财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2012年
5期
24~29
,共null页
外汇储备 协整分析 VAR模型 误差修正模型
外彙儲備 協整分析 VAR模型 誤差脩正模型
외회저비 협정분석 VAR모형 오차수정모형
Foreign Exchange Reserves; Cointegration Analysis; Vector Auto Regressive Model; Error correction Model
从二维视角出发，选取月度数据对中国外汇储备规模与CPI波动的动态关系进行了实证研究。结果表明，我国外汇储备与CPI波动互为因果，且二者存在长期的协整关系；短期内，外汇储备对CPI波动存在正向的冲击效应，外汇储备和CPI波动关系的阶段特征呈现出与我国外汇体制变迁阶段相契合的规律性。为此，提出了削弱外汇储备对物价影响的政策建议。
從二維視角齣髮，選取月度數據對中國外彙儲備規模與CPI波動的動態關繫進行瞭實證研究。結果錶明，我國外彙儲備與CPI波動互為因果，且二者存在長期的協整關繫；短期內，外彙儲備對CPI波動存在正嚮的遲擊效應，外彙儲備和CPI波動關繫的階段特徵呈現齣與我國外彙體製變遷階段相契閤的規律性。為此，提齣瞭削弱外彙儲備對物價影響的政策建議。
종이유시각출발，선취월도수거대중국외회저비규모여CPI파동적동태관계진행료실증연구。결과표명，아국외회저비여CPI파동호위인과，차이자존재장기적협정관계；단기내，외회저비대CPI파동존재정향적충격효응，외회저비화CPI파동관계적계단특정정현출여아국외회체제변천계단상계합적규률성。위차，제출료삭약외회저비대물개영향적정책건의。
This paper focuses on dynamical process and linkage between the scale of China＇s foreign exchange reserves and CPI with monthly data. The empirical results testify that there are reciprocal cause-and-effect and long-term cointegration relations between the scale of China＇s for- eign exchange reserves and CPI. As for short term relations, it indicates that fluctuations in the scale of foreign exchange reserves make positive knock-on effects on CPI in China. Furthermore, it reveals the law that the relationship between the scale of China＇s foreign exchange reserves and CPI changes with the four phases in the innovative process of China＇s foreign exchange regime. Finally, policy suggestions of weakening the relationship to improve the effectiveness of the mo- netary policy in China are proposed.
