摘要
自人民币汇率形成机制改革以来,我国外汇衍生品市场发展迅猛,这一市场对央行货币政策的传导机制尤其是汇率传导渠道的影响日益凸现。通过对2000-2012年的月度数据运用普通回归模型和对2006-2012年的月度数据采用向量自回归模型分别进行实证研究,发现我国外汇衍生品市场已经对货币政策汇率传导渠道产生了显著的影响,并且汇率传导渠道的功能出现明显的减弱迹象。最后从外汇衍生品市场的视角出发,提出改进和完善我国货币政策传导机制的相关政策建议。
Since the reform of Chinese currency regime, the Chinese foreign exchange derivatives market developed rapidly. Its impact on monetary policy transmission mechanism, especially on exchange rate transmission channel, is increasingly apparent. Based on ordinary regression model using data from 2000 to 2012 and Vector Autoregression model using data from 2006 to 2012, this paper finds there is a significant impact on the exchange rates transmission channels of monetary policy. Meanwhile it also finds that the function of this channel clearly has been weakening. Finally, from the foreign exchange derivatives market perspective, it puts forward policy recommendations to improve monetary policy transmission mechanism in China.
出处
《上海经济研究》
CSSCI
北大核心
2013年第7期24-35,共12页
Shanghai Journal of Economics
基金
2012年度国家社科基金重点项目"深化汇率形成机制改革研究--基于经济转型和金融开放视角的分析(项目的批准号:12AZD049)"
上海社会科学院2012-2013年研究生课题"我国外汇衍生品市场发展对出口贸易的影响"的阶段性成果
关键词
外汇衍生品
货币政策
汇率传导渠道
VAR模型
Foreign exchange derivatives
Monetary policy
Exchange rate channel
VAR model