美联储货币政策对人民币外汇市场压力的非对称效应

发布时间：2019-03-11 12:45

【摘要】：本文构建了因子扩展马尔科夫向量自回归模型MS-FA-VAR,并对16个模型做了对比研究,从中选择MSI AH(2)-FA(2)-VAR(2)模型研究了1997年Q1到2015年Q3美联储货币政策对人民币外汇市场压力的影响。研究发现:(1)美联储货币政策对人民币外汇市场压力具有非对称效应,在区制一,美联储货币政策对人民币外汇市场升值压力具有缓解作用,影响程度大、时滞短、波动性大;在区制二,美联储货币政策对人民币外汇市场升值压力具有推动作用,影响程度小、时滞长、波动性小。(2)在区制一,美联储货币政策对人民币外汇市场压力的影响主要通过利率进行传导,中国人民银行应该警惕美联储紧缩性货币政策对人民币升值压力以及中国金融市场的冲击,实施上调利率与缩减广义货币供应量并行的紧缩性货币政策以及卖出外汇资产是最佳货币政策。(3)在区制二,美联储货币政策对人民币外汇市场压力的影响主要通过价格进行传导,中国人民银行应该警惕美联储紧缩性货币政策对人民币贬值压力以及中国价格体系的冲击,实施上调利率与缩减广义货币供应量并行的紧缩性货币政策以及买入外汇资产是最佳货币政策。
[Abstract]:In this paper, we construct a factor-extended Markov vector autoregressive model (MS-FA-VAR,) and make a comparative study of 16 models. In this paper, MSI AH (2)-FA (2)-VAR (2) model is chosen to study the influence of Q3 Fed monetary policy on the pressure of RMB foreign exchange market from 1997 to 2015. It is found that: (1) the monetary policy of the Federal Reserve has an asymmetric effect on the pressure on the RMB foreign exchange market. In the first place, the monetary policy of the Federal Reserve has a mitigating effect on the pressure of appreciation of the RMB foreign exchange market, with a large impact and a short time lag. High volatility; In the second area, the Federal Reserve's monetary policy has a driving force on the appreciation pressure on the RMB foreign exchange market, with a small impact, a long time lag and a small volatility. (2) in the first place, The impact of the Federal Reserve's monetary policy on the pressure on the RMB foreign exchange market is mainly transmitted through interest rates. The people's Bank of China should be vigilant about the impact of the Fed's tightening monetary policy on the appreciation of the RMB and the impact of China's financial market. Implementing the tight monetary policy, which goes hand in hand with increasing interest rates and curtailing the broad money supply, and selling foreign exchange assets is the best monetary policy. (3) in district two, The impact of the Federal Reserve's monetary policy on the pressure on the RMB foreign exchange market is mainly transmitted through prices. The people's Bank of China should be vigilant against the impact of the Fed's tightening monetary policy on the devaluation of the renminbi and the impact of China's price system. Tightening monetary policies, which go hand-in-hand with tightening interest rates and shrinking broad money supply, and buying foreign exchange assets are the best monetary policies.
【作者单位】：吉林大学数量经济研究中心;吉林大学商学院;
【分类号】：F827.12;F832.6

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