货币政策目标和篮子货币最优权重的选
发布时间：2019-06-04 06:41
【摘要】：本文首先建立模型分析在使贸易收支变动方差最小化条件下,汇率指数最优权重的选取,也就是把汇率指数的构建和货币政策的目标结合起来。本文构建了国际收支变动关于篮子货币权重的理论模型,根据贸易收支方差波动最小获得篮子货币的最优权重。进一步,本文对最优权重进行了数值模拟分析,得到出口或进口稳定的最优篮子货币的权重,在此基础上,本文模拟了人民币对美元汇率的走势,并比较了有效汇率稳定目标下篮子货币的权重和人民币对美元汇率的变化。结合宏观经济政策目标重新确定参考篮子货币汇率指数权重,有利于完善和建立参考一篮子货币的汇率制度,为篮子货币制度制定提供理论指导。
[Abstract]:In this paper, a model is established to analyze the selection of the optimal weight of exchange rate index under the condition of minimizing the variance of trade balance change, that is, to combine the construction of exchange rate index with the goal of monetary policy. In this paper, the theoretical model of the weight of basket currency is constructed, and the optimal weight of basket currency is obtained according to the minimum fluctuation of variance of trade balance. Furthermore, this paper makes a numerical simulation analysis of the optimal weight, and obtains the weight of the optimal basket currency with stable export or import. On this basis, this paper simulates the trend of RMB exchange rate against the US dollar. The weight of basket currency and the change of RMB exchange rate against US dollar under the target of effective exchange rate stability are compared. According to the macroeconomic policy goal, the weight of the exchange rate index of the reference basket currency is redetermined, which is helpful to perfect and establish the exchange rate system of referring to a basket of currencies, and to provide theoretical guidance for the formulation of the basket currency system.
【作者单位】： 复旦大学国际金融系;上海期货交易所;
【基金】：国家自然科学基金(70673011、71173042) 国家社会科学基金重大项目(11&ZD018) 上海市哲学社会科学规划课题(2008BJB024)的资助
【分类号】：F832.6
[Abstract]:In this paper, a model is established to analyze the selection of the optimal weight of exchange rate index under the condition of minimizing the variance of trade balance change, that is, to combine the construction of exchange rate index with the goal of monetary policy. In this paper, the theoretical model of the weight of basket currency is constructed, and the optimal weight of basket currency is obtained according to the minimum fluctuation of variance of trade balance. Furthermore, this paper makes a numerical simulation analysis of the optimal weight, and obtains the weight of the optimal basket currency with stable export or import. On this basis, this paper simulates the trend of RMB exchange rate against the US dollar. The weight of basket currency and the change of RMB exchange rate against US dollar under the target of effective exchange rate stability are compared. According to the macroeconomic policy goal, the weight of the exchange rate index of the reference basket currency is redetermined, which is helpful to perfect and establish the exchange rate system of referring to a basket of currencies, and to provide theoretical guidance for the formulation of the basket currency system.
【作者单位】： 复旦大学国际金融系;上海期货交易所;
【基金】：国家自然科学基金(70673011、71173042) 国家社会科学基金重大项目(11&ZD018) 上海市哲学社会科学规划课题(2008BJB024)的资助
【分类号】：F832.6
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