货币幻觉对人民币汇率波动影响的实证研究

An Empirical Study of the Impact of Money Illusion on RMB Exchange Rate Fluctuation

将货币幻觉因素纳入价格粘性的新凯恩斯经济模型的框架下,建立了货币幻觉对汇率波动影响的理论模型,并进行了实证检验。结果表明:货币幻觉程度上升,除了会直接导致人民币汇率升值幅度加大外,还加剧了货币供应增长率对汇率波动的间接影响;2005年人民币汇率改革后,货币幻觉的直接效力与间接效力都进一步增强,但在2008年国际金融危机后有所回调。此外,在面临重大政策调整或外部冲击时,短期内货币幻觉的直接和间接影响均有大幅变动。

By including the factor of money illusion into the framework of the new Keynes economic model with price stickiness,this paper builds a theoretical model of the influence of money illusion on exchange rate fluctuation and conducts an empirical test.The results show that the increasing money illusion degree will not only directly lead to the increasing appreciation of RMB exchange rate,but also stimulate the indirect influences of the money supply growth rate on exchange rate fluctuations.Since the RMB exchange rate reform in 2005,both the direct and indirect effects of money illusion have been further enhanced,but after the outbreak of the international financial crisis in 2008,the effects have been weakened a little.Besides,when faced with major policy adjustments or external shocks,the direct and indirect effects of money illusion would change significantly in short-term.