摘要
美国经济周期对中国经济周期的影响研究,是开放经济条件下宏观经济学研究的重点问题,也是当前国际金融危机冲击下极具现实价值的研究议题。本课题从美元汇率波动历史、影响美元汇率波动因素等入手,梳理美元汇率周期性波动特点,深入分析美元汇率对美国经济的影响,并进一步研究美国联邦基金利率、美国证券市场、石油价格等金融市场波动对我国经济的传导机理。通过对美国GDP、RRF等金融指标数据进行变量平稳性检验、格兰杰因果关系检验,脉冲响应函数分析,预测方差分解等环节,采用非结构性方法,建立向量自回归模型,探索美元汇率周期性变化对我国经济波动的影响。研究发现各项指标中,美元实际有效汇率对中国经济影响最大;美国联邦基金利率变动对中国经济影响最小;美国股票价格指数波动与中国经济增长具有正向关系;石油价格变动对中国经济影响具有滞后性等。上述研究结果,为我国有效应对美元汇率波动带来的外部效应传导风险提供理论支持。
The research on the impact of American economic cycle on China＇s economic cycle is a key issue in c research under the open economy, and also a research topic of great practical value under the impact of the current international financial crisis. Starting with the history of US dollar exchange rate fluctuation and the factors that affect US dollar exchange rate fluctuation, this paper combs the characteristics of US dollar exchange rate cyclical fluctuation, analyzes the impact of US dollar exchange rate on the US economy, and further studies the transmission of US federal funds interest rate, US securities market, oil price and other financial market fluctuations to China＇s economy. Mechanism. Through the analysis of variables stationarity test, Granger causality test, impulse response function analysis, forecast difference decomposition and other financial indicators such as US GDP, RRF and so on, a vector autoregressive model is established to explore the impact of the periodic change of US dollar exchange rate on China＇s economic fluctuation. It is found that the real effective exchange rate of US dollar has the greatest impact on China＇s economy; the change of US federal funds interest rate has the least impact on China＇s economy; the fluctuation of US stock price index has a positive relationship with China＇s economic growth; and the change of oil price has a lagging effect on China＇s economy. The above results provide theoretical support for China＇s effective transmission risk of external effects caused by the fluctuation of US dollar exchange rate.
作者
李楠
陈曦
麻东露
张露文
艾薇
高浩然
Li Nan;Chen Xi;Ma Dong;Lu Zhang;Luwen Ai;Wei Gao;Haoran
出处
《吉林金融研究》
2018年第10期12-18,共7页
Journal of Jilin Financial Research
关键词
汇率
波动周期
金融传导
Exchange Rate
Fluctuation Cycle
Financial Transmission
