摘要
通过运用TVP-VAR-SV模型分析1996年1月至2019年8月的月度数据,考察了人民币汇率制度改革背景下人民币汇率传导的时变特征。实证分析结果表明:第一,随着汇率浮动程度提高,汇率对经济周期的自动稳定器效应大于汇率贬值的产出刺激效应,汇率波动对国内产出的传导效应减弱;第二,由于我国货币政策框架向CPI通胀率的名义锚定转变,汇率向国内价格传导的传导幅度与传导峰值、收敛时间都有所缩短;第三,由于国际资本流动方向改变以及外部不确定性增加,央行汇率逆风向干预的动机和力度都有所增强,汇率对M2的传导有所增强。此外,汇率对宏观变量的传导效应惯性与市场参与者预期稳定程度有关。应当根据国内外经济结构环境的变化,有针对性地考虑汇率变动对国内经济的影响。
This paper uses data from Jan 1996 to Oct 2019 and TVP-VAR-SV method to study the exchange rate pass-through to business cycle movement,monetary aggregate and domestic prices under the RMB exchange rate regime reform.The results show that:first,the auto-stabilizer effect of exchange rate on business cycle is larger than the stimulate effect of exchange rate depreciation,when degree of exchange rate floating increase.Second,the pass-through peak time and duration are declined when monetary policy change towards CPI inflation targeting.Third,because external uncertainty rise,the international capital flow changes direction frequently,and central bank lean against wind motive and implementation enhance,the pass-through to M2 is increasing.Moreover,the inertia of pass-through is found related to the stability of foreign exchange market participants.The results have strong policy implication for the tactic policy makings according to the external and domestic economic structural transit.
作者
吴周恒
杨静
Wu Zhouheng;Yang Jing(School of Finance,Guangdong University of Foreign Studies,Guangzhou 510006,China;School of Economics and Trade,Guangdong University of Foreign Studies,Guangzhou 510006,China)
出处
《金融理论探索》
2020年第6期3-12,共10页
Exploration of Financial Theory
基金
国家自然科学基金项目“新货币政策框架下的货币政策传导与宏观稳定、金融稳定功能的研究”(71703029)
广东省基础与应用基础研究基金“人民币汇率波动形成机制与中央银行汇率调控策略——基于外汇市场交易者异质性预期微观市场结构的研究”(2019A1515011008)。
