影响人民币汇率若干宏观因素的实证检验

63Vol.6No.320046JournalofShanghaiUniversityofFinanceandEconomicsJun12004:F830192:A:100920150(2004)0320026207,(,200433):,,,,,,,:;;;?(ClaridaandGali,1994)(vectorautoregression,VAR),218%,,(Rogers,1998)18891992,,,,4016%,,19972002,(M2)191581418414174121271716016187,143113,1813594812775?,,,:2004203211:(1955-),,,,;(1972-),,,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,()11K:Zt=1Zt-1++kZt-k+et:Zt=(lnM2,lnreserve,lnGDP,r),M2,reserve(R,),GDP,ln,r,1,,k44,etVAR,21,19802000,,GDPM2,(R),,,;,,,E2view3.1(),,,,(EngleandGranger,1987),(co2integration)(),,()(),,,,VAR,,,,,11-(AugmentedDickey2Fuller,ADF)ADF:xt=a0+a1t+(-1)xt-1+ixt-i+tH0:=1,H1:111,,5%723©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,5%,I(1),1ADFADFlnGDP-1.34(c,1)-3.03lnGDP-3.413(c,1)-3.04lnR-0.09(0,1)-2.71lnR-2.553(0,1)-1.96r-2.84(c,1)-3.03r-3.973(c,1)-3.04LnM2-2.27(c,2)-3.62lnM2-4.533(c,0)-3.01:35%;;(c:,0:),(19802000)21,VARI(1),,,,,,,,,Johnsen(),232Johnsen5%1%CE(s)0.94107179.9159247.2154.460330.62947328.9503329.6835.6510.39175411.0793915.4120.0420.1116112.1302243.766.653:331%,(19802000)3lnRESERVElnGDPrlnM2C1.000000-1.02-0.0120.390.56(52.7997)(0.51998)(20.5692)46.88357822004©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.2,1%,(),,:lnR=1.02lnGDP-0.39lnM2+0.012lnr-0.56(),,(M2)1%,0139%(0139%),(GDP)1%,1102%(1102%),(r)1%,01012%(01012%),,,(),()()()VAR(ImpulseResponseFunction,IRF)11VAR,VARZt,,,,,,VAR,,VARVAR(VMA):Zt=0et+1et-1++pet-p+:p=(p,ij),p=0,1,2,,yiyi0,ij,1,ij,2,ij,2.(),E2view311VAR,,,,()1M2123,(:),(),,()1(M2)1,(),14,4,8923©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.2GDP,,,,8,2(GDP)2,GDP(),1315,,,563,6,8GDP,,315,83(r)3,,,()(),(MeanSquareError),(VarianceDecomposition)44()S.E.lnRESERVElnGDPlnM2r10.249158100.00000.0000000.0000000.00000020.34875789.260115.7747184.8258670.13930830.42238575.624465.49057318.173940.71103440.47423064.360095.41592328.672761.55122750.52084153.4300510.6791034.152601.73824760.56304447.3796014.3956136.693181.53161070.59811345.1101515.0075238.524741.35758880.62340143.0741514.9804140.687911.25752790.64335440.6927415.1586842.928611.219968100.66207138.4362715.3550145.004641.204083:,100(19802000)032004©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.4,()()40%,()20%,(),,(),()45%,,()(),,(),,,VAR,,,:,,(),,,,,,,,,,,,20,,,,,,,,,,,,:[1],1[J]1,2002,(4).[2]1[J]1,2002,(7).[3]Cover,J.P.AsymmetricEffectsofPositiveandNegativeMoneySupplyShocks[J]1QuarterlyJournalofEconomics,107,No.4,12611282,1992.[4]Dickey,D.A.andW.Fuller.DistributionoftheEstimatorsforAutoregressiveTimeSerieswithaUniteRoot[J]1JournaloftheAmericanStatisticalAssociation,74(366),427431,1979.[5]Engle,R.andC.W.J.Granger.ConintegrationanderrorCorrection:Representation,EstimationandTesting[J]1Econometrica,55,2,25176,1987.(60)133©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.MaxWeberonRuleofLawandConfucianismHOUJian(LawSchool,FudanUniversity,Shanghai200433,China)Abstract:WecanconcludefromtheliteratureofMaxWeberthatmodernruleoflawconsistsofthreefactors:formalrationallaw,bureaucracy,andlawnabidingspirits.ThereasonwhytraditionalChinawasntarulednbynlawsocietyisthatConfucianismcouldntbringoutthesethreefactors.Tosomeextent,Confucianism,however,canbeemployedtocuresomeoftheabusesbroughtbyalawnrulesociety.Keywords:ruleoflaw;Confucianism;lawculture(31)[6]Friedman,M.andA.Schwartz.MoneyandBusinessCycles[J].ReviewofEconomicsandStatistics,45,No.1,part2,32-64,1963.[7]Hendry,BrettF.DynamicEconometrics[M].OxfordUniversityPress,1995.[8]Joansen,S..LikelihoodnbasedInferenceinCointegratedVectorAutoregressiveModels[M].OxfordUniversityPress,1995.[9]JohnH.Rogers.MonetaryShocksandRealExchangeRates[R].InternationalFinanceDiscussionPapers,BoardofGovernorsoftheFederalReserveSystem,1998.[10]Mccandless,G.T.andW.E.Weber.SomeMoneyFacts[J].FederalReserveBankofMinneapolisQuarterlyRe2view,19,No.3,1995.[11].[J].,2004,(1).AnEmpiricalStudyontheImpactofSomeMacroeconomicFactorsontheExchangeRateofRMBXIJun2yang,TANWen(ResearchCenterforModernFinance,ShanghaiUniversityofFinanceandeconomics,Shanghai200433,China)Abstract:Thispaperfocusesonwhatkindofimpactthemoneysupply,GDPandtherealinterestratemayhaveontheexchangerateofRMBinChinabythemeansofthecointegrationtestandthevari2ancedecomposition.WefindthatstablerelationshipsexistbetweentheabovevariablesandtheexchangerateofRMB,andespeciallythemoneysupplyhasadistinctimpactontheexchangerateofRMBinthelongrun.Keywords:moneysupply;exchangerateofRMB;cointegrationtest;thevariancedecomposition062004©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.