货币反替代对我国汇率和资产价格的影响分析——基于人民币国际化进程的视角
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引用本文:巴曙松,刘精山,黄文礼.货币反替代对我国汇率和资产价格的影响分析——基于人民币国际化进程的视角[J].财经理论与实践,2014,(1):2-7
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作者单位
巴曙松,刘精山,黄文礼 (1.中国科学技术大学 统计与金融系,安徽 合肥230026
2.国务院发展研究中心,北京100010) 
中文摘要: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。
中文关键词:货币反替代  汇率  资产价格  SVAR模型
 
The Impact of Anti-substitution of Currency on China's Exchange Rate and Asset Prices:A Perspective of the Process of RMB Internationalization
Abstract:With the advance of RMB internationalization, the anti-substitution of RMB is growing rapidly. This phenomenon must have an impact on China's 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.
keywords:Anti-substitution of RMB  RMB exchange rate  Asset prices  SVAR model
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