中国汇率制度改革对人民币汇率传递效应的影响

发布时间：2018-07-25 16:59

【摘要】：2005年7月21日，我国央行宣布放弃单一盯住美元，采取以市场估计为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。汇率制度改革以后，人民币逐渐升值，国内控制人民币升值的呼声不绝于耳，与此伴随的是国内物价飞涨，所以研究汇率制度改革对人民币汇率传递效应的影响变得愈加迫切。本文假定汇率的传递基于直接传递机制和预期机制，并在此基础上构建包含名义有效汇率（NEER）、进口价格指数(MPI)、生产者价格指数(PPI)以及消费者价格指数(CPI)四个内生变量，再包括需求冲击、供给冲击以及货币冲击三个外生变量的向量自回归（VAR）模型，对我国2005年7汇率制度改革前后的两个时期的汇率传递效应进行了估计，并使用脉冲响应函数对比分析了两个时期的人民币汇率传递效应。通过研究发现,第一,在汇率制度改革前后，人民币汇率变动都能够对三个不同价格（MPI、PPI、CPI）产生负的传递效应；第二，在汇率制度改革前后， NEER的变动对三个不同价格的传递效应都是很小的，且对这三种价格的传递效应依次减小；第三，在汇率制度改革前后，NEER的变动对三个不同价格的影响时期是不一样的。其中对MPI的传递效应主要体现在前期（1-3个月），对PPI的传递效应主要体现在前期和中期（1-6个月），CPI的传递效应则主要体现在中后期（3-8个月）；第四，汇率改革以后，，NEER的变动对三个价格的传递效应都相较汇率改革前变大了。
[Abstract]:On July 21, 2005, China's central bank announced that it would abandon its single peg to the US dollar and adopt a managed floating exchange rate system based on market estimates and referring to a basket of currencies. After the exchange rate system reform, the RMB gradually appreciates, the domestic control RMB appreciation voice is endless, with this is the domestic price skyrocketing, therefore studies the exchange rate system reform to the RMB exchange rate transmission effect influence becomes more and more urgent. This paper assumes that exchange rate transmission is based on direct transmission mechanism and expectation mechanism, and then constructs four endogenous variables including nominal effective exchange rate (NEER),) import price index (MPI), producer price index (PPI) and consumer price index (CPI). It also includes three exogenous variables: demand shock, supply shock and currency shock. The paper estimates the exchange rate transfer effect in the two periods before and after the exchange rate system reform in July 2005 by using the vector autoregressive (VAR) model, which includes three exogenous variables: demand shock, supply shock and currency shock. The transfer effect of RMB exchange rate in two periods is analyzed by using impulse response function. First, before and after the reform of the exchange rate system, the RMB exchange rate changes can have negative transmission effect on three different prices (MPI / PPI CPI). Before and after the exchange rate system reform, the transfer effect of NEER on the three different prices is very small, and the transfer effect on these three prices decreases in turn; third, Before and after the exchange rate system reform, the influence period of the change of ner on three different prices is different. Among them, the transfer effect of MPI is mainly reflected in the Prophase (1-3 months), the transfer effect in the Prophase and Medium-Term (1-6 months) is mainly reflected in the middle and late period (3-8 months); fourth, After the exchange rate reform, the transfer effect of the change of er to the three prices is bigger than that before the exchange rate reform.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6

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