汇率波动对我国外汇储备变动的非对称传导效应--基于非线性LSTARX-GARCH模型

发布时间：2018-05-15 06:06

本文选题：汇率波动 + 外汇储备　；参考：基于非线性LSTARX-GARCH模型

【摘要】：本文以实际汇率、实际国际利差和实际对外投资等变量为主要考量因素,通过理论推导构建了包含我国实体经济基本面的宏观因素以及具有汇率传导机制的平滑转换自回归广义条件异方差(STARX-GARCH)模型,考察了外汇储备对诸因素的直接反馈强度和方向,以及各因素通过汇率渠道对外汇储备的间接影响,得出以下结论:影响外汇储备增速的诸宏观变量中,实际有效汇率对外汇储备增速的影响体现出显著的非对称与非线性特征,其它宏观经济变量除了具有影响外汇储备的直接渠道外,还经由实际有效汇率对外汇储备产生间接传递作用;预期的实际汇率升高会强化国外投资动机,吸引资金流入,提高我国外汇储备增速;我国利率同时作为货币政策工具和资本流入"闸门"起到双重作用,因此国际利差较高使外汇储备增速倾向于提升,反之则使之下降。
[Abstract]:This paper takes variables such as real exchange rate, real international interest rate and actual overseas investment as the main factors. Based on the theoretical derivation, the macro factors including the fundamentals of China's real economy and the model of smooth transformation with exchange rate conduction mechanism are constructed, and the direct feedback intensity and direction of the foreign exchange reserves to the various factors are investigated, including the generalized conditional heteroscedasticity (STARX-GARCH) model with exchange rate conduction mechanism. And the indirect influence of various factors on foreign exchange reserves through exchange rate channels, the following conclusions are drawn: among the macro variables that affect the growth rate of foreign exchange reserves, the effect of real effective exchange rate on the growth rate of foreign exchange reserves shows significant asymmetric and nonlinear characteristics. In addition to having direct channels for influencing foreign exchange reserves, other macroeconomic variables also have indirect transmission effects on foreign exchange reserves through the real effective exchange rate. The expected increase in the real exchange rate will strengthen the motivation of foreign investment and attract capital inflows. Increasing the growth rate of China's foreign exchange reserve, the interest rate plays a dual role as a monetary policy tool and a "gate" of capital inflow, so the higher international interest rate makes the growth rate of foreign exchange reserve tend to increase, otherwise, it decreases.
【作者单位】：东北财经大学;
【基金】：国家社会科学基金重大项目“新常态下我国宏观经济监测和预测研究”(15ZDA011) 国家自然科学基金项目“中国经济周期波动的转折点识别、阶段转换及预警研究”(71573105)的资助
【分类号】：F832.6

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