汇改后人民币内外价值失衡的实证分析

发布时间：2018-02-28 01:43

本文关键词： 人民币内外价值价值偏离向量自回归模型　出处：《山东大学》2016年硕士论文　论文类型：学位论文

【摘要】：自2005年以来,人民币对美元汇率中间价从2008年5月首次破7到2013年10月突破6.10关口创汇改以来新高,人民币汇率不断上升;而自2007年3月份以来,中国的通胀率开始超出3%的良性通胀界限,最高时超过5%,通胀水平一直维持在较高水平。人民币内外价值出现了“外升内贬”的经济现象。基于此,本文在借鉴凯恩斯(Keynes)、弗里德曼(Friedman)等经济学家研究的基础上,对人民币价值的内外价值进行了研究分析。具体内容为：1、分析2005——2015年国内物价指数和实际有效汇率的一般表现；2、对人民币内外价值的偏离及潜在影响因素进行分析；3、在理论研究、数据分析的基础上通过建立VAR多元回归模型,同时利用脉冲响应、方差分解、格兰杰因果检验分析了人民币内外价值失衡的影响因素。本文通过建立向量自回归模型,采用脉冲响应、方差分解、格兰因果检验相结合的方法对人民币内外价值失衡的一般现象和原因进行了分析。研究发现：1、人民币内外价值失衡现象确实存在,随着人民币国际化程度的提高,这一经济现象的存在不利于促进中国经济的转型发展；2、从脉冲响应中可以看出,人民币内外价值的失衡在于传递机制的不完整性和不对称性,畅通货币政策的汇率传导机制对于维护人民币币值稳定有重要意义；3、通过方差分解可以看出,外汇储备不仅对人民币汇率的贡献度很大,因此,外汇储备对于稳定人民币的价值有很大的作用；4、汇率的变动会影响人民币对内购买力的变化,而反过来,这种影响程度确很小,因此通过改变国内的通胀水平来达到影响汇率,这种效果应该很不理想。依据实证分析的一般结论,本文建议中国要控制合理的外汇规模,坚持以市场为导向的人民币国际化、利率市场化与汇率自由化金融改革方向,提高人民币汇率制度的灵活性,促进人民币内外价值的平衡。
[Abstract]:Since March 2007, the RMB exchange rate against the US dollar has been at its highest level since the 6.10 mark was first broken on May 2008 to October 2013, and the RMB exchange rate has been rising continuously; since March 2007, The inflation rate in China has begun to exceed the benign inflation limit of 3%, reaching a peak of more than 5, and inflation has been maintained at a relatively high level. There has been an economic phenomenon of "internal and external appreciation" in the value of the renminbi. On the basis of drawing lessons from the studies of economists such as Keynesco, Friedman and so on, This paper studies and analyzes the internal and external value of RMB value. The concrete content is: 1, the general performance of the domestic price index and the real effective exchange rate from 2005 to 2015, and the deviation of the internal and external value of RMB and the potential influencing factors are analyzed. On the basis of data analysis, VAR multivariate regression model, pulse response, variance decomposition and Granger causality test are used to analyze the influencing factors of RMB internal and external value imbalance. This paper analyzes the general phenomena and causes of the imbalance of internal and external value of RMB by using the methods of impulse response, variance decomposition and Glen causality test. It is found that the phenomenon of imbalance of internal and external value of RMB does exist at 1: 1. With the increasing degree of RMB internationalization, the existence of this economic phenomenon is not conducive to promoting the transformation and development of Chinese economy. From the impulse response, we can see that the imbalance of internal and external value of RMB lies in the imperfection and asymmetry of transmission mechanism. The exchange rate transmission mechanism of unimpeded monetary policy is of great significance for maintaining the stability of the RMB currency. Through variance decomposition, we can see that foreign exchange reserves not only contribute a lot to the RMB exchange rate, therefore, Foreign exchange reserves play a very important role in stabilizing the value of the RMB. The change in exchange rate will affect the change of the RMB's purchasing power on the inside, and in turn, this influence is indeed very small. Therefore, the exchange rate is affected by changing the domestic inflation level. According to the general conclusion of the empirical analysis, this paper suggests that China should control reasonable foreign exchange scale, adhere to the direction of market-oriented RMB internationalization, interest rate liberalization and exchange rate liberalization financial reform. To improve the flexibility of the RMB exchange rate regime and promote the balance of the internal and external value of the RMB.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.6

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