人民币国际化、人民币汇率与汇率预期的互动效果——基于Markov区制转换VAR的实证研究
发布时间：2018-12-31 21:14
【摘要】：本文选取2006年10月至2015年10月间的月度数据,运用Markov区制转换VAR模型(MS-VAR)中的参数估计和脉冲响应函数,实证分析不同区制状态下人民币国际化、人民币汇率与汇率预期之间的动态关系。研究表明,人民币国际化、汇率与汇率预期在一定程度内呈同向变化,但变量间互动效果在不同的区制时有所区别;总体而言,相较于经济平缓状态,剧烈经济波动在一定程度上会抑制人民币国际化进程和人民币汇率、汇率预期的提升空间。
[Abstract]:This paper selects the monthly data from October 2006 to October 2015, applies the parameter estimation and impulse response function in the VAR model of Markov district conversion (MS-VAR), and empirically analyzes the internationalization of RMB under different regional regimes. The dynamic relationship between RMB exchange rate and exchange rate expectation. The study shows that RMB internationalization, exchange rate and exchange rate expectations in a certain extent change in the same direction, but the effect of interaction between variables in different regions are different; On the whole, compared with the economic levelling, the sharp economic fluctuation will restrain the internationalization of the RMB and the RMB exchange rate to some extent, and improve the expectation of the exchange rate.
【作者单位】： 中南大学商学院;
【基金】：国家自然科学基金项目,项目编号:71373288 湖南省哲学社会科学基金项目,项目编号:12YBB273 中南大学中央高校基本科研业务费专项资金资助项目,项目编号:2015zzts154
【分类号】：F832.6;F224
[Abstract]:This paper selects the monthly data from October 2006 to October 2015, applies the parameter estimation and impulse response function in the VAR model of Markov district conversion (MS-VAR), and empirically analyzes the internationalization of RMB under different regional regimes. The dynamic relationship between RMB exchange rate and exchange rate expectation. The study shows that RMB internationalization, exchange rate and exchange rate expectations in a certain extent change in the same direction, but the effect of interaction between variables in different regions are different; On the whole, compared with the economic levelling, the sharp economic fluctuation will restrain the internationalization of the RMB and the RMB exchange rate to some extent, and improve the expectation of the exchange rate.
【作者单位】： 中南大学商学院;
【基金】：国家自然科学基金项目,项目编号:71373288 湖南省哲学社会科学基金项目,项目编号:12YBB273 中南大学中央高校基本科研业务费专项资金资助项目,项目编号:2015zzts154
【分类号】：F832.6;F224
【参考文献】
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