美元汇率走势的实证研究——基于VAR模型分析

Analysis of the US Dollar Based on VAR Model

本文选取了国际资本流动、美国经济基本面、经常账户差额、货币供应量和国际油价五个影响美元走势的指标,运用VAR模型进行分析。研究发现,选取指标对美元指数的影响具有不同特点,合计解释力可达到58%的水平,由强至弱排序依次为美国债券的买入额(36%)、美国失业率(11%)、经常账户逆差(6%)、货币供应量(4%)和国际油价(1%)。

This paper constructs a VAR modelincluding five indicators that affect US dollar： international capital flows, US economic fundamentals, current account balances, money supply, and international oil prices for analysis. The study reveals that different indicators have different impacts on the US dollar, and the total explanatory power can reach 58%.Sorted from strong to weakis USbond purchases（36%）, US unemployment rate（11%）, current account deficit（6%）,money supply（4%）and international oil prices（1%）.