摘要
由于汇率制度改革以及外部宏观经济因素的影响,中国外汇市场压力(EMP)表现出明显的结构突变现象,本文运用变系数向量自回归(TVP-VAR)模型来刻画该背景下EMP与货币政策的非线性动态关系。实证结果表明,国内货币供给对EMP影响并不显著,而国内经济增长、中美利差、通货膨胀对EMP存在明显影响,且在不同的经济周期阶段表现不同。因此,调整经济增长结构和减少外部性才能从根本上减少外部市场非均衡带来的人民币升值压力问题。此外,通货膨胀对经济增长的负面影响非常显著,而EMP和信贷数量变动对通货膨胀的短期影响较大,因此政策当局应协调运用信贷政策和汇率政策抑制物价的过快上涨。
Because of the reform of exchange rate regime and the change of external macroeconomics condition, exchange market pressure （EMP） in China shows obvious structural break. This paper uses the TVP-VAR model to analyze the nonlinear dynamic relationship between EMP and monetary policy. The empirical findings indicate that monetary inference is not significant in China, while domestic economic growth, the interest rate differential with the US and inflation have significant effects on EMP in different business cycles. It is concluded that only adjusting development structure and reducing externality can alleviate the RMB appreciation pressure caused by disequilibrium of external market. Furthermore, the inflation is detrimental to the economic growth, and EMP and change of credit amount have great short-term influence on inflation, so the monetary authorities should coordinate the use of credit policy and exchange rate policy to restrain the high inflation.
出处
《国际金融研究》
CSSCI
北大核心
2014年第7期87-96,共10页
Studies of International Finance
基金
教育部人文社科研究项目(12YJC790064)
武汉大学“70”后学者学术团队项目
武汉大学自主科研项目(人文社会科学)阶段性研究成果
中央高校基本科研业务费专项资金资助
