摘要
随着我国人民币国际化的推进，货币反替代程度不断增强。这种反替代深化势必对我国的汇率和资产价格产生影响。基于SVAR模型，利用2005～2013年的月度数据，应用脉冲响应和方差分解研究货币反替代对人民币汇率、股票和房地产的影响，实证研究表明，货币反替代对人民币汇率有“放大效应”，对房地产市场的影响程度要大于对股票市场的影响程度。
With the advance of RMB internationalization, the anti-substitution of RMB is growing rapidly. This phenomenon must have an impact on Chinas exchange rate and asset price. Based on SVAR model, the paper studies the impact of anti-substitution of RMB on the RMB exchange rate, equity price and real property price, using impulse response and variance decomposition with monthly data during the 2005- 2013. The empirical evidence shows that the anti-substitution of currency produces an ＂amplification effect＂ to the RMB exchange rate, and that the anti-substitution of currency has far greater influence on real estate market than on the stock market.
出处
《财经理论与实践》
CSSCI
北大核心
2014年第1期2-7,共6页
The Theory and Practice of Finance and Economics
基金
国家自然科学基金(70973104)项目资助
中国博士后基金资助(2012M511942)
关键词
货币反替代
汇率
资产价格
SVAR模型
Anti-substitution of RMB
RMB exchange rate
Asset prices
SVAR model
