货币政策冲击对汇率变动的影响——基于结构动态因子模型的中美比较分析

The Effects of Monetary Policy Impact on Exchange Rate Movement:a Comparative Analysis between China and US Based on the Dynamic Factor Model

基于货币政策对汇率变动的传导机制,文中从中国和美国货币政策冲击出发,研究了货币政策冲击对汇率变动的影响作用。研究中构建结构动态因子模型,解决了变量指标维数过大的问题,同时采用符号约束等方法识别模型的因子个数,进行参数估计检验。实证模型估计了中美货币政策冲击序列,分析冲击的动态路径,并对比分析货币政策冲击为零和真实的货币政策下汇率变动情形,讨论只考虑利率指标时估计得到的条件预测值与真实值,考察了汇率变动是否只源于货币政策的变化。中美对比分析发现,中国的货币政策冲击能够更大程度地影响汇率变动,并且不同时点货币政策冲击对汇率的影响不同。总体而言,两国货币政策都基本实现了稳定币值的政策目标。

Based on monetary policy transmission mechanism,we studied the effect of the monetary policy on exchange rate from the Chinese and US monetary policy shocks.We built the dynamic factor model to solve the problem when variable dimensions are too many.Furthermore,we identified factor number using sign restriction methods.Specifically,we estimated the sequence of monetary policy impact,and analyzed the dynamic path of monetary policy shocks.Then we compared the exchange rate under the situations when estimated impact of monetary policy was zero and the real,and further we studied the situations when interest rate is considered and the impact of monetary policy shocks on exchange rate.We found that the impact of China＇s monetary policy can affect agreater degree of exchange rate changes,and the effects varies in time as monetary policy shocks on the exchange rate.Overall,two countries have basically achieved the monetary policy objectives to stable currency policy.