摘要
运用结构向量自回归模型,实证分析美联储价格、利率、货币供给三类货币政策调整在实施不同人民币汇率机制的三个阶段对香港离岸人民币汇率波动产生的传导效应。研究发现:整体上,美联储价格调整对离岸汇率波动产生的传导效应最为显著,利率调整次之,货币供给调整影响最弱;这三类货币政策同时调整时,在其他传导效应的叠加下,价格和货币供给调整的影响被弱化,利率调整的影响被强化,但价格调整产生的影响仍然最显著,代表变量中美元指数为影响离岸人民币汇率波动的主要因素。另外,2015年"811"汇改后三类货币政策调整对离岸汇率波动的传导效应均有所增强,而逆周期因子的引入则在一定程度上削弱了这三重传导效应的影响。
The SVAR is used to empirically analyze the transmission effect of the adjustment of prices,interest rates,and currencies in the Fed’s monetary policy on the fluctuation of Hong Kong’s offshore RMB exchange rate during the three stages of implementing different RMB exchange rate mechanisms.The study finds that overall,the transmission effect of price adjustment on offshore exchange rate fluctuations is the most significant,followed by interest rate adjustment,and the effect of money supply adjustment is the weakest.When these three types of monetary policies are adjusted at the same time,under the superimposed conduction effects,the impact of price and currency supply adjustments is weakened,and the impact of interest rate adjustments is strengthened,but the impact of price adjustments is still the most significant.The U.S.dollar index is the main factor affecting the fluctuation of the offshore RMB exchange rate.In addition,after the"811"exchange rate reform in 2015,the impact of these three types of monetary policy adjustments on offshore exchange rate fluctuations has been enhanced,and the introduction of countercyclical factors has weakened the impact of these three transmission effects to a certain extent.
作者
石建勋
赵张霞
SHI Jianxun;ZHAO Zhangxia(School of Economics and Management,Tongji University,Shanghai 200092)
基金
国家社会科学基金项目“新时代我国社会主要矛盾发生变化的新特点研究”(18VSJ007)
上海市哲学社会科学规划课题“从新时代看如何解决中美贸易争端研究”(2018XAB010)
上海市教育委员会科研创新计划人文社科重大项目“人民币国际化进程中的货币替代效应与政策选择研究”(2017-01-07-00-07-E00045)
