中国外汇市场压力与货币市场压力测算及互动影响关系研究
|
摘要
针对系统性风险管理中不同金融市场压力指标间的相关性问题,本文考察了近年来中国外汇市场压力(EMP)与货币市场压力(MMP)的动态变化及互动影响关系。首先采用模型独立法对EMP和MMP指数进行测算,其次构建包含共同因素的VAR模型分析两者的动态影响关系。研究发现:中国的EMP与MMP之间存在显著的相互影响关系,EMP对MMP具有强化作用,MMP对EMP具有弱化作用,且EMP对MMP的影响具有滞后效应。该结论揭示了中国维持汇率稳定条件下外汇市场压力和货币市场压力的传导关系,对于构建宏观审慎监管框架、协调货币政策和汇率政策以实现金融稳定具有实际价值。
Considering the relationships of different financial market pressure,we investigate the dynamic changes of exchange market pressure( EMP) and money market pressure( MMP) and the interaction between them in China. First,a model independent approach is used to estimate EMP index and MMP index. Then the VAR model with common influencing factors is applied to analyze the dynamic relationship between these two indices. The results show that there is a significant interaction relationship between EMP and MMP in China. EMP has a positive impact on MMP while there is a negative influence from MMP to EMP. And EMP has lagging effect on MMP. The conclusions reveal the dynamic transmission relationship between EMP and MMP under the condition of maintaining the exchange rate stability,which is of great significance for constructing macro-prudential supervision framework and coordinating monetary policy and exchange rate policy to achieve the goal of financial stability.
Considering the relationships of different financial market pressure,we investigate the dynamic changes of exchange market pressure( EMP) and money market pressure( MMP) and the interaction between them in China. First,a model independent approach is used to estimate EMP index and MMP index. Then the VAR model with common influencing factors is applied to analyze the dynamic relationship between these two indices. The results show that there is a significant interaction relationship between EMP and MMP in China. EMP has a positive impact on MMP while there is a negative influence from MMP to EMP. And EMP has lagging effect on MMP. The conclusions reveal the dynamic transmission relationship between EMP and MMP under the condition of maintaining the exchange rate stability,which is of great significance for constructing macro-prudential supervision framework and coordinating monetary policy and exchange rate policy to achieve the goal of financial stability.
引文
[1] Girton L, Roper D. A monetary model of exchange market pressure applied to the postwar Canadian experience[J]. American Economic Reviews,1977,67(4):537-548.
[2] Weymark D N. Estimating exchange market pressure and the degree of exchange market intervention for Canada[J]. Journal of International Economics,1995,39(3):273-295.
[3] Weymark D N. A general approach to measuring exchange market pressure[J]. Oxford Economic Papers,1998,50(50):106-121.
[4] Eichengreen B,Rose A K,Wyplosz C. Exchange market mayhem:the antecedents and aftermath of speculative attacks[J]. Economic Policy,1995,10(21):249-312.
[5] Eichengreen B, Rose A K, Wyplosz C. Contagious currency crises[R]. NBER Working Papers,No. 5681,1996. 1-45.
[6] Sachs J,Tornell A,Velasco A. Financial crises in emerging markets:the lessons from 1995[J]. Brookings Papers on Economic Activity,1996,27(1):147-199.
[7] Kaminsky G,Lizondo S,Reinhart C. Leading indicators of currency crises[J]. IMF Staff Papers,1998,75(1):1-48.
[8] Tanner E C. Exchange market pressure and monetary policy:Asia and Latin America in the 1990s[J]. IMF Staff Papers,2001,47(3):311-333.
[9] Tanner E C. Exchange market pressure,currency crises,and monetary policy:additional evidence from emerging markets[R]. IMF Working Paper,No. 02/14,2002. 3-48.
[10] Gochoco-Bautista M S,Bautista C C. Monetary policy and exchange market pressure:the case of the Philippines[J]. Journal of Macroeconomics,2005,27(1):153-168.
[11] Garcia C, Malet N. Exchange market pressure,monetary policy, and economic growth:Argentina,1993-2004[J]. The Developing Economies,2007,45(3):253-282.
[12] Kumah F Y. A markov-switching approach to measuring exchange market pressure[R]. IMF Working Paper,No. 242,2007. 3-24.
[13] Kemme D M,Lyakir G. From peg to float:exchange market pressure and monetary policy in the Czech Republic[J]. Review of International Economics,2011,19(1):93-108.
[14] Hagen J V,Ho T K. Money market pressure and the determinants of banking crises[J]. Journal of Money,Credit and Banking,2007,39(5):1037-1066.
[15] Hegerty S W. Money market pressure in emerging economies:international contagion versus domestic determinants[J]. Journal of Economic Systems,2012,36(4):506-521.
[16] Filipozzi F,Harkmann K. The financial crisis in central and Eastern Europe:the measures and determinants of the exchange market pressure index and the money market pressure index[J]. Research in Economics&Business:Central&Eastern Europe,2010,2(2):5-36.
[17]朱杰.中国外汇市场压力和中央银行的干预程度:一个经验分析[J].世界经济,2003,(6):14-23.
[18]卜永祥.中国外汇市场压力和官方干预的测度[J].金融研究,2009,(1):28-41.
[19]李晓峰,陈萍,叶文娱.人民币外汇市场压力与央行外汇干预的经验估计[J].上海金融,2011,(1):73-78.
[20]陈娟,田丰,陈创练,等.我国外汇市场压力研究——基于马尔可夫区制转换方法[J].国际金融研究,2011,(6):41-49.
[21]郭立甫.我国外汇市场压力的测算及影响因素研究——基于MIMIC模型[J].国际金融研究,2014,(1):74-85.
[22]卜永祥.人民币升值压力与货币政策:基于货币模型的实证分析[J].经济研究,2008,43(9):58-69.
[23]朱孟楠,刘林,倪玉娟.外汇市场压力与货币政策——基于中国数据的实证研究[J].山西财经大学学报,2009,31(4):83-90.
[24]许少强,张记伟.外汇市场压力下中国货币政策效果的实证分析[J].国际金融研究,2009,(9):64-72.
[25]胡利琴,彭红枫,李艳丽.中国外汇市场压力与货币政策——基于TVP-VAR模型的实证研究[J].国际金融研究,2014,(7):87-96.
[26]荆中博,杨海珍,杨晓光.基于货币市场压力指数的银行危机预警研究[J].金融研究,2012,(5):45-55.
[27] Frankel J,Saravelos G. Are leading indicators of financial crisis useful for assessing country vulnerability? Evidence from the 2008-2009 global crisis[R]. NBER Working Papers,No. 16047,2010. 2-43.
[28] Falcetti E,Tudela M. What do twins share? A joint probit estimation of banking and currency crises[J].Economica,2008,75(298):199-221.
[2] Weymark D N. Estimating exchange market pressure and the degree of exchange market intervention for Canada[J]. Journal of International Economics,1995,39(3):273-295.
[3] Weymark D N. A general approach to measuring exchange market pressure[J]. Oxford Economic Papers,1998,50(50):106-121.
[4] Eichengreen B,Rose A K,Wyplosz C. Exchange market mayhem:the antecedents and aftermath of speculative attacks[J]. Economic Policy,1995,10(21):249-312.
[5] Eichengreen B, Rose A K, Wyplosz C. Contagious currency crises[R]. NBER Working Papers,No. 5681,1996. 1-45.
[6] Sachs J,Tornell A,Velasco A. Financial crises in emerging markets:the lessons from 1995[J]. Brookings Papers on Economic Activity,1996,27(1):147-199.
[7] Kaminsky G,Lizondo S,Reinhart C. Leading indicators of currency crises[J]. IMF Staff Papers,1998,75(1):1-48.
[8] Tanner E C. Exchange market pressure and monetary policy:Asia and Latin America in the 1990s[J]. IMF Staff Papers,2001,47(3):311-333.
[9] Tanner E C. Exchange market pressure,currency crises,and monetary policy:additional evidence from emerging markets[R]. IMF Working Paper,No. 02/14,2002. 3-48.
[10] Gochoco-Bautista M S,Bautista C C. Monetary policy and exchange market pressure:the case of the Philippines[J]. Journal of Macroeconomics,2005,27(1):153-168.
[11] Garcia C, Malet N. Exchange market pressure,monetary policy, and economic growth:Argentina,1993-2004[J]. The Developing Economies,2007,45(3):253-282.
[12] Kumah F Y. A markov-switching approach to measuring exchange market pressure[R]. IMF Working Paper,No. 242,2007. 3-24.
[13] Kemme D M,Lyakir G. From peg to float:exchange market pressure and monetary policy in the Czech Republic[J]. Review of International Economics,2011,19(1):93-108.
[14] Hagen J V,Ho T K. Money market pressure and the determinants of banking crises[J]. Journal of Money,Credit and Banking,2007,39(5):1037-1066.
[15] Hegerty S W. Money market pressure in emerging economies:international contagion versus domestic determinants[J]. Journal of Economic Systems,2012,36(4):506-521.
[16] Filipozzi F,Harkmann K. The financial crisis in central and Eastern Europe:the measures and determinants of the exchange market pressure index and the money market pressure index[J]. Research in Economics&Business:Central&Eastern Europe,2010,2(2):5-36.
[17]朱杰.中国外汇市场压力和中央银行的干预程度:一个经验分析[J].世界经济,2003,(6):14-23.
[18]卜永祥.中国外汇市场压力和官方干预的测度[J].金融研究,2009,(1):28-41.
[19]李晓峰,陈萍,叶文娱.人民币外汇市场压力与央行外汇干预的经验估计[J].上海金融,2011,(1):73-78.
[20]陈娟,田丰,陈创练,等.我国外汇市场压力研究——基于马尔可夫区制转换方法[J].国际金融研究,2011,(6):41-49.
[21]郭立甫.我国外汇市场压力的测算及影响因素研究——基于MIMIC模型[J].国际金融研究,2014,(1):74-85.
[22]卜永祥.人民币升值压力与货币政策:基于货币模型的实证分析[J].经济研究,2008,43(9):58-69.
[23]朱孟楠,刘林,倪玉娟.外汇市场压力与货币政策——基于中国数据的实证研究[J].山西财经大学学报,2009,31(4):83-90.
[24]许少强,张记伟.外汇市场压力下中国货币政策效果的实证分析[J].国际金融研究,2009,(9):64-72.
[25]胡利琴,彭红枫,李艳丽.中国外汇市场压力与货币政策——基于TVP-VAR模型的实证研究[J].国际金融研究,2014,(7):87-96.
[26]荆中博,杨海珍,杨晓光.基于货币市场压力指数的银行危机预警研究[J].金融研究,2012,(5):45-55.
[27] Frankel J,Saravelos G. Are leading indicators of financial crisis useful for assessing country vulnerability? Evidence from the 2008-2009 global crisis[R]. NBER Working Papers,No. 16047,2010. 2-43.
[28] Falcetti E,Tudela M. What do twins share? A joint probit estimation of banking and currency crises[J].Economica,2008,75(298):199-221.