人民币国际化一定需要汇率升值吗？

发布时间：2018-02-28 13:26

本文关键词： 人民币国际化汇率资产组合平衡模型协整　出处：《浙江大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着近年来中国经济持续健康稳定地发展,人民币已经具备了进行国际化的条件,人民币也在逐步实现区域化和国际化方面做出了一些有益的尝试。人民币国际化可以给中国带来的收益是显而易见的,但是它同时也带来了汇率升值的问题。因此我们有必要讨论：人民币国际化一定需要汇率升值吗?人民币汇率的合理水平又是多少呢? 本文首先分析日元和德国马克国际化的进程以及汇率波动,两种货币在国际化过程中汇率都大幅上升,保持汇率持续稳定上升的德国马克在90年代国际化基本成功,而汇率波动剧烈的日元在90年代国际化陷入停滞。之后本文转向人民币国际化的具体问题,首先整理分析了人民币国际化的重大事项,然后关注汇率问题,本文选择使用资产组合平衡模型和Johanson协整检验来进行研究。研究发现,中国市场本外币资产不完全替代,人民币汇率与本币资产收益率、外币资产收益率、本币资产和外币资产之间存在长期协整关系,并建立起标准化的协整方程。建立的误差修正模型反映了短期对长期均衡的回归,格兰杰因果检验说明b和f是s的格兰杰原因,s对b和f的脉冲响应函数在短期内一正一负,而长期都为负的。最后我们通过上面建立起的协整方程来进行预测。中性假设下,2020年汇率预期将升值到1美元兑4.17人民币：保守假设下,汇率预期将升值到1美元兑4.48人民币；激进假设下,汇率预期将升值到1美元兑3.61人民币。
[Abstract]:With the sustained, healthy and stable development of China's economy in recent years, the RMB has already met the conditions for internationalization. The RMB has also made some useful attempts to gradually realize regionalization and internationalization. The benefits that RMB internationalization can bring to China are obvious. But it also raises the issue of exchange rate appreciation. So we need to discuss: does RMB internationalization need exchange rate appreciation? What is the reasonable level of the RMB exchange rate? This paper first analyzes the process of internationalization of the Japanese yen and the German mark, as well as the fluctuation of the exchange rate. During the process of internationalization, the exchange rates of the two currencies have both risen substantially, while the German mark, which maintains a steady rise in the exchange rate, was basically successful in internationalization in 90s. In 90s, the exchange rate fluctuations of the Japanese yen stalled. Then this paper turned to the specific issues of RMB internationalization, first sorting out and analyzing the major issues of RMB internationalization, and then focusing on the exchange rate issue. This paper chooses to use the portfolio equilibrium model and Johanson cointegration test to study. The results show that the local and foreign currency assets in the Chinese market are not completely replaced, the rate of return of RMB exchange rate and local currency assets, the rate of return of foreign currency assets, the rate of return of foreign currency assets, There is a long-term cointegration relationship between local currency assets and foreign currency assets, and a standardized cointegration equation is established. The Granger causality test shows that b and f are the Granger reason of s. The impulse response function of b and f is positive and negative in the short term, but negative in the long run. Finally, we use the cointegration equation set up above to forecast. Under neutral assumption, the exchange rate is expected to appreciate to 4.17 yuan to the dollar in 2020; under conservative assumption, the exchange rate is expected to appreciate to 4.48 yuan to the dollar; under radical assumption, the exchange rate is expected to appreciate to 4.48 yuan. The exchange rate is expected to appreciate to 3.61 yuan against the dollar.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F224

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