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中文摘要：
随着我国人民币国际化的推进，货币反替代程度不断增强。这种反替代深化势必对我国的汇率和资产价格产生影响。基于SVAR模型，利用2005～2013年的月度数据，应用脉冲响应和方差分解研究货币反替代对人民币汇率、股票和房地产的影响，实证研究表明，货币反替代对人民币汇率有“放大效应”，对房地产市场的影响程度要大于对股票市场的影响程度。
英文摘要：
With the advance of RMB internationalization, the anti-substitution of RMB is growing rapidly. This phenomenon must have an impact on Chinas exchange rate and asset price. Based on SVAR model, the paper studies the impact of anti-substitution of RMB on the RMB exchange rate, equity price and real property price, using impulse response and variance decomposition with monthly data during the 2005- 2013. The empirical evidence shows that the anti-substitution of currency produces an ＂amplification effect＂ to the RMB exchange rate, and that the anti-substitution of currency has far greater influence on real estate market than on the stock market.
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同项目期刊论文
Pricing CDO tranches with stochastic correlation and random factor loadings in a mixture copula mode
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