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中国外汇干预有效性的协整分析:资产组合平衡渠道 被引量:20

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摘要 本文以2004~2006年数据为基础,通过对未抵补利率平价的回归检验,得出中国国内外资产是不完全替代的结论。通过单位根检验、建立协整方程得到,人民币远期、即期汇率、国内外利率以及国内外资产比例之间存在协整关系;格兰杰因果关系检验和脉冲相应分析得出,资产组合平衡渠道的外汇干预是有效的。
作者 桂詠评
出处 《世界经济》 CSSCI 北大核心 2008年第1期13-22,共10页 The Journal of World Economy
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