人民币汇率变动对国内物价影响的研究

发布时间：2018-06-17 10:01

本文选题：人民币汇率 + CPI　；参考：《华东师范大学》2016年硕士论文

【摘要】：汇率作为国与国之间货币及金融贸易关系联结的纽带,其在外部经济的影响和可能发挥的作用早已昭示；而物价波动率更是观察一国经济市场状况的晴雨表,其稳定与否直接关系到一国国民的生活水平,并干预该国政府政策的制定和选取。根据传统经济学理论,一国货币升值或贬值将通过若干条机制通道有效影响该国国内物价水平,抑制该国通货膨胀或紧缩,稳定物价。反观我国,据94年汇改以来的数据显示,无论名义还是实际有效汇率都呈现出持续上涨的趋势,然而二十年来我国总体物价水平却持续上涨一一尤其是近十年来(2005年至2015年)高企的CPI同比增长率,使得人民币汇率变动可有效调控物价的观点受到质疑。本文针对CPI、RPI、PPI这三大主要物价指数,筛选出包括货币供应量M1、国内生产总值GDP等几大相关经济因素,通过建立VAR模型对上述几大变量进行实证分析,试图从中得出结论,以确定人民币汇率波动对国内物价的影响作用。本文分为五个章节。第一章为绪论；第二章简要介绍了针对汇率一物价传递中存在的不完全传递现象的国内外的一些研究结论；第三章则从汇率及汇率传递的定义入手,简要介绍了汇率传递的一般理论和传递机制；第四章则介绍了我国历年汇制改革的主要内容,并引入图表,分别描述了人民币汇率变动及改革开放后物价波动情况,尝试以直观形式将二者结合起来。第五章开始实证分析,以构建VAR模型的形式,通过单位根检验、协整检验、Chow氏断点检验、格兰杰因果关系检验,就人民币汇率与国内物价之间是否存在因果关系,及其是否为影响物价的主要原因进行分析；第六章则通过前一章的实证分析,利用结果尝试性地对我国当前经济形势和汇率政策制定提出建议。通过本文的论证,可知无论长期短期,国内物价水平的波动确实同人民币汇率负相关,但是从长期看,货币供应量等其它因素对国内物价水平的影响远大于汇率。另外,人民币汇率的波动对各类物价指数的影响也有区别。最后,本文给出政策建议：第一,在稳定国内物价水平时,政府应对多种政策工具进行综合考量；第二,货币政策的制定应从稳定物价、提高国民生活质量的角度出发；第三,要改变发展战略,扩大内需,转变经济增长方式；第四,对我国未来的汇率制度改革提出了建议。
[Abstract]:The exchange rate, as a link between countries in monetary and financial relations, has long been revealed by its impact on and possible role in the external economy; and price volatility is a barometer of the state of a country's economic market. Whether it is stable or not is directly related to the standard of living of a country's citizens and interferes with the formulation and selection of government policy. According to the traditional economic theory, the appreciation or depreciation of a country's currency will affect the domestic price level effectively through several mechanism channels, restrain the inflation or contraction of the country, and stabilize the price. On the other hand, in China, according to the data since the exchange rate reform in 1994, both nominal and real effective exchange rates have shown a continuous upward trend. However, over the past two decades, China's overall price level has continued to rise-especially in the past decade (2005-2015) the high CPI year-on-year growth rate, which makes the RMB exchange rate can effectively control the price of the view is questioned. Aiming at the three major price indices of CPI RPI- PPI, this paper selects several related economic factors, such as money supply M1, GDP and so on. Through the establishment of VAR model, this paper makes an empirical analysis of the above variables, and tries to draw a conclusion from them. To determine the impact of RMB exchange rate fluctuations on domestic prices. This paper is divided into five chapters. The first chapter is the introduction; the second chapter briefly introduces some domestic and foreign research conclusions on the phenomenon of incomplete transmission in the exchange rate-price transfer; the third chapter starts with the definition of exchange rate and exchange rate transfer. This paper briefly introduces the general theory and mechanism of exchange rate transmission, the fourth chapter introduces the main contents of the exchange rate system reform in China over the years, and introduces charts to describe the changes of RMB exchange rate and price fluctuation after the reform and opening up. Try to combine the two intuitively. The fifth chapter starts the empirical analysis, in order to construct VAR model, through unit root test, co-integration test Chow's breakpoint test, Granger causality test, whether there is a causal relationship between RMB exchange rate and domestic prices. The sixth chapter, through the empirical analysis of the previous chapter, tries to put forward some suggestions on the current economic situation and exchange rate policy of our country by using the results. Through the argumentation of this paper, we can see that the fluctuation of domestic price level does have a negative correlation with the RMB exchange rate in the long run, but in the long run, the influence of other factors such as money supply on the domestic price level is far greater than the exchange rate. In addition, the RMB exchange rate fluctuations on the impact of various price indices are also different. Finally, this paper gives some policy suggestions: first, the government should consider a variety of policy tools when stabilizing the domestic price level; second, the monetary policy should be made from the perspective of stabilizing prices and improving the quality of life of the people; third, It is necessary to change the development strategy, expand domestic demand and change the mode of economic growth. Fourthly, some suggestions are put forward for the future reform of the exchange rate system in China.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.6

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