基于SVAR模型的汇率影响因素分析28392.pdfVIP

第 19卷 第 2期 运 筹 与 管 理 Vo.l 19, No. 2 2010年 4月 OPERAT IONS RESEARCH AND MANAGEMENT SCIENCE Apr. 2010 SVAR 王相宁, 李 文 ( , 230026) : , , SVAR, , , ; , ; , ( ) : ; ; SVAR; SDR; : F 30. 92 : A :2010) SVAR Mode lbased A na lys is o f Influenc ing Facto rs of Exchange Rate (Department of Statistic and F inance, University of Science and Technology of China, H ef ei 230026, China) Ab stract: Under the assumption that internationalization of inform ation and rapid developm ent of fictitious capital are from the real economy entity, this paper constructs the model of exchange ratew ith comprehensive effect for analyzing the relationsh ip bewt een exchange rate and other m acroeconom ic variables and emp irically tests the contemporaneous effect and hysteretic effect of various macroeconom ic variables on RMB exchange rate. The re search resu lt indicates that, first, RMB exchange rate is not only hysteretically affected by macroeconom ic varia bles such as foreign exchange reserves, but also synchronously by the behavior of foreign exchangem arket partic ipantsw hose expectation changesw ith information change, especially w hen the changing information of money supply and gross amount of domestic stock have deeper effects; second, RM B exchange rate against SDR reflects themonetary value ofRMB better than RMB exchange rate against u. s dollar. Therefore, w e consider that the monetary authorities can select principal variables like money supp ly directly affecting themonetary value in ex change rate regu lation. Key w ords: international finance; themodel of exchange ratew ith comprehensive effect; SVAR; RMB exchange rate against SDR; fictitious capital