财务与金融
財務與金融
재무여금융
ACCOUNTING AND FINANCE
2014年
3期
7-13
,共7页
外汇储备%汇率%CPI%VEC%小波
外彙儲備%彙率%CPI%VEC%小波
외회저비%회솔%CPI%VEC%소파
Foreign Exchange Reserves%Exchange Rate%CPI%VEC%the Wavelet
论文首先运用db2小波对取对数后的数据分3层进行降噪，然后建立外汇储备、汇率以及CPI的VEC模型，并在VEC模型估计的基础上，使用脉冲响应和方差分解对他们的动态关系进行实证分析。结果表明，我国外汇储备与汇率之间不仅存在因果关系，还存在长期的协整关系；CPI与外汇储备之间不仅存在协整关系而且变动方向保持一致，外汇储备规模的快速增长对CPI上涨也产生一定的影响；汇率的变动对CPI也有一定的影响，但影响力度较小。
論文首先運用db2小波對取對數後的數據分3層進行降譟，然後建立外彙儲備、彙率以及CPI的VEC模型，併在VEC模型估計的基礎上，使用脈遲響應和方差分解對他們的動態關繫進行實證分析。結果錶明，我國外彙儲備與彙率之間不僅存在因果關繫，還存在長期的協整關繫；CPI與外彙儲備之間不僅存在協整關繫而且變動方嚮保持一緻，外彙儲備規模的快速增長對CPI上漲也產生一定的影響；彙率的變動對CPI也有一定的影響，但影響力度較小。
논문수선운용db2소파대취대수후적수거분3층진행강조，연후건립외회저비、회솔이급CPI적VEC모형，병재VEC모형고계적기출상，사용맥충향응화방차분해대타문적동태관계진행실증분석。결과표명，아국외회저비여회솔지간불부존재인과관계，환존재장기적협정관계；CPI여외회저비지간불부존재협정관계이차변동방향보지일치，외회저비규모적쾌속증장대CPI상창야산생일정적영향；회솔적변동대CPI야유일정적영향，단영향력도교소。
First of all, we use db2 wavelet with three layers for noise reduction on the original data, and build VEC model of foreign exchange reserves, exchange rate and CPI, and then use the impulse response and variance decomposition to analyze their dynamic relationship which was based on VEC model. The results of this study illustrate that there is a certain causal relationship and cointegration relationship between China's foreign exchange reserves and exchange rate; there is a cointegration relationship between CPI and foreign exchange reserves, the scale of foreign exchange has affect the rise of CPI; while exchange rates have small impact on the CPI.
