人民币实际汇率波动的源泉——基于长期约束结构VAR的实证研究
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上海财经大学学报 2009 年 第 11 卷第 06 期, 页码：67 - 73
摘要
参考文献
摘要
本文采用结构VAR实证研究石油价格、供给、需求以及货币这四类冲击对人民币实际汇率的动态影响,以及这些冲击对解释实际汇率波动的相对重要性。研究发现,这四类冲击对人民币实际汇率波动的影响大小和方向基本符合理论预期;对于人民币实际汇率的预测方差,需求冲击贡献度达到70%,供给冲击和货币冲击的贡献度各在11%左右,石油价格的解释程度最小。同时,本文分析实证结果背后的原因,并讨论相应的政策启示。
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[6]Amano R.A.&Norden,S.Oil prices and the rise and fall of the US real exchange rate[J].Journal of In-ternational Money and Finance,199817,299-316.
[7]Ahmed,Shaghil.Sources of Economic Fluctuations in Latin America and I mplications for Choice of Ex-change Rate Regi mes[J].Journal of Development Economics,2003,72,(1):181-202.
[8]Balassa,Bela.The Purchasing Power Parity Doctrine:A Reappraisal[J].Journal of Political Economy,1964,72(December):584-596.
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[12]Clarida,Richard and Jordi Gali.Sources of Real Exchange Rate Fluctuations:HowI mportant Are Nomi-nal Shocks[J].NBER Working Paper No.4658(Cambridge,Massachusetts:National Bureau of Economic Research),1994.
[13]Dornbusch,R.Expectations and Exchange Rate Dynamics[J].Journal of Political Economy,1976,84,1161-1176.
[14]Evans,M.D.&Lothian,J.R.The response of exchange rates to permanent and transitory shocks un-der floating exchange rates[J].Journal of International Money and Finance,1993,12,563-586.
[15]Shiu-Sheng Chen,Hung-Chyn Chen.Oil prices and real exchange rates[J].Energy Economics,2007,29:390-404.
[16]Toda,Hiro Y.Finite sample properties of likelihood ratio tests for cointegration when linear trends are present[J].Reviewof Economics and Statistics,1994,76:66-79.
[17]Tao Wang.China:Sources of Real Exchange Rate Fluctuations[D].I MF Working Paper,2004.
引用本文
周杰琦. 人民币实际汇率波动的源泉——基于长期约束结构VAR的实证研究[J]. 上海财经大学学报, 2009, 11(6): 67–73.
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