人民币汇率对我国CPI传递效应的实证分析

发布时间：2018-05-27 14:38

本文选题：人民币汇率 + 消费者价格　；参考：《江西财经大学》2013年硕士论文

【摘要】：自2005年的汇率制度改革以来,人民币已有不小幅度的升值。由于我国持续的贸易顺差和巨额的外汇储备,人民币仍面临着进一步升值的压力。人民币升值对我国经济的影响成为热点话题,人民币汇率与我国物价水平的关系更是成为焦点。我国的货币政策目标是保持币值稳定,并以此促进经济增长。由此可见,抑制通货膨胀是我国实施货币政策的基本立足点,人民币对内价值的稳定是促进经济增长的基础。众多学者的研究均表明一国汇率会对其物价水平产生影响,通常货币升值可以起到抑制国内物价的作用,但人民币汇率和我国物价水平处于汇率升值和物价上涨并存的失衡状态。为了更好地实现货币政策的目标,研究人民币汇率的传递效应以及人民币汇率的传递机制具有理论和实践意义。本文首先梳理了国内外有关汇率传递的文献；其次阐述了汇率对物价的传递机制,并分析了人民币汇率的传递机制；随后回顾了1994-2012年间人民币名义有效汇率和我国消费者价格指数的变动情况,初步判断了人民币汇率与我国物价的关系；接着截取2001-2012年的月度数据,先后采用平稳性检验、格兰杰因果检验、协整检验和脉冲响应,实证检验了人民币汇率与我国物价水平的长期均衡关系,考察了不同传递机制下的人民币汇率传递效应。结果表明,人民币升值会推动我国物价上涨,人民币汇率通过货币供应机制对国内物价的传递效应更强,货币增长是导致我国物价上涨的主要原因。最后根据实证的结果,本文认为人民币升值不能有效地抑制通货膨胀,应依靠货币政策治理通货膨胀,同时应强化内需对经济的拉动作用并减少热钱对经济的冲击。
[Abstract]:Since the reform of the exchange rate system in 2005, the RMB has not been appreciating significantly. Because of our country's continuous trade surplus and huge foreign exchange reserves, the RMB still faces the pressure of further appreciation. The impact of the appreciation of RMB on our economy has become a hot topic, and the relationship between RMB exchange rate and China's price level is more focused. The objective of China's monetary policy is to keep the value of currency stable and to promote economic growth. Thus, the basic foothold of monetary policy is to restrain inflation, and the stability of the RMB's internal value is the basis for promoting economic growth. The constant currency appreciation can play a role in restraining domestic prices, but the exchange rate of RMB and the price level of our country are in the unbalance state of the coexistence of exchange rate appreciation and price rise. In order to achieve the goal of monetary policy better, it is of theoretical and practical significance to study the transfer effect of the RMB exchange rate and the exchange mechanism of the RMB exchange rate.
This paper first combs the literature about exchange rate transfer at home and abroad, then expounds the transfer mechanism of exchange rate to price, and analyses the transfer mechanism of RMB exchange rate, and then reviews the changes of nominal effective exchange rate of RMB and China's consumer price index in the past 1994-2012 years, and preliminarily judges the exchange rate of RMB and China's price. Then the monthly data of 2001-2012 years were intercepted, and the stability test, Grainger causality test, cointegration test and impulse response were adopted. The long-term equilibrium relationship between RMB exchange rate and China's price level was tested, and the exchange effect of RMB exchange rate under different transmission mechanisms was examined. The results showed that the appreciation of RMB would be pushed. As the price rises in China, the exchange rate of the RMB exchange rate through the money supply mechanism is stronger. The growth of the currency is the main cause of the price rise in China. Finally, according to the empirical results, this paper holds that the appreciation of RMB can not effectively suppress inflation. It should rely on monetary policy to control inflation and should be strengthened. Domestic demand has a stimulating effect on the economy and reduces the impact of hot money on the economy.
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F726

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