中国债权型货币错配及其与汇率制度的关系分析-chinas debt currency mismatch and its relationship with exchange rate system.docxVIP

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中国债权型货币错配及其与汇率制度的关系分析-chinas debt currency mismatch and its relationship with exchange rate system.docx

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中国债权型货币错配及其与汇率制度的关系分析-chinas debt currency mismatch and its relationship with exchange rate system

华中科技大学硕士学位论文华中科技大学硕士学位论文 II II Abstract The continued growth of foreign exchange reserves and the stressful appreciation of RMB are still economists’interest field, they are interested in how to use so much foreign exchange reserves and where the limitation of appreciation of RMB is. But the currency mismatch problem caused by the net foreign asset and the sensitivity of exchange rate are also very important to decide exchange rate regime.As a result,this paper are going to analyze theory of currency mismatch and relationship between China’s credit currency mismatch and exchange rate regime. Several indicators can measure currency mismatch,the AECM index proposed by Morris Goldstein and Philip Turner(2005) can reflect the degree of currency mismatch well.Currency mismatch is a common phenomenon in developing countries,because their currencies are not important in international market and domestic bond market is underdeveloped.By analyzing theory of currency mismatch,we can have a further study to research the relationship between currency mismatch and exchange rate regime. Based on the credit currency mismatch of China,this paper use new AECM index to estimate and test our country’s currency mismatch. However, the result reveals that transition of exchange rate regimes influenced by currency mismatch in China.To verify more clearly relationship between currency mismatch and exchange rate regime,this paper use Hausman test and simultaneous analysis.The result shows that the two influenced each other.The change of exchange rate causes the change of foreign income and expenditure,then these cause currency mismatch.On the other hand,currency mismatch influences the fluctuation of exchange rate,all these means that monetary authorities should consider currency mismatch when they constitute monetary policies. Keywords: Credit Currency Mismatch; Exchange Rate Regime; AECM Index; Markov Chain Analysis; Hausman Test PAGE IV PAGE IV 目录摘要 I ABSTRACT II 1