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美联储持续加息对美元汇率变动的影响

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美联储每次提高利率都会给世界经济带来巨大扰动,引起全球瞩目,2022年开始的美联储新一轮加息周期更是如此.文章将美联储政策利率调整前后两天的两年期美国国债收益率变化作为美国政策利率冲击的代理变量,并考虑其他国家加息冲击,分析美联储持续加息对美元汇率变动影响的日度效应;同时,基于利率平价关系、购买率平价关系、实际汇率,分析了美联储和其他国家政策利率调整对美元汇率变动的影响机制.文章还运用局部投影方法识别美国和其他国家政策利率的外生冲击,研究美国和其他国家政策利率调整对美元汇率的影响,并将2022年美联储利率调整和2015年美联储利率调整的美元汇率变动效应进行比较.研究表明,2022年美联储政策利率提高1个百分点(100BP),导致美元当天对发展中国家和发达国家的货币分别显著升值1.401%和4.073%;但是,2015年美联储加息1个百分点(100BP)后美元对发展中国家的货币显著贬值15.46%,且2022年其他G20国家政策利率同时提高后,美联储利率提高的美元升值效应有所增强.月度数据分析表明,其他国家货币对美元贬值的根本原因在于其物价涨幅超过美国.
The Impact of Continuously Rising of Fed's Policy Rate on US Dollar Exchange Rate Movement
Every time the Fed raises policy interest rates,it creates a huge disruption in the global economy and draws global attention.This is especially true for the new Fed rate hike cycle that began in 2022.With the sample of G20 countries,we establish a country-specific panel database.Firstly,we take the change of two-year U.S.Treasury rate during the two-day window of the adjustment of the Fed's policy in-terest rate as a proxy for the U.S.policy interest rate shock to analyze its daily impact on the U.S.dollar exchange rate under the global rate hike.We separate the change of the dollar exchange rate based on interest rate parity,purchasing rate parity and the real exchange rate conditions to analyze the impact mechanism of the Fed's and other countries'policy rate adjustments on the dollar exchange rate.In particular,we apply the local projection method to identify the exogenous shocks of monetary policy in the U.S.and other countries,and study the impact of the successive adjustment of U.S.and other countries'policy interest rates on the exchange rate of the U.S.dollar.We also compare the Fed's interest rate adjustment in 2022 on the exchange rate with the situation back in 2015.We find that one percent raise of the Fed policy rate hike in 2022 led to a significant appreciation of the dollar against the currencies of both developing and devel-oped countries(appreciate by 1.401%and 4.073%respectively),but the dollar went through a significant depreciation of the currencies of developing countries after the Fed rate hike in 2015(depreciate by 15.46%).The dollar appreciation effect of the Fed's interest rate hike was enhanced in 2022 with simultaneous policy rates increase of other G20 countries.Monthly data analysis suggests that the underly-ing reason for the depreciation of other countries'currencies against the dollar is that their prices have risen more than those of the United States.

田素华、潘思颐、李筱妍

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复旦大学经济学院

美联储 政策利率 美元汇率变动 LP方法

上海市哲学社会科学规划课题

2023BJL001

2024

世界经济研究
上海社科院世界经济研究所

世界经济研究

CSTPCDCSSCICHSSCD北大核心
影响因子:1.401
ISSN:1007-6964
年,卷(期):2024.(1)
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