外汇储备、CPI与汇率的多尺度影响分析

论文首先运用db2小波对取对数后的数据分3层进行降噪，然后建立外汇储备、汇率以及CPI的VEC模型，并在VEC模型估计的基础上，使用脉冲响应和方差分解对他们的动态关系进行实证分析。结果表明，我国外汇储备与汇率之间不仅存在因果关系，还存在长期的协整关系；CPI与外汇储备之间不仅存在协整关系而且变动方向保持一致，外汇储备规模的快速增长对CPI上涨也产生一定的影响；汇率的变动对CPI也有一定的影响，但影响力度较小。

Multi-scale Impact Analysis for Foreign Exchange Reserves,CPI and Exchange Rate

First of all, we use db2 wavelet with three layers for noise reduction on the original data, and build VEC model of foreign exchange reserves, exchange rate and CPI, and then use the impulse response and variance decomposition to analyze their dynamic relationship which was based on VEC model. The results of this study illustrate that there is a certain causal relationship and cointegration relationship between China＆#39;s foreign exchange reserves and exchange rate; there is a cointegration relationship between CPI and foreign exchange reserves, the scale of foreign exchange has affect the rise of CPI; while exchange rates have small impact on the CPI.