摘要
基于中美贸易摩擦冲击背景,通过选取汇率、贸易顺差、利率波动、外汇干预、经济政策不确定性构建VAR模型,研究人民币汇率变动的影响因素。通过对2009-2018年的月度数据进行实证分析后发现,非市场行为因素的中国经济政策不确定性和外汇干预是影响人民币汇率变动的Granger原因,两者均导致人民币贬值。其中,中国经济政策的不确定性对汇率影响较大,而外汇干预的影响力较小。市场行为因素的中美贸易顺差、利率波动不是影响人民币汇率变动的Granger原因。因此,政府应注重市场行为的自发调控与非市场行为宏观调控之间的协同作用,以维护我国汇率市场的平稳运行。
Based on the background of Sino-US trade friction and impact,VAR model is constructed by selecting exchange rate,trade surplus,interest rate fluctuation,foreign exchange intervention and economic policy uncertainty to study the influencing factors of RMB exchange rate fluctuation.Through the empirical analysis of the monthly data from 2009 to 2018,it is found that the Granger factors affecting the RMB exchange rate change are China’s economic policy uncertainty and foreign exchange intervention,both of which lead to the RMB devaluation and the former has a greater impact on the exchange rate.Market behavior factors such as Sino-US trade surplus and interest rate fluctuations are not the Granger reasons affecting the RMB exchange rate changes.Therefore,the paper proposes that the government should pay attention to the synergy between the spontaneous regulation of market behavior and the macro-control of non-market behavior in order to maintain the smooth operation of China’s exchange rate market.
作者
彭一扬
罗光强
PENG Yiyang;LUO Guangqiang
出处
《上海立信会计金融学院学报》
2019年第4期9-20,共12页
Journal of Shanghai Lixin University of Accounting and Finance
基金
国家社会科学基金项目“粮食主产区粮食生产规模与效率同步提升的机理及其实现途径研究”（15BJY094）
