摘要
以Branson和Katseli(1981)建立的分析货币篮子最优权重的理论为框架,以曾经采用钉住货币篮子汇率制度的泰国和新加坡为实例考察货币篮子所涉及的国家之间实际汇率的长期均衡关系。实证分析主要包括建立泰国和新加坡货币篮子的向量自回归(VAR)模型以及在此基础上对两国的货币篮子进行协整检验从而验证篮子货币之间的长期均衡关系。通过对两国货币篮子长期均衡关系的分析判断出泰国货币篮子中的权重并非最优权重而新加坡货币篮子的权重接近于最优权重,新加坡的货币篮子的弹性优于泰国的货币篮子。这启示我们人民币所参考的货币篮子一定要控制其中美元的权重,增强弹性。
The paper uses the models of the currency baskets optimal weight which were established by Branson & Katseli(1981)as theory framework,exploit vector autoregression analysis and cointegration analysis as empirical method to examine the long-run relationship between the real exchange rate of a group of trading partners of Thailand and Singapore which two countries have been chosen currency basket exchange rate regime.By analyzing the long-run relationship between the real exchange rate of a group of trading p...
出处
《经济问题》
CSSCI
北大核心
2008年第2期90-93,共4页
On Economic Problems
关键词
货币篮子
最优权重
VAR模型
协整分析
currency baskets
optimal weights
VAR model
cointegration analysis
