人民币实际汇率、短期国际资本与资产价格——基于时变参数向量自回归模型

RMB Real Exchange Rate, Short-term International Capital Inflow and Asset Price: An Analysis Based on TVP-VAR model

基于非线性视角,采用时变参数向量自回归模型对汇率改革以来人民币实际汇率、短期国际资本与资产价格之间的互动关系进行了实证分析。实证结果表明:传统的常参数模型所获得的结论存在明显的估计不足,同时发现人民币实际汇率的提高对短期国际资本流动的影响在不同滞后期下存在明显的差别,而对资产价格的影响则始终表现为促进作用;另外,短期国际资本的流入对汇率的冲击在金融危机后明显减弱,并且在不同时期变量之间冲击的大小也存在差异,金融危机发生以后,各变量受到冲击的响应幅度均有不同程度的减小。

This paper, from the nonlinear perspective, analyzes the interac- tions among RMB real exchange rate, the short-term international capital and as- set price by employing the time-varying parameter vector auto-regression model. The empirical results show that the traditional constant parameter model estima- tion results are not flawless. At the same time, the increase of RMB real ex- change rate has obvious distinction of influences on short-term international capi- tal in different lag phases, while has constantly positive effects on asset price. The impact of short-term international capital on exchange rate has significantly declined after the financial crisis. In addition, impacts of the three variables on each other differ during different periods, which have all weakened to some ex- tent after the outbreak of the financial crisis.