摘要
本文基于2005年7月至2019年8月相关经济数据,结合因子分析法与TVP-VAR模型,研究了汇率变动是否会通过信心与预期渠道影响消费。研究发现:(1)信心与预期是汇率变动影响消费的稳健传导渠道,且传递效应具有明显的时变特征。(2)早期的本币升值冲击会显著抑制信心与预期,且在中长期内的冲击抑制效应持续强于短期。但2016年之后中长期冲击的抑制效应逐渐减弱,同时长期冲击在部分时点上会产生激励效应。(3)各个时点上的信心与预期冲击对消费的影响均为正向,且冲击效果在中短期内较为平稳,长期内的时变特征更为显著,总体上冲击的提前期越长,影响效果越明显。(4)在次贷危机时点上信心与预期更易受到汇率变动的冲击影响,对消费的传导效应也更加明显,而汇率制度的重大变革对信心与预期的冲击也不容忽视。(5)在稳健性检验阶段,改变汇率变量、使用其它模型、格兰杰因果检验的结果也均支持上述结论。
Based on the relevant economic data from July 2005 to August 2019,this paper studies whether the exchange rate changes will affect consumption through confidence and expectation channels with factor analysis method and TVP-VAR model.The results show that:(1)confidence and expectation are the stable transmission channels of exchange rate changes affecting consumption,and the transmission effect has obvious time-varying characteristics.(2)The impact of local currency will significantly inhibit confidence and expectation in short term,and the inhibition effect in the medium and long term will continue to be stronger than that in the short term in the early stage.But after 2016,the inhibition effect in the medium and long term has gradually weakened,and long term shock will even produce incentive effect at some time points.(3)The impact of confidence and expectation on consumption at each time point is positive,and the impact effect is relatively stable in the short and medium term,while the time-varying characteristics are more obvious in the long term.Generally,the longer the impact lead time is,the more significant the impact effect is.(4)At the time of Subprime crisis,confidence and expectation are more vulnerable to the impact of exchange rate changes,and the transmission effect on consumption is more obvious.Moreover,the impact of major changes in the exchange rate system on confidence and expectation should not be ignored.(5)In the stage of robustness test,the results after changing exchange rate variables,using other models and applying Granger causality test also support the above conclusions.
作者
张润驰
张谊浩
赵辉
ZHANG Run-chi;ZHANG Yi-hao;ZHAO Hui(Postdoctoral Research Station of Nanjing University,Nanjing 210093,China;Postdoctoral Work Station of Bank of Jiangsu Co.,Ltd,Nanjing 210006,China;School of Business,Nanjing University,Nanjing 210093,China)
出处
《现代财经（天津财经大学学报）》
CSSCI
北大核心
2020年第8期45-58,共14页
Modern Finance and Economics：Journal of Tianjin University of Finance and Economics
基金
国家自然科学基金项目(71672079)
国家博士后基金项目(2019M651760)。
关键词
汇率变动
消费
信心与预期
传导渠道
exchange rate changes
consumption
confidence and expectation
transmission channel
