摘要
本文采用静态和滚动的Pearson、Spearman相关系数法证明新兴大国外汇储备波动具有协动性且日趋增强。SPSS因子分析和聚类分析表明,该协动性是由国际冲击因子和新兴大国特征因子共同作用所致,但各国受两因子影响程度不同。协整分析将两因子内涵具体化,证明代表新兴大国特征因子的经济增长率、通货膨胀率、货币供应增长率、进出口总额增长率四变量及代表国际冲击因子的美元实际有效汇率、美国股票市场波动与储备增长率存在长期稳定关系。本文结论凸显出新兴大国加强外汇储备合作的战略意义,也为各国实施差异化国内政策提供依据。
The strong and increasing co-movement in the foreign exchange reserves volatility of BRICS is verified with the static and dynamic Pearson ＆ Spearman Correlation Coefficient Method. SPSS factor analysis and cluster analysis prove that the co-movements mainly result from the combined effects of the international impact and the nature of large emerging countries, but the effects of the two factors are of different levels. These two factors are embodied with the cointegration analysis, and the results show that BRICS＇ GDPR, CPI, M2R, TRARATE representing the nature of large emerging countries and DEER, D J[ denoting the international impact have stable correlation with the growth rate of foreign exchange reserves. The results of this paper imply the strategic significance of strengthening the cooperation among BRICS on foreign exchange reserves, and provide rationale for implementing differential domestic adjustment policy of foreign reserves in the BRICS.
出处
《经济研究》
CSSCI
北大核心
2014年第1期112-126,共15页
Economic Research Journal
基金
国家社会科学基金项目"金砖国家外汇储备合意规模测度:多重动机
大国模型与合作调整"(13BGJ039)
国家自然科学基金项目"基于规模优势的大国经济增长模型与实证研究"(71373075)的阶段性成果
关键词
金砖国家
外汇储备
协动性
因子分析
BRICS
Foreign Exchange Reserves
Co-movement
SPSS Factor Analysis
