基于主成分分析法的中国货币错配测度研究

发布时间：2018-01-10 07:13

本文关键词：基于主成分分析法的中国货币错配测度研究　出处：《长沙理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：在当今以美元为主要货币的国际货币体系下，发展中国家出现货币错配现象是客观而又难以回避的事实。国内外大量文献显示，历次出现的货币危机都与危机发生国国内严重的货币错配密切相关。货币错配不仅令这些国家陷入危机，还会对危机发生国的市场建设、经济发展产生长远影响。自20世纪90年代以来，我国货币错配问题开始凸显，如何降低货币错配对我国经济的影响成为国内学者研究的议题，其所达到的共识是，妥善解决货币错配带来的问题只有基于准确的货币错配度量才能实现，但国内学者对于中国货币错配的测度还没有形成一个统一的意见，要么测度模型不够合理，要么指标选取不够全面。本文通过对比分析国内外主要货币错配测度模型，基于优化测度模型和健全指标变量体系的研究目的，提出利用主成分分析法作为我国货币错配测度的方法，根据货币错配基本定义，将我国货币错配的成因作为测度变量指标，实现对中国货币错配的测度，并根据实证结果提出相应的弱化货币错配的建议。本文首先从货币错配理论出发对货币错配的定义和类型进行了阐述，其次介绍了国内外主要的货币错配的测度模型，并对这些测度模型的假设条件、适用性及存在的缺陷进行分析，着重介绍了主成分分析法的基本原理，，并分析了其作为货币错配测度模型的优势。然后，通过纵向对比分析了中国货币错配现状，指明我国货币错配程度已经比较严重。根据中国现状分析出我国货币错配的成因可以概括为两类：一是资产与负债不匹配；二是不匹配的部分受汇率波动影响非常大。然后本文将这两类成因细分为11个指标来测度我国货币错配程度。最后，本文采用主成分分析法对我国货币错配程度进行了测算，根据计算结果得出：我国货币错配程度整体呈上升态势。在初期货币错配呈现平稳，缓慢上升状态。在中期货币错配表现为加速上升态势。在中后期货币错配快速上涨的情况得到了较大遏制，出现了短暂的下降现象。到了后期，货币错配程度又开始上升，但上升幅度相比中期有了明显的下降。货币错配会带来通货膨胀，抑制国内经济增长。本文认为在中国现行经济形势下，为减轻货币错配需要转变出口导向政策；优化外汇储备政策；深化汇率制度改革，积极发展国内外汇市场；提升人民币国际化地位；完善国内财政体制，确保财政收入对社会保障基金的投入力度，促进国内消费。
[Abstract]:In today's dollar as the main currency of the international monetary system, developing countries currency mismatch is objective and unavoidable fact. A large number of domestic and foreign literature shows that the previous currency crisis occurred in the domestic currency crisis with serious fault and closely related to currency mismatch not only makes these countries in crisis will happen in the crisis of the construction market, the long-term impact of economic development. Since 1990s, China's currency mismatch began to highlight the problem, how to reduce the impact of currency mismatch on China's economy has become a research topic, which reached the consensus is that only the accurate measure of currency based mismatch can be achieved to properly resolve the wrong currency with the problem, but the measure of domestic scholars for the Chinese currency mismatch has not formed a unified opinion, or measure model is not reasonable, to What index selection is not comprehensive enough. Through comparative analysis of the main domestic and foreign currency mismatches with the measure model, optimization model and measure sound objective indicators system based on the analysis, proposed as a method of China's currency mismatch measure using principal component according to the basic definition of currency mismatch, the causes of currency mismatch in China as index variables, implementation measure of China currency mismatch, and put forward the corresponding weakening currency mismatch is proposed according to the empirical results.
This paper starts from the theory of currency mismatch on currency mismatch of the definition and types are described, followed by the introduction of the measure model of the main domestic and foreign currency mismatches with, and these measure model assumptions, applicability and defects analysis, emphatically introduces the basic principle of principal component analysis, and the analysis of currency mismatch measure model.
Then, through the longitudinal comparative analysis of Chinese currency mismatch situation, indicating the degree of currency mismatch in China has been more serious. According to the analysis of the current situation of Chinese causes of currency mismatch in China can be divided into two categories: one is the asset and liability mismatch; two is not, in part by exchange rate fluctuations is very big. Then the two kinds of causes are divided into 11 indicators to measure the degree of currency mismatch in China.
Finally, this paper uses principal component analysis on China's currency mismatch degree was calculated, the result indicates that China's currency mismatch degree of the overall upward trend. In the early stage of currency mismatch show a steady rise in the state. In the interim, slow currency mismatch is accelerating upward trend. With the rapid rise in in the late period of currency mismatches is greatly curbed, there appears the phenomenon of transient decline. In the later stage, the degree of currency mismatch began to rise, but the increase rate is compared to mid has decreased significantly.
Currency mismatch will bring inflation, curb domestic economic growth. This paper argues that in the current economic situation China, need to change the export-oriented policies to reduce the currency mismatch; optimal reserve policy; deepening the reform of exchange rate system, the positive development of the domestic foreign exchange market; improve the RMB internationalization; improve the domestic financial system, to ensure that the fiscal revenue of social security the fund's investment, promote domestic consumption.

【学位授予单位】：长沙理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F822

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