经济制裁对目标国汇率变动的影响:基于30个经济体的实证研究

Impact of Economic Sanctions on Exchange Rate Fluctuations of Target Countries:Empirical Research Based on 30 Economies

俄乌冲突以来,美欧对俄罗斯采取了一系列经济制裁,卢布汇率波幅巨大。文章创新性地在国内首次将经济制裁纳入影响汇率变动的因素中,通过构建泰勒规则汇率模型,采用2000~2018年国际经济制裁和30个国家汇率变动匹配面板数据进行实证检验。研究结果显示,经济制裁显著加剧了目标国汇率波动,但对汇率水平变动影响并不显著。进一步研究发现,多边制裁、贸易制裁、联合国和欧盟发起的经济制裁会给目标国汇率波动带来更大的负面影响。经济制裁对发展中国家与新兴市场国家、人均收入水平较低、经济全球化程度较低国家的汇率波动产生更大的不利冲击。

Since the conflict between Russia and Ukraine,the United States and Europe have imposed a series of economic sanctions against Russia,which cause extreme fluctuations in the ruble exchange rate. This paper creatively includes economic sanctions into the factors affecting exchange rate changes for the first time in China. By constructing the Taylor rule exchange rate model,the empirical test is carried out by using the panel data of international economic sanctions and exchange rate fluctuations of 30 countries from 2000 to 2018. The results show that economic sanctions significantly exacerbate the exchange rate fluctuations of the target countries,but the impact on the exchange rate level is not significant. Further studies find that multilateral sanctions,trade sanctions and economic sanctions initiated by the United Nations and the European Union will have a greater negative impact on the exchange rate fluctuations of the target countries. Economic sanctions have a greater adverse impact on the exchange rate fluctuations of developing countries and emerging market countries,countries with low per capita income and low degree of economic globalization.