美联储加息预期会引起我国资产价格波动吗?——基于汇率传导路径的经验证据

Does the Expectation of Federal Reserve Interest Rates Raising Cause Asset Price Fluctuations in China?—Based on Empirical Evidence of the RMB Exchange Rate Transmission Path.

以美联储加息预期和近期的人民币汇率波动为背景,以人民币兑美元实际汇率为桥梁,采用TVP-VAR模型探究了"美联储利率调整→人民币汇率变动→资产价格波动"这一传导路径的有效性。结果发现:美联储宣布加息后,中国汇股两市会逐渐形成"人民币贬值→资产价格重置→我国股票抛售→资产价格下跌→外国资本流出→人民币再次贬值"的阶段性特征,但这一影响不具有长期效应。为此,中国政府应该在短期内高度重视美联储加息,通过加强外汇储备管理和金融市场监管来平抑短期内的汇股两市波动;而在长期内,政府仍应有计划有节奏的推动人民币国际化与钉住单一美元脱钩,提升人民币政策的独立性,从而在根本上稳定汇率波动并促进金融市场健康发展。

Based on the expectation of Fed interest rate raising and fluctuations of the RMB exchange rate,regarding the RMB real exchange rate as a bridge,we use the TVP -VAR model to explore the effectiveness of conduction path of ＂the federal reserve interest rates adjustment→the RMB exchange rate change→asset prices volatility＂.The results showed that after the Fed announced increasing interest rates,our Stock market and currency markets will gradually form the spiral pattern：Devaluation→asset prices reset→sell China′s stock→asset prices fall→foreign capital outflow→the RMB depreciated again.But this effect does not have a long -term effect.Therefore,the Chinese government should pay more attention to the Federal Reserve raising interest rates in the short term,through the strengthening management of foreign exchange reserves and regulation of financial markets to stabilize short -term foreign exchange and stock mar-ket volatility.In the long term,government should promote the RMB getting unhooked with US dollars in a planned way,enhancing the independence of the RMB policy,thus fundamentally stable exchange rate fluctuations and promote the healthy development of the financial market.