我国金融市场价格变动对人民币汇率的时变冲击——基于TVP-VAR模型的实证研究

The Time-Varying Impact of China's Financial Market Fluctuations on the Exchange Rate of RMB:Based on TVP-VAR Model

运用TVP-VAR模型对2005年汇率改革以后我国债券市场、货币市场、股票市场价格对人民币汇率的时变影响进行实证研究。研究发现,三个金融子市场对人民币汇率的影响呈现出典型的时变特征,随着汇率改革的不断推进与深化,金融市场价格变化对人民币汇率的冲击影响呈现出不断增强的趋势。因此,逐步开放我国金融市场,加强金融子市场的风险管理,对于维护金融稳定、有效防范汇率风险和稳步推动汇率市场化改革,都有着重要的意义。

Through analyzing several sub markets of China’s financial markets changes this article concentrated on the fluctuation of exchange rate and foreign exchange market,using the TVP-VAR model for empirical research in bond market,money market,and the stock market in China after the exchange rate reform in 2005,and the analysis was also included on transmission mechanism from financial market to the exchange rate changes.The study found that the impacts of the three sub markets in financial markets on exchange rate have some typical time-varying characteristics.Besides,along with the deepened interest rate reform,the impact of financial market is increasing on exchange rate changes.Therefore,we put forward our possible solutions such as internationalization of bond market,money market and other financial markets,expansion of financial markets,improvement of the depth and breadth of financial market,so as to continue to open up China and to improve the internationalization of the RMB.At the same time,we should appropriately reduce foreign exchange shocks and make some other related policies.