate. There is a nonlinear change in the net export demand effect of monetary policy. This nonlinear effect mainly shows that the rate of net export ring ratio growth fluctuates significantly under the system of fixed exchange rate under the floating exchange rate system, and the net export ring ratio growth is under the impact of monetary policy. Under the fixed exchange rate system, it can be restored to the initial state, but it has been gradually expanding in the positive and negative two-way fluctuations under the floating exchange rate system. In addition, the effectiveness of monetary policy on net export demand is only one year under the fixed exchange rate system, but it always exists under the floating exchange rate system.
【作者单位】：中山大学经济研究所;中山大学岭南学院;
【基金】：广东社科基金(GD10CYJ01) 国家自然科学基金项目(71241019) 国家社科基金重点课题(08ATL007) 中山大学“985工程”产业与区域发展研究创新基地广东省普通高校人文社会科学重点研究基地经费资助成果之一
【分类号】：F822.0;F752.62;F224

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