经济问题
經濟問題
경제문제
On Economic Problems
2011年
2期
99~103
,共null页
资产组合模型 外汇干预 误差修正模型
資產組閤模型 外彙榦預 誤差脩正模型
자산조합모형 외회간예 오차수정모형
portfolio model; exchange intervention; VEC
基于资产组合渠道对外汇干预的有效性进行实证分析。研究表明：外汇干预与风险溢价存在协整关系、风险溢价是央行外汇干预的原因以及央行外汇市场干预导致了风险溢价以及汇率变化,总体上我国外汇干预是有效的。
基于資產組閤渠道對外彙榦預的有效性進行實證分析。研究錶明：外彙榦預與風險溢價存在協整關繫、風險溢價是央行外彙榦預的原因以及央行外彙市場榦預導緻瞭風險溢價以及彙率變化,總體上我國外彙榦預是有效的。
기우자산조합거도대외회간예적유효성진행실증분석。연구표명：외회간예여풍험일개존재협정관계、풍험일개시앙행외회간예적원인이급앙행외회시장간예도치료풍험일개이급회솔변화,총체상아국외회간예시유효적。
This paper study the effective of the central bank of exchange intervention base on portfolio model,the research shows that there exists co-integration relationship between the risk premium and the intervention in the foreign exchange market.The existence of the risk premium is the reason of the foreign exchange intervention.And the intervention in the Foreign exchange market leads to the changes of the exchange rate.Empirical researches concluded that China＇s foreign exchange intervention through portfolio balance channel is effective.
