石油价格对人民币汇率冲击的非对称性研究

发布时间：2018-05-28 03:47

本文选题：石油价格 + 人民币汇率　；参考：《福建论坛(人文社会科学版)》2017年04期

【摘要】：自我国汇率制度改革实施以来,人民币汇率的走势便受到国内外学者的广泛关注,我们以石油价格冲击为主线,研究石油价格冲击对人民币汇率波动的影响。利用平滑转换回归(STR)模型,对2006年1月至2015年12月石油价格和人民币汇率的关系进行研究,研究结果表明:石油价格是人民币名义汇率变化的Granger原因,反之不成立;石油价格对人民币汇率的冲击具有非对称性,当石油价格负向变化率低于阈值水平或正向变化时,石油价格波动对人民币汇率的影响程度较小;当石油价格负向变化率高于阈值水平时,石油价格波动对人民币汇率的影响程度较大;当石油价格处于阈值水平附近时,石油价格波动对人民币汇率的影响将在两个机制之间平滑转换,并且转换速度非常快。
[Abstract]:Since the implementation of China's exchange rate system reform, the trend of RMB exchange rate has received extensive attention from domestic and foreign scholars. We study the impact of oil price shock on RMB exchange rate fluctuation with oil price shock as the main line. The relationship between oil price and RMB exchange rate from January 2006 to December 2015 is studied by using smooth transformation regression model. The results show that oil price is the Granger cause of the change of RMB nominal exchange rate, otherwise it does not hold true. The impact of oil price on RMB exchange rate is asymmetric. When the negative change rate of oil price is lower than threshold level or positive change, the impact of oil price fluctuation on RMB exchange rate is small. When the negative change rate of oil price is higher than the threshold level, the fluctuation of oil price has a great influence on the RMB exchange rate, and when the oil price is near the threshold level, The impact of oil price fluctuations on the exchange rate of the yuan will be smoothly converted between the two mechanisms, and the rate of conversion will be very fast.
【作者单位】：福州大学经济与管理学院;福州大学福建省金融科技创新重点实验室;
【基金】：国家自然基金面上项目“基于微观视角的货币政策组合非对称传导效应研究”(71473039)资助
【分类号】：F426.22;F764.1;F832.6

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