摘要
东亚经济波动及其协同性的存在已得到学术界的认同,文章通过构建面板向量自回归模型,检验了6种冲击对东亚经济波动的影响,并考察了宏观经济各变量在面对冲击时的动态反应,以及汇率和通货膨胀对经济波动的传导作用。研究表明,国内的供给冲击、汇率冲击,国外的利率冲击、需求冲击都会对东亚经济波动产生较大影响,汇率是外部冲击的重要传导渠道,而通胀是内部冲击的重要传导渠道。随着东亚经济一体化进程的推进和金融市场不断开放,东亚各经济体对外部需求变动和世界利率变动所产生的冲击应予以重视。
The synchronization of the economic fluctuations in East Asia has been confirmed academically. By establishing a panel VAR model, the paper tests the impacts of six different shocks on the economic fluctuations in East Asia. Then it studies the dynamic responses of macroeconomic variables to these shocks and the pass-through effects of exchange rates and inflation on the economic fluctuations. The results indicate that domestic supply shock, domestic exchange rate shock, foreign interest rate shock and foreign demand shock have strong influences on the economic fluctuations in East Asia. External shocks affect the economic fluctuations through exchange rates and internal shocks mainly rely on inflation to influence the economic fluctuations. With the process of economic integration and the continuous opening-up of financial markets in East Asia, the economies in East Asia should pay great attention to external demand change and the fluctuations of interest rates in the world.
出处
《财经研究》
CSSCI
北大核心
2009年第11期59-70,共12页
Journal of Finance and Economics
基金
教育部人文社会科学规划基金项目(08JA790078)
上海财经大学研究生科研创新基金项目(CXJJ-2009-312)资助
关键词
经济波动
面板向量自回归
脉冲响应
方差分解
economic fluctuation
panel VAR
impulse response
variance decomposition
