人民币汇率波动与货币政策调控——基于新凯恩斯垄断竞争模型框架的理论分析与实证

Exchange Rate Volatility and Monetary Policy Adjustment——Theoretical Analysis Based on Neo Keynesian Monopoly Competitive Framework and Empirical Study

本文首先在新凯恩斯垄断竞争模型框架基础上,建立了开放经济条件下动态随机一般均衡理论模型,通过对模型参数的校准、冲击因素脉冲影响的识别,较为详细地考察了国内货币政策、人民币汇率之间的动态关系及其对我国宏观经济稳定的影响。结果表明,货币政策调控和汇率波动都会对产出、通货膨胀产生明显的冲击效应,同时货币政策与汇率波动之间也存在着显著作用。而后,基于均值与波动方程的相关计量模型表明,我国货币政策与人民币汇率之间存在显著的均值与波动溢出效应。考虑到我国金融自由化的不断深入,资本逐步对外开放,中国金融市场与国际金融市场之间联系更加密切,在存在升值预期的时候,单一的货币政策或是汇率政策无法实现经济均衡增长,也没有办法使人民币稳定升值。因此,应当进一步推进我国利率市场化进程,完善人民币汇率形成机制。这对于协调好汇率与货币政策之间关系,维护宏观经济、汇率稳定和货币政策独立性具有十分重要的意义。

The paper constructs a dynamic stochastic general equilibrium model(DSGE) based on Neo Keynesian monopoly competitive framework.Through model estimation and impulse response identification,the paper studies the dynamic correlation of monetary policy and exchange rate and their impact on macro economy.The results show that both monetary policy and RMB exchange rate significantly affect the stability of macro economy.The paper further uses VAR-MVGARCH-BEKK to study the spillover effect between Chinese monetary policy and RMB exchange rate with results of mutual significant mean and volatility spillover effect.It is suggested that China should further implement interest rate marketing reform and enhance RMB exchange rate regime reform which have significant meaning for the coordination between exchange rate and monetary policy,the stability of macro economy/exchange rate and the independence of Chinese monetary policy.