摘要
文章从均衡和非均衡角度分析了我国汇率波动和物价水平在短期内的相互影响关系,运用马尔可夫链蒙特卡洛方法(MCMC)对数据进行随机模拟,并以时变参数模型的脉冲响应函数拟合了变量受到冲击后从非均衡到均衡的动态路径。研究结果表明:汇率和价格水平之间确实存在由需求转化变动到相对均衡的时变动态关系,这不仅对经济新常态下我国汇率和价格的双向波动提供了合理的解释,而且对我国当前面临的一些宏观问题提供了有益的启示。在稳健的货币政策下循序渐进推动汇率制度改革,合理引导汇率预期,加强政府之间的金融合作,共同应对通货膨胀和通货紧缩压力,将有利于我国宏观经济的均衡稳定运行。
This paper analyzes the interaction between exchange rate fluctuations and price level in China from the perspectives of equilibrium and disequilibrium,then uses the Markov Chain Monte Carlo method(MCMC)to simulate the data randomly,and finally employs the impulse response functions of the time-varying parameter model to fit the dynamic path from disequilibrium to equilibrium after a variable is impacted.The research results show that there is indeed a time-varying dynamic relationship between exchange rate and price level from demand transformation to relative equilibrium,which not only provides a reasonable explanation for the two-way fluctuations of China’s exchange rate and price under the background of the new normal of economy,but also provides some beneficial enlightenment for solving some macroscopical problems facing our country at present,that it will be beneficial to the balanced and stable operation of China’s macro economy to gradually promote the reform of the exchange rate system under the prudent monetary policy,reasonably guide the exchange rate expectation,strengthen the financial cooperation between governments,and jointly deal with the pressure of inflation and deflation.
作者
孙少岩
孙文轩
Sun Shaoyan;Sun Wenxuan(China Center for Public Sector Economy Research,Changchun 130012,China;School of Economics,Jilin University,Changchun 130012,China)
出处
《统计与决策》
CSSCI
北大核心
2021年第7期136-139,共4页
Statistics & Decision
关键词
汇率波动
价格水平
马尔可夫链
蒙特卡洛方法
exchange rate fluctuation
price level
Markov chain
Monte Carlo method
