我国经济外部失衡的SVAR分析

SVAR Analysis on China's External Imbalance

通过构建一个SVAR模型并进行冲击分解,探讨了影响我国经济外部失衡的两个核心变量——经常账户和人民币汇率波动的结构性冲击及其传导机制。在进行冲击分解时,不仅考虑了宏观政策的冲击,也从微观上考虑了消费者的偏好冲击。最后得出的结论是,消费者的偏好冲击能够很好地解释我国经常账户的波动,货币冲击能够对人民币名义有效汇率的波动提供合理的解释,而风险溢价冲击能够解释这两个变量之间的相互关系。

By constructing a structural vector auto-regression （SVAR） model and decomposing its shocks, this paper studies the effects of structural shocks and their transmission mechanism on fluctuations of the two core variables of China＇s external imbalancecurrent account and Renminbi exchange rate. the author considers macroeconomic policy as well as preference shocks that reflect consumer＇s utility when do shocks decomposition. The results indicate that consumer＇s preference shocks give a good explanation to the fluctuation of China＇s current account, and monetary shocks are responsible for the fluctuation of Renminbi NEER, while risk premium shocks can be used to explain the correlation between the two variables. The paper also puts forward some policy recommendations accordingly.