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自我国汇率制度改革实施以来,人民币汇率的走势便受到国内外学者的广泛关注,我们以石油价格冲击为主线,研究石油价格冲击对人民币汇率波动的影响。利用平滑转换回归(STR)模型,对2006年1月至2015年12月石油价格和人民币汇率的关系进行研究,研究结果表明:石油价格是人民币名义汇率变化的Granger原因,反之不成立;石油价格对人民币汇率的冲击具有非对称性,当石油价格负向变化率低于阈值水平或正向变化时,石油价格波动对人民币汇率的影响程度较小;当石油价格负向变化率高于阈值水平时,石油价格波动对人民币汇率的影响程度较大;当石油价格处于阈值水平附近时,石油价格波动对人民币汇率的影响将在两个机制之间平滑转换,并且转换速度非常快。
Since the implementation of the reform of the exchange rate regime in our country, the trend of RMB exchange rate has drawn wide attention from domestic and foreign scholars. Taking the impact of oil price as the main line, we study the impact of oil price shock on the fluctuation of RMB exchange rate. Using the smooth transition regression (STR) model, the paper studies the relationship between oil price and RMB exchange rate from January 2006 to December 2015. The results show that the oil price is the Granger cause of the nominal exchange rate of RMB, and vice versa The impact of RMB exchange rate is asymmetric. When the negative rate of change of oil price is lower than the threshold level or positive, the impact of the fluctuation of oil price on the exchange rate of RMB is less. When the negative rate of change of oil price is higher than the threshold level , The impact of oil price fluctuations on the RMB exchange rate is greater. When the oil price is near the threshold level, the impact of oil price fluctuations on the RMB exchange rate will be smoothly converted between the two mechanisms, and the conversion speed is very fast.