亚洲国家汇率决定:基于汇率联动可行性的分析

发布时间：2018-12-15 00:14

【摘要】：2000年以来,中国、日本、马来西亚、新加坡、泰国五国汇率总体呈升值趋势,相关度较高,初步具备联动特征。本文从汇率决定理论入手,分析五国汇率的影响因素,并论证五国汇率决定过程中的异同点。我们发现,上述五国虽然宏观经济政策取向不尽相同,但对每一个国家,其货币供应量、GDP、利率、汇率、贸易顺差与美国对应指标的差额,能够形成协整关系,并且除日本外其他四国的短期均衡能够逐步向这种长期均衡自动收敛。据此,本文建立向量自回归模型,模拟出2011年至2018年各国的汇率走势,分析了五国汇率的波动情况,发现五国汇率的中心正从新加坡逐渐转向中国。在此基础上,本文分析了未来各国汇率实施联动的可行性,并得出初步结论,提出相关建议。
[Abstract]:Since 2000, the exchange rates of China, Japan, Malaysia, Singapore and Thailand have generally shown a trend of appreciation, with a high correlation and preliminary characteristics of linkage. Starting with the theory of exchange rate determination, this paper analyzes the influencing factors of the exchange rate of the five countries, and demonstrates the similarities and differences in the process of determining the exchange rate of the five countries. We find that although the macroeconomic policy orientations of these five countries are different, for each country, the difference between the money supply, GDP, interest rate, exchange rate, trade surplus and the corresponding indicators of the United States can form a cointegration relationship. Besides Japan, the short-term equilibrium can gradually converge to this long-term equilibrium. Based on this, this paper establishes a vector autoregressive model, simulates the exchange rate trend of different countries from 2011 to 2018, analyzes the fluctuation of the five countries' exchange rate, and finds that the center of the five countries' exchange rate is gradually shifting from Singapore to China. On this basis, this paper analyzes the feasibility of the exchange rate linkage in the future, draws a preliminary conclusion, and puts forward some relevant suggestions.
【作者单位】：中国人民大学经济学院;
【分类号】：F224;F833

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