1980-2006东亚宏观经济波动的原因——基于面板VAR的分析

【作者】 车维汉； 王茜；

【机构】 上海财经大学；

【摘要】 东亚经济波动及其协同性的存在已得到学术界的认同,本文通过构建面板向量自回归模型,检验了国内外6种冲击对东亚经济波动的影响,并考察了宏观经济各变量在面对冲击时的动态反应,以及汇率和通货膨胀对经济波动的传导作用。研究表明,国内的供给冲击、汇率冲击,国外的利率冲击、需求冲击都会对东亚经济波动有较大影响,汇率是外部冲击的重要传导渠道,而通胀是内部冲击的重要传导渠道。随着东亚经济一体化进程的推进和金融市场不断开放,东亚各经济体对外部需求变动和世界利率变动所产生的冲击应予以重视。更多还原

【Abstract】 The synchronization of the economic fluctuations in East Asia has been confirmed academically. This paper quantifies the impact of six different shocks, using a panel vector auto-regression approach and determines their contributions to macroeconomic volatility in East Asian economies. In general, the impacts of supply shock, exchange rate shock, external demand shock, and world interest rate are the main sources of fluctuations. Exchange rate is the main transmit channel of external shocks, while the inflation rate mainly transmits the domestic shocks. In the process of economic integration and financial openness, the influence of external demand and world interest rate shocks should be paid enough attention to.更多还原