[1]邹宗森,杨素婷.货币供应量、利率对汇率的影响——基于VAR模型的分析[J].金融教育研究,2020,(03):16-24.
　ZOU Zongsen,YANG Suting.The Impact of Money Supply and Interest Rate on Exchange Rate——Analysis based on VAR Model[J].,2020,(03):16-24.
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货币供应量、利率对汇率的影响——基于VAR模型的分析()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2020年03期
页码:
16-24
栏目:
金融论坛
出版日期:
2020-06-10

文章信息/Info

Title:
The Impact of Money Supply and Interest Rate on Exchange Rate——Analysis based on VAR Model
文章编号:
2095-0098(2020)03-0016-09
作者:
邹宗森1;  杨素婷2
1.曲阜师范大学 经济学院,山东 日照 276826; 2.青岛理工大学 商学院,山东 青岛 266520
Author(s):
ZOU Zongsen1;  YANG Suting2
1.School of Economics,Qufu Normal University,Rizhao,Shandong 276826,China; 2.School of Business,Qingdao University of Technology,Qingdao,Shandong 266520,China
关键词:
汇率;  货币供应量;  利率;  VAR
Keywords:
exchange rate;  money supply;  interest rate;  VAR
分类号:
F832
文献标志码:
A
摘要:
根据2002年1月至2019年4月人民币对美元汇率、全国银行同业拆借加权利率以及广义货币供应量货币数据,构建VAR模型进行实证研究。结果表明,货币供应量对汇率产生影响,但作用方向与经典的汇率决定理论背离; 利率对汇率变动的作用方向虽与利率平价理论相符,但不显著; 汇率更多地受其自身变动的影响。进一步,利用脉冲响应函数和方差分解等方法,发现货币供应量对汇率的影响要大于利率对汇率的影响,但是两个变量对汇率变动的方差贡献不足2%,汇率变动对其自身的方差贡献超过98%。建议我国继续深化汇率和利率市场化改革,疏通货币政策传导渠道,从而强化汇率与利率、货币供应量等货币政策工具的联系。
Abstract:
This paper constructs a VAR model based on the CNY/USD exchange rate(direct quotation),the national interbank lending(30 days)monthly weighted average,and the broad money supply(M2)ranging from January 2002 to April 2019 to study the impact of the latter two variables on the first variable.The results show that the money supply has a significant negative impact on the exchange rate,which deviates from the classic exchange rate decision theory; the effect of interest rate on exchange rate changes is consistent with the theory of interest rate parity,however,the coefficient sign is not significant; the exchange rate is more affected by itself.Further,by method of impulse response function and variance decomposition,this paper finds that the impact of money supply on the exchange rate is greater than that of interest rate,but the contribution of the two variables to the variance of the exchange rate change is less than 2%.By contrast,the contribution of exchange rate to its own variance is more than 98%.It is suggested that China should continue to deepen the reform of exchange rate and interest rate marketization,and unblock the transmission channels of monetary policy,thus strengthening the link between exchange rate and monetary policy instruments such as interest rates and money supply.

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备注/Memo

备注/Memo:
收稿日期:2019-06-12
基金项目:国家社会科学基金后期资助一般项目“欧元区一体化的挑战与前景”(19FGJB006)
作者简介:邹宗森(1979-),男,山东五莲人,博士后,教授,博士生导师,研究方向为国际金融。
更新日期/Last Update: 2020-06-10