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本文采用TVAR模型实证检验不同汇率制度下我国货币政策能否产生净出口的需求效应,并运用广义脉冲响应(GIRF)分析了该效应的作用强度和持续时间。实证结果表明,货币政策在不同汇率制度下均产生了净出口需求效应,但是随着汇率浮动幅度增大,货币政策的净出口需求效应出现非线性的变化。这种非线性效应主要表现为,货币供应环比增速的增长引起净出口环比增速波动的幅度在浮动汇率制度下明显大于固定汇率制度下;净出口环比增速受到货币政策冲击后在固定汇率制度下能够恢复到初始状态,而在浮动汇率制度下则一直在正负双向波动中逐渐扩大。此外,货币政策对净出口需求的有效性在固定汇率制度下仅有一年,而在浮动汇率制度下则始终存在。
In this paper, we use the TVAR model to test the demand effect of the net exports of China’s monetary policy under different exchange rate regimes, and analyze the intensity and duration of the effect by using generalized impulse response (GIRF). The empirical results show that monetary policy has a net export demand effect under different exchange rate regimes, but as the floating rate of exchange rate increases, the net export demand effect of monetary policy changes nonlinearly. This non-linear effect is mainly manifested in that the growth rate of the net export growth caused by the growth of the money supply chain growth was significantly higher than that under the fixed exchange rate system under the floating exchange rate system. The net export growth was affected by the monetary policy at a fixed exchange rate System can be restored to the initial state, while in the floating exchange rate system has been in the positive and negative two-way fluctuations gradually expanded. In addition, the effectiveness of monetary policy on net export demand is only one year under the fixed exchange rate system, while it always exists under the floating exchange rate system.