汇率波动影响金融稳定的传导机制研究.pdfVIP

43 2 () Vol.43 , No.2 2013 3 Journal of Zhejiang University (Humanities and Social Sciences) Mar.2013 DOI :10 .3785/ .issn.1008-942X.2012 .05 .151 j ( , 310027) [ ] 。 、, 37 , PVAR, ,,。 , ,。 [] ;;PVAR; A Study of the Impact of Exchange Rate Fluctuations on the Transmission Mechanism of Financial Stability JinXuejun Zhong Yi (Colle e o Economics , Zhe iang Universit , H an z hou 310027 , China) g f j y g Abstract :Since the 1970s, there have been frequent financial crises, and as a result, financial instability hasbecomeanormalstate.Thesecriseshavecausedhugedamageto therealeconomy, which draws increasing attention from both theorists and practitioners. To know about the impact of the transmission mechanism of exchange rate fluctuations on financial stability would facilitate a better understanding of the sources of macro-economic instability. This paper constructs a hypothesis that exchange rate fluctuation affects financial stability through trade, capitalflow and asset price. It also presents an empirical analysis of the relationship between exchange ratefluctuation andfinancial stability by employing thePVARmodelfor thepanel data of 30 countries. Theempirical result suggests that: (1) Thereis no significant interaction between exchange ratefluctuation andfinancial stability.Theweaklink between thetwo,however,becomes much stronger when other participating variables are added. It is clear that exchange rate fluctuation exertsit impact through trade,capitalflow andasset price,negatively affectingfinancial stability [] 2012 05 15