经常账户调整对一国实际有效汇率的短期冲击:一般规律与异质性——来自19个重要经济体的经验证据被引量：1

Short-term Impact of Current Account Adjustment on a Country’s Real Effective Exchange Rate:General Rules and Heterogeneity——Empirical Evidence from 19 Important Economies

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摘要本文基于拓展的OR(1995)两部门模型,探索2008年全球金融危机后经常账户调整对一国实际有效汇率的短期冲击。首先,构建基于外生冲击的面板VAR模型,采用系统GMM法进行估计,结合脉冲响应函数分析,发现危机后新兴经济体经常账户调整对实际有效汇率先呈现负向冲击后迅速转正,但在全样本和发达国家组别中该效应并不显著;其次,通过构建SVAR模型,探索全球四大经济体经常账户短期冲击的异质性,结论表明危机后源于经常账户的短期冲击是人民币实际有效汇率变动的主要贡献因素,但并非美国、德国、日本实际有效汇率变动的主要贡献因素,经常账户对人民币实际有效汇率呈现微小正向冲击。这些结论意味着,新兴经济体需要密切关注经常账户调整的潜在影响,发达经济体需要重视经常账户调整背后的金融渠道,积极付诸改善本国收支结构的努力。 Based on the extended OR(1995)two-sector model,this paper explores the short-term impact of current account adjustment on a country s real effective exchange rate after the global financial crisis.Firstly,the PVAR model based on exogenous shocks was constructed,and the systematic GMM method was adopted for estimation.Combined with the impulse response function analysis,it was found that the current account adjustment of emerging economies had a negative impact on the real effective exchange rate(REER) and then quickly turned positive,but this effect was not significant in the whole sample and groups of developed countries.Secondly,by constructing the SVAR model,the short-term impact of heterogeneity of the world s four big economies’ current accounts is also analysed,the conclusion demonstrates that short-term shock behind current account is the major contribution factor of REER for China,but not for the United States,Germany and Japan,while the current account presents the tiny positive impact on real effective exchange rate.It can be concluded that emerging economies need to pay close attention to the potential impact of current account adjustments,while developed economies need to pay extensive attention to the financial channels behind current account adjustments and actively make great efforts to improve their balance of payment structure.

作者刘瑶张明 LIU Yao;ZHANG Ming(Graduate School of Chinese Academy of Social Sciences,Beijing 102488;Chinese Academy of Social Sciences,Beijing 100732)

机构地区中国社会科学院研究生院中国社会科学院世界经济与政治研究所

出处《经济与管理研究》 CSSCI 北大核心 2019年第7期3-17,共15页 Research on Economics and Management

关键词经常账户调整实际有效汇率短期冲击贸易冲击金融渠道收支理论 current account adjustment real effective exchange rate short-term impact trade shock financial channel theory of income and expenditure

分类号 F831 [经济管理—金融学]