人民币升值预期与国际油价关系的实证研究
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财经研究 2011 年 第 37 卷第 01 期, 页码：92 - 101
摘要
参考文献
摘要
文章在回顾国内外研究国际油价与汇率关系的基础上,运用溢出效应模型、协整检验、VEC模型对人民币汇率形成机制改革之后国际油价与人民币升值预期的关系进行了实证分析。结果发现:国际油价与人民币升值预期之间具有长期均衡关系,但仅仅存在国际油价对人民币升值预期的单向传导作用,溢出效应方面也只有国际油价对人民币无本金交割远期交易汇率的单向收益溢出效应与波动溢出效应。从短期看,国际油价上涨会削弱人民币升值预期,而从长期看则会增强人民币升值预期。
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[3]刘湘云,朱春明.美元贬值和石油价格变动相关性的实证分析[J].国际金融研究,2008,(11):50-55.
[4]吴丽华,傅春.石油价格与汇率的相关性研究[J].福建金融,2007,(3):15-17.
[5]王楠,张晓峒.人民币汇率与国际石油价格协整分析[J].东北亚论坛,2009,(3):9-15.
[6]Amano R A,Norden S V.Exchange rates and oil prices[R].Working Paper,Bank ofCanada,1995.
[7]Breitenfellner A,Cuaresma J.Crude oil prices and the USD/EUR exchange rate[J].Mo-netary Policy&The Economy,2008,(4):102-121.
[8]Chaudhuria K,Daniel B C.Long-run equilibrium real exchange rates and oil prices[J].Economics Letters,1998,58:231-238.
[9]Chen S S,Chen H C.Oil prices and real exchange rates[J].Energy Economics,2007,29:390-404.
[10]Coudert V,Mignon V,Penot A.Oil price and the dollar[J].Energy Studies Review,2008,(15):2.
[11]Golub S S.Oil Prices and exchange rates[J].The Economic Journal,1983,(9):576-593.
[12]Hamao Y,Masulis R W.Correlations in price changes and volatility across internation-al stock markets[J].Review of Financial Studies,1990,(3):281-307.
[13]Huang Y,GUO F.The role of oil price shocks on China’s real exchange rate[J].Chi-na Economic Review,2007,(18):403-416.
[14]Krugman P.Oil and the dollar[R].National Bureau of Economic Research WorkingPaper,No.554,1980.
[15]Krugman P.Oil shocks and exchange rate dynamics[A].Frenkel J A.Exchange Ratesand International Macroeconomics[C].University of Chicago Press,1983:259-284.
[16]Lizardo R A,Mollick A V.Oil price fluctuations and U.S.dollar exchange rates[J].Energy Economics,2010 32:399-408.
[17]Narayan P K,Narayan S,Prasad A.A understanding the oil price-exchange rate nexusfor the Fiji islands[J].Energy Economics,2008,30:2686-2696.
[18]Nikbakht L.Oil prices and exchange rates:The case of OPEC[J].Business Intelli-gence Journal,2010,(1):83-92.
[19]Plante M.Exchange rates,oil price shocks,and monetary policy in an economy withtraded and non-traded goods[R].CAEPR Working Paper,No.016,2009.
[20]Yousefi A,Wirjanto T S.A stylized exchange rate pass-through model of crude oilprice formation[J].OPEC Review,2005,(9):177-197.
引用本文
刘浚. 人民币升值预期与国际油价关系的实证研究[J]. 财经研究, 2011, 37(1): 92–101.
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