摘要
为了正确评估中国外汇市场运行状况,本文首次选取有效汇率、外汇储备、中外利差和汇率预期,并首次使用GIRF方法构建中国EMPI。本文考虑经济数据发生结构突变的可能性,引入TVP-VAR方法研究EMPI与货币政策关联性,实证结果表明:2005年7月至2011年1月,人民币升值压力的月份居多;2011年2月至2015年12月,人民币贬值压力的月份居多;经济增长、国内信贷均与EMPI有相互引导的关系,且在不同时期会有所差异。此外,TVP-VAR方法的实证结果通过了稳健性检验。
In order to correctly assess the health of the exchange market,it is the first time that we select effective exchange rate,foreign exchange reserve,interest rate spread and exchange rate expectations,and use GIRF method to construct China＇s EMPI.We consider economic structural break,we introduce TVP-VAR method.We find appreciation pressure of RMB is mainly showed from July 2005 to January2011,depreciation pressure of RMB is mainly showed from February 2011 to December 2015.We find EMPI has mutual guiding role with economic growth and domestic credit,respectively,we find the result of empirical research is stable.
作者
徐国祥
周昀
XU Guo-xiang ZHOU Yun(Shanghai University of Finance and Economics, Research Center for Applied Statistics, Shanghai 200433, China Shanghai University of Finance and Economics, Department of Statistics, Shanghai 200433, China)
出处
《数理统计与管理》
CSSCI
北大核心
2017年第2期313-325,共13页
Journal of Applied Statistics and Management
基金
国家社会科学基金重点项目(16ATJ004)
上海财经大学研究生创新计划项目科研创新基金(CXJJ-2015-435)资助
