| 人民币汇率双向浮动宏观因素影响机制研究——基于多重政策目标协调视角的实证分析 |
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| 引用本文： | 刘子熙,宫健. 人民币汇率双向浮动宏观因素影响机制研究——基于多重政策目标协调视角的实证分析[J]. 中国管理科学, 2022, 30(1): 32-41. DOI: 10.16381/j.cnki.issn1003-207x.2020.0240 |
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| 作者姓名： | 刘子熙 宫健 |
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| 作者单位： | 1.上海财经大学高等研究院,上海200433;2.上海财经大学数理经济学重点实验室,上海200433;3.东北财经大学国际经济贸易学院,辽宁 大连116025 |
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| 基金项目： | 国家自然科学基金资助项目(71850002);上海财经大学基本科研业务费预研究项目(2018110130);上海财经大学基本科研业务费资助项目(2019110085,2017110719) |
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| 摘 要： | 本文通过引入结构性政策转变虚拟变量,构建了反映人民币汇率形成机制改革效应的MDV-TARCH-M模型,分析了国内外差值变量和货币政策调控指标对汇率长期和短期变动的影响,得到如下结论：首先,历次改革中,只有中间价形成机制调整对促进汇率双向浮动产生显著效果;其次,人民币汇率浮动区间扩大是我国经济结构调整、技术进步速度放缓与国际经贸关联日趋紧密的交互效应的具体表现;第三,国内利率主要调节实体经济,对汇率的影响被阻断,但过高国际利差不利于人民币升值;最后,建立在贸易生产与货币政策之上的两组变量反馈机制通过宏观经济调控准则相互关联。
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| 关 键 词： | 人民币汇率浮动 货币政策 溢出效应 结构转变, |
| 收稿时间： | 2020-02-20 |
| 修稿时间： | 2020-08-11 |
Influencing Mechanism of Macroeconomic Factors on RMB Exchange Rate Bidirectional Fluctuations: An Empirical Research from the Perspective of Multiple Policy Goals |
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| LIU Zi-xi,GONG Jian. Influencing Mechanism of Macroeconomic Factors on RMB Exchange Rate Bidirectional Fluctuations: An Empirical Research from the Perspective of Multiple Policy Goals[J]. Chinese Journal of Management Science, 2022, 30(1): 32-41. DOI: 10.16381/j.cnki.issn1003-207x.2020.0240 |
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| Authors: | LIU Zi-xi GONG Jian |
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| Affiliation: | 1. Institute for Advanced Research,Shanghai University of Finance and Economics,Shanghai 200433, China;2. Key Laboratory of Mathematical EconomicsSUFE, Ministry of Education, Shanghai 200433, China;3. School of International Economics and Trade, Dongbei University of Finance and Economics, Dalian 116025, China |
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| Abstract: | Since 2011, although the RMB exchange rate starts to implement managed bidirectional floating regime, the increase in the range and frequency of exchange rate fluctuations means that the bidirectional spillover effect of domestic and foreign monetary policies has been increased, which affects the domestic economy and the confidence in holding RMB. The effects of structural changes in exchange rate regimes comprehensively are analyzed via introducing policy dummy variables, in order to find out the transmission mechanism of macroeconomic factors on RMB exchange rate bidirectional fluctuations, which is significant to maintain financial stability. |
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| Keywords: | RMB exchange rate fluctuation monetary policy spillover effects structure break, |
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