人民币国际化、人民币汇率与汇率预期的互动效果——基于Markov区制转换VAR的实证研究

Interactive Effects among RMB Internationalization,RMB Exchange Rate and Exchange Rate Expectation——An Empirical Study based on MS- VAR

本文选取2006年10月至2015年10月间的月度数据,运用Markov区制转换VAR模型(MS-VAR)中的参数估计和脉冲响应函数,实证分析不同区制状态下人民币国际化、人民币汇率与汇率预期之间的动态关系。研究表明,人民币国际化、汇率与汇率预期在一定程度内呈同向变化,但变量间互动效果在不同的区制时有所区别;总体而言,相较于经济平缓状态,剧烈经济波动在一定程度上会抑制人民币国际化进程和人民币汇率、汇率预期的提升空间。

Monthly data from October 2010 to October 2015 are used to analyze the interactive effects among RMB internationalization,RMB exchange rate and exchange rate expectation in different regimes with the approach parameter estimation and impulse response function of MS- VAR. The results show that RMB internationalization,RMB exchange rate and exchange rate expectation are correlated in a positive fashion,however,in different regimes,the interactive effects are different. In a word,the economic fluctuation would have an adverse effect on RMB internationalization and growth of RMB exchange rate and exchange rate expectation.