| 量化宽松货币政策对汇率的影响——基于2001-2006年日本实证分析 |
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| 引用本文： | 王永茂,刘惠好.量化宽松货币政策对汇率的影响——基于2001-2006年日本实证分析[J].财贸研究,2011,22(5):109-116. |
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| 作者姓名： | 王永茂 刘惠好 |
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| 作者单位： | 1. 中南财经政法大学,湖北武汉430223;新疆财经大学,新疆乌鲁木齐830002
2. 中南财经政法大学,湖北武汉,430223 |
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| 摘 要： | 2001-2006年日本量化宽松货币政策对日元汇率的影响实践对于目前采用量化宽松货币政策的国家具有较强的借鉴意义。以Frankel模型为理论基础,运用VEC模型分两阶段进行实证分析,结果表明:与零利率宽松货币政策相比,日元汇率对量化宽松货币政策的独立性很强,量化宽松货币政策对汇率的即期波动和长期变动影响均不明显,对汇率的短期波动影响程度也较弱。实证结果还显示,量化宽松货币政策下,短期内存在汇率传导机制,汇率变动具有财富效应。
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| 关 键 词： | 量化宽松货币政策 零利率货币政策 日元/美元汇率 |
Effects of Quantitative Easing Policy on Exchange Rate:Evidence from 2001 -2006 in Japan |
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| WANG Yong-mao,LIU Hui-hao.Effects of Quantitative Easing Policy on Exchange Rate:Evidence from 2001 -2006 in Japan[J].Finance and Trade Research,2011,22(5):109-116. |
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| Authors: | WANG Yong-mao LIU Hui-hao |
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| Institution: | 1(1.Zhongnan University of Economics and Law,Wuhan 4300223;2.Xinjiang University of Finance and Economics,Urumqi 830002) |
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| Abstract: | The effect on Japanese Yen exchange rate by the 2001-2006 QEP in Japan is an important reference for those countries implementing QEP currently.Based on Frankel model and VEC model,this paper focuses on empirical analysis by 2 sections.The empirical results indicate that Japanese Yen exchange rate is more independent on monetary policy when compared with the ZIP,and the effect of the QEP on Yen’s fluctuation is not evident both on demand and in the long-term,effect on Yen’s fluctuation is weaker in the short-term.Besides,the empirical results show that exchange rate transmission exists and the fluctuation of exchange rate has wealth effect in the short term in QEP. |
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| Keywords: | quantitative easing policy(QEP) ZIRP Yen/US dollar exchange rate |
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