商业研究

商业研究

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人民币外汇市场压力与货币政策关系实证分析

杜玉兰，刘倩倩   

  1. 南京理工大学 经济管理学院，南京 210094
  • 收稿日期:2016-11-26 出版日期:2017-03-19
  • 作者简介:杜玉兰（1962-），女，安徽安庆人，南京理工大学经济管理学院教授，研究方向：国际金融理论与实践；刘倩倩（1993-），女，内蒙古呼伦贝尔人，南京理工大学经济管理学院研究生，研究方向：国际金融理论与实践。

An Empirical Analysis of the Relationship between RMB Exchange Market Pressure and Monetary Policy

DU Yu-lan, LIU Qian-qian   

  1. School of Economics and Management，Nanjing University of Science and Technology, Nanjing 210094,China
  • Received:2016-11-26 Online:2017-03-19

摘要： 结合马尔科夫区制转移向量自回归模型（MS-VAR），本文采用2005年7月至2016年4月的数据实证分析不同区间下外汇市场压力与货币政策之间的非线性关系，发现MSIH(3)-VAR(1)能够较好地描述变量之间的关系；在适度升值、强势升值与贬值三种区间下，外汇市场压力对货币政策各变量的响应不尽相同。因此，针对人民币面临贬值的现状，应谨慎控制M2的投放量，通过控制CPI的滞胀情况以及适度下调利率来缓解人民币贬值压力。

关键词: 外汇市场压力, 货币政策, 缓解贬值压力

Abstract: Combing with the Markov region transfer vector autoregressive model (MS-VAR), the paper empirically analyses the nonlinear relationship between exchange market pressure and monetary policy under different regional regimes by use of the data from July 2005 to April 2016. The research finds MSIH (3) -VAR (1) can better describe the relationship between variables; the responses of EMP to the monetary policy variables are not completely same under the moderate appreciation, strong appreciation and depreciation of the three regional system. Therefore, in view of the current situation of depreciation of the RMB, we should carefully control the amount of M2 investment and ease the devaluation pressure by controlling the stagflation of CPI and moderately lowering interest rates.

Key words: exchange market pressure, monetary policies, ease devaluation pressure