摘要
美元周期性的强弱变化对全球经济具有重要影响,为深入理解美元周期,首先必须对其成因进行研究。本文采用VECM模型、SVAR模型从长期、短期两个层面,研究了货币周期、经济周期、投资者避险情绪对美元周期的影响。通过实证研究发现,长期来看美元周期受到美国货币政策、经济增长和投资者避险情绪等多方面因素的复杂影响,而美元指数的短期波动主要体现为对利率冲击和投资者避险情绪变化的反应,经济增长对美元指数的短期冲击效应不强。
The cyclical change of the dollar index or"dollar cycle"plays a major role in the fluctuation of the world economy,and analysis the causes of dollar cycle is the initial step for a further understanding. This paper combines the VECM and SVAR model to analysis the causal relationship between monetary policy, economic cycle, risk aversion and the dollar cycle in both long and short term and finds that: In the long term, both the three factor can affect dollar index, and in the short term,dollar index fluctuation is mainly caused by interest rate and risk aversion shock while the economic growth shock only plays a minor role.
出处
《投资研究》
2016年第7期141-149,共9页
Review of Investment Studies