| 货币篮子最优权重:理论框架和实证检验 |
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| 引用本文： | 王慧,刘宏业. 货币篮子最优权重:理论框架和实证检验[J]. 经济问题, 2008, 342(2): 90-93 |
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| 作者姓名： | 王慧 刘宏业 |
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| 作者单位： | 1. 中国社会科学院,世界经济与政治研究所,北京,100732;北京联合大学,商务学院,北京,100025
2. 北京银行,北京,100032 |
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| 摘 要： | 以Branson和Katseli(1981)建立的分析货币篮子最优权重的理论为框架,以曾经采用钉住货币篮子汇率制度的泰国和新加坡为实例考察货币篮子所涉及的国家之间实际汇率的长期均衡关系.实证分析主要包括建立泰国和新加坡货币篮子的向量自回归(VAR)模型以及在此基础上对两国的货币篮子进行协整检验从而验证篮子货币之间的长期均衡关系.通过对两国货币篮子长期均衡关系的分析判断出泰国货币篮子中的权重并非最优权重而新加坡货币篮子的权重接近于最优权重,新加坡的货币篮子的弹性优于泰国的货币篮子.这启示我们人民币所参考的货币篮子一定要控制其中美元的权重,增强弹性.
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| 关 键 词： | 货币篮子 最优权重 VAR模型 协整分析 |
| 文章编号： | 1004-972X(2008)02-0090-04 |
| 修稿时间： | 2007-12-04 |
Currency Baskets Optimal weights:Theory Framework and Empirical Analysis |
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| WANG Hui,LIU Hong-ye. Currency Baskets Optimal weights:Theory Framework and Empirical Analysis[J]. On Economic Problems, 2008, 342(2): 90-93 |
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| Authors: | WANG Hui LIU Hong-ye |
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| Affiliation: | WANG Hui(1,2),LIU Hong-ye3(1.Institute of International Economics & Politics Chinese Academy of Social Science,Beijing 100732,China,2.School of Business,Beijing Union University,Beijing 100025,3.Bank of Beijing,Beijing 100032,China) |
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| Abstract: | The paper uses the models of the currency baskets optimal weight which were established by Branson & Katseli(1981)as theory framework,exploit vector autoregression analysis and cointegration analysis as empirical method to examine the long-run relationship between the real exchange rate of a group of trading partners of Thailand and Singapore which two countries have been chosen currency basket exchange rate regime.By analyzing the long-run relationship between the real exchange rate of a group of trading p... |
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| Keywords: | currency baskets optimal weights VAR model cointegration analysis |
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