噪声交易、短期汇率动态与经济协同波动——基于NOEM模型的中美实证
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| Title | Noise Trading, Short-run Exchange Rate Dynamics and Economic Co-fluctuations
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| 作者 | 卞学字 范爱军 |
| Author | Bian Xuezi and Fan Aijun |
| 作者单位 | 山东大学经济学院 |
| Organization | Economic School of Shandong University |
| 作者Email | 595381184@qq.com，fanaj@163.com |
| 中文关键词 | NOEM模型 依市定价 噪声交易 滞后超调 |
| Key Words | NOEM；Pricing-to-Market；Noise Trading；Delayed Overshooting |
| 内容提要 | 通过构建一个包含贸易品分割定价与外汇市场噪声交易的两国NOEM模型，本文利用中美季度数据进行系统参数估计，并比较了不同资本市场假定下的模型拟合能力。研究表明，UIP冲击与噪声交易的引入显著改善了理论模型的拟合效果。对模型的动态分析表明，滞后超调是一个稳健的短期汇率特征，紧缩性货币政策将导致人民币持续升值并改善当前中美贸易失衡，同时也造成了美国消费明显下滑和福利水平更大幅度下降。此外，“再工业化”战略虽有利于美国产出与消费增长，但却会进一步加剧中美贸易失衡。最优货币政策分析发现，中国货币政策调整确实会考虑名义汇率但反应系数偏大，因此基于稳定产出与抑制通胀视角，央行应适度削弱基准利率调整对汇率波动的关注度。最后，我们指出了进一步研究的可行方向。 |
| Abstract | By constructing a two-country model employing both features of market segmentation and noise trading in foreign exchange market, we empirically evaluate parameters using data of China and U.S., and draw a comparison of model fit under different capital market structures. The paper reveals an introduction of UIP shock and noise trading improves overall fitness significantly. Dynamic analysis of the two-country model proves delayed overshooting a robust character of exchange rate in short run. Tightened monetary policy would result in a persistent appreciation of domestic currency and improvement of the recent trade imbalance between two countries indeed, also it would cause noticeable decline in U.S. consumption and sharper decrease in utility level. Besides, although the re-industrialization policy benefits U.S. output and consumption, it would cause a further aggravation of trade imbalance. Optimal monetary policy simulation finds that monetary policy adjustment of China relates to nominal exchange rate but the response coefficient was larger compared with the optimal value, which indicates that central bank ought to reduce their attention to exchange rate fluctuations in adjusting benchmark interest rate. Finally, we summarize two suggestions for further research. |
| 文章编号 | WP1030 |
| 登载时间 | 2016-03-04 |
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