人民币汇率与我国通货膨胀的关联性研究

发布时间：2018-07-31 18:35

【摘要】：自加入WTO以来,我国经济开放度迅速提高,人民币汇率波动幅度增大,汇率变动与我国物价水平变动的联动性显著增强。特别是2005年7月人民币汇率制度改革之后,我国开始实行“以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度”,人民币汇率弹性增强,人民币升值且双向浮动的特征明显；然而,人民币汇率变动对我国物价水平有多大的影响?伴随着人民币汇率的升值,我国会出现严重的通货膨胀,还是说人民币升值能缓解通货膨胀?这也是当前我国制定货币政策和汇率政策必须解答的问题。因此,研究人民币对外升值与物价之间的关系对我国货币政策的制定和宏观经济的健康发展有着极为重要的现实意义。为了探索人民币汇率与我国通货膨胀的关联性,本文采用定性分析和定量分析相结合的研究方法,一方面从经济理论中挖掘影响国内通货膨胀的各种经济变量,定性分析分析这些经济变量与国内通货膨胀之间的关系,并使用大量的图表加以说明；另一方面,为了揭示各种现象背后的具体规律以及各变量之间数量关系,定量分析研究了汇率与通货膨胀之间的关系,在研究汇率制度改革的影响时,采用比较分析的方法,以揭示汇率制度改革对我国汇率传递效应的影响,在模型的建立和计量方法的选择上,建立了向量自回归模型和误差修正模型,并使用了脉冲响应函数和方差分解等方法。在样本的选择上,本文首先选择汇改前后总体样本为研究对象,研究了人民币汇率变动对我国物价水平的影响,然而,2005年之后,我国经济高速发展,国际贸易赤字和外汇储备逐年增加,人民币升值压力增大,受人民币汇率制度改革的影响,人民币升值明显,在人民币升值预期驱动下,国际投资和投机资本大量流入国内,国际收支平衡进一步恶化,最终表现为货币供应量的增长超过了经济体的需求量,通货膨胀压力增大,国内出现了严重的通货膨胀。为了研究汇改后人民币汇率变动对我国物价水平的影响,本文进一步实证考察了2005年人民币汇率改革后人民币汇率与我国通货膨胀的关系,并与之前的回归进行比较,以揭示人民币汇率制度改革对国内物价水平变动的影响。论文各章节的主要内容和观点：第一章为前言部分,主要包括了本文研究的目的、意义以及文献综述,介绍本文的结构和研究方法,并指出本文的创新点和不足之处。国外学者的研究主要都集中在发达国家,很少对我国的汇率传递效应进行研究；然而对于我国来说,由于国内汇率长期以来盯住美元、汇率波动较小等原因使得国内专门针对汇率传递效应的研究不多,特别是在研究期限的选择方面,样本的选择多以汇改为分界线单独研究,或者以汇改前后总体作为样本区间进行研究,而直接以人民币汇率制度改革为背景来研究我国汇率传递效应影响的实证研究相对较少。第二章对相关的理论进行梳理,阐述汇率变动影响物价的相关理论。首先利用经典的汇率传递理论来解释价格水平变动受汇率变动的影响,其次,由于现实贸易过程中贸易壁垒、交易成本等因素的存在,使得一价定律和绝对购买力理论的使用受限,出现了汇率对价格的不完全传递现象；因此本文进一步从微观和宏观的视角来分析引起汇率变动对价格变动传递不完全的影响因素；从微观角度来看主要包括厂商按市场需求方面的因素来定价、厂商从供给方面的因素来定价和其他因素；宏观角度方面又受到通货膨胀环境、国家规模和经济开放程度、生产的全球化和汇率的波动程度的影响；最后,论述了汇率对物价发生作用的传递机制,包括直接传递机制和间接传递机制,这些理论为现实生活中解释汇率与物价的影响提供了理论依据。第三章回顾人民币汇率制度的变迁,以及定性研究影响我国通货膨胀变动的因素,重点是以图形为基础进行直观的分析,通过描述居民消费价格指数的变动趋势和这几年的物价的变动特点,结合汇率传递理论和通货膨胀理论的基础知识,定性研究了国内物价、汇率、马歇尔K指标和国际大宗商品价格之间的关系,并且进一步分析各种因素对物价变动的传递机制。第四章是从实证的角度研究人民币有效汇率与我国物价之间的关联性。在前几章研究的基础上,从需求、货币、外部输入等角度选取了相应的变量指标,构建了影响国内物价变动的指标体系来研究物价与人民币有效汇率的关联性;因此,本章第一节一开始就介绍了本文运用的计量模型和方法；主要包括：自回归模型(VAR)、向量误差修正模型(VEC)、ADF单位根检验、Johansen协整检验、Granger(格兰杰)因果检验、脉冲响应函数和方差分解等。在具体的实证分析中,首先,采用ADF单位根检验法检验所选取时间序列的平稳性；其次,为了防止各经济变量之间出现伪回归而采用Granger(格兰杰)因果检验来检验变量之间是否存在经济意义；再次,运用Johansen协整检验的方法判断变量之间是否具有长期的共同变化趋势,并在此基础上建立误差修正模型来分析长期均衡对短期波动的影响；然后利用脉冲响应函数来分析短期内变量之间具体相互影响的轨迹,研究模型整体对于其中某一变量的一个冲击所作的反应,最后,利用方差分解来定量地分析变量之间的影响关系,将系统的预测均方差分解为系统中各个变量冲击所作的贡献,从而定量地表达各个结构冲击的重要性。在内容安排上,本文首先利用结构VAR模型和向量误差修正模型(VEC)研究了2001年1月到2012年6月期间人民币名义有效汇率同我国通货膨胀的关联性,协整关系检验和向量误差修正模型的结果显示,国内通货膨胀、马歇尔K指标、汇率和国际大宗商品价格在长期存在稳定的均衡关系,在长期内人民币的升值能够在一定程度上缓和国内通货膨胀压力,且若消费者价格指数在短期内受到随机干扰而偏离长期均衡状态时,经济体本身存在一种反向自我修正机制,使得短期的偏离不会持久,在长期内会重新回到均衡状态。脉冲响应的结果表明人民币名义有效汇率对国内价格的传递存在不完全性和时滞性。通过对消费价格指数进行方差分解,得出消费价格指数自身、人民币名义汇率、马歇尔K指标和国际大宗商品价格都是导致消费者价格波动的主要因素。其次,为了考察人民币汇率改革是否对我国的汇率传导效果产生影响,利用结构VAR模型从实证上考察了2005年7月人民币汇率改革后人民币汇率传递效应的变化,以便切实把握当前汇率变化对国内物价的影响,通过协整关系检验发现,人民币汇改以后汇率冲击能进一步缓解国内通货膨胀压力,而通过方差分解发现,汇改后人民币汇率冲击对国内物价变动的解释能力显著提高；国际大宗商品价格冲击的解释力也进一步增强；这说明利用人民币升值来治理国内通货膨胀能起到一定的作用。鉴于马歇尔K指标始终都是影响国内通货膨胀的主要因素,因此,控制货币供应量的增长速度和保证国内经济增长率也有助于缓和国内通货膨胀压力。第五章是政策建议。根据理论分析和实证研究的结果,从汇率制度改革、货币政策目标及能源利用战略三个方面提出相关建议；并认为仅仅以人民币升值来治理国内通货膨胀具有局限性,作用虽有却不是很有效,但是从长远的角度来考虑,人民币的升值却是促进经济结构调整、稳定国内经济的有力手段；认为中央银行的货币政策需专注于稳定国内物价,从而避免多重目标所导致的货币政策制定困局：认为应该从以长远的视角来确立资源利用中长期战略,以降低外部冲击对国内物价的影响。
[Abstract]:Since China's entry into the WTO, China's economic openness has been rapidly increased, the fluctuation range of the RMB exchange rate has increased, and the linkage of the exchange rate changes with the fluctuation of the price level of our country has been significantly enhanced. Especially after the reform of the RMB exchange rate system in July 2005, China began to implement "market supply and demand as the basis, reference to a basket of currencies." "The floating exchange rate system", the RMB exchange rate elasticity increases, the RMB appreciation and the two-way floating characteristics obviously; however, the RMB exchange rate changes to China's price level how much impact? With the appreciation of the RMB exchange rate, I have a serious inflation in Congress, or the appreciation of the RMB can alleviate inflation? This is also the present The question of formulating monetary policy and exchange rate policy in China must be solved. Therefore, it is of great practical significance to study the relationship between the appreciation of RMB and the price of RMB for the formulation of China's monetary policy and the healthy development of the macro-economy.
In order to explore the relationship between RMB exchange rate and China's inflation, this paper adopts the research method combining qualitative analysis and quantitative analysis. On the one hand, we excavate various economic variables that affect domestic inflation from the economic theory, qualitative analysis and analysis of the relationship between these economic variables and domestic inflation, and use a large number of maps. On the other hand, in order to reveal the specific laws behind the various phenomena and the relationship between the variables, the relationship between the exchange rate and the inflation is quantitatively analyzed. In the study of the influence of the reform of the exchange rate system, a comparative analysis is adopted to reveal the influence of the reform of the exchange rate system on the exchange rate effect of the exchange rate in China. In the establishment of the model and the selection of measurement methods, the vector autoregressive model and error correction model are established, and the methods of impulse response function and variance decomposition are used. In the selection of samples, this paper first selects the overall sample before and after the remittance and modification as the research object, and studies the influence of the change of RMB exchange rate on China's price level. After 2005, China's economy developed rapidly, the international trade deficit and foreign exchange reserve increased year by year, the pressure of RMB appreciation increased. Influenced by the reform of the RMB exchange rate system, the appreciation of the RMB was obvious. Under the expectation of the appreciation of RMB, the international investment and speculative capital inflow into the country, and the balance of balance of payments worsened further. The growth of the money supply exceeds the demand of the economy, the inflationary pressure increases and the domestic inflation is serious. In order to study the effect of the change of RMB exchange rate on the price level of our country after the reform, this paper further empirically inspected the RMB exchange rate and the inflation in China after the reform of RMB exchange rate in 2005. The relationship is compared with previous regression to reveal the effect of RMB exchange rate system reform on domestic price level.
The main contents and views of the chapters in this paper are as follows:
The first chapter is the preface, which mainly includes the purpose, significance and literature review, introduces the structure and research methods of this paper, and points out the innovation and shortcomings of this article. The research of foreign scholars mainly concentrates in developed countries, and seldom studies the exchange rate effect of our country; however, for our country, The domestic exchange rate has long been pegged to the U. S. dollar, and the exchange rate fluctuates relatively small, so the research on the exchange rate effect is not very much. Especially in the choice of time limit, the selection of the sample is mainly by remittance to the dividing line, or as a sample interval before and after the remittance. Empirical research on the impact of exchange rate transmission effect on China's exchange rate regime is relatively rare.
In the second chapter, the related theories are combed and the related theories of the exchange rate change influence the price are expounded. First, the classical exchange rate transfer theory is used to explain the influence of the change of the price level by the exchange rate. Secondly, the existence of the trade barriers and the transaction cost in the real trade process makes the theory of one price and the absolute purchasing power theory. With limited use of the exchange rate, there is an incomplete transfer of exchange rate to the price; therefore, this paper further analyzes the factors that affect the transfer of the exchange rate from the micro and macro perspective to the incomplete transfer of the price change; from the micro point of view, it mainly includes the pricing of the manufacturers according to the factors of the market demand, and the suppliers' factors from the supply side. In terms of pricing and other factors, the macro angle is influenced by the inflationary environment, the scale of the country and the degree of economic openness, the globalization of production and the fluctuation of the exchange rate. Finally, the transfer mechanism of the effect of the exchange rate on the price is discussed, including the direct transmission mechanism and the indirect transmission mechanism. These theories are the solution to the real life. It provides a theoretical basis for the effect of exchange rate and price.
The third chapter reviews the changes in the RMB exchange rate system and the qualitative research on the factors that affect the fluctuation of inflation in China. The emphasis is on the visual analysis based on the graphics. By describing the change trend of the consumer price index and the characteristics of the changes in prices in these years, the basic knowledge of the exchange rate transfer theory and the inflation theory is combined. The relationship between the domestic price, the exchange rate, the Marshall K index and the international commodity price is studied, and the transfer mechanism of various factors to the price change is further analyzed.
The fourth chapter is an empirical study of the relationship between the effective exchange rate of RMB and the price of China's prices. On the basis of the previous chapters, the relevant variables are selected from the perspectives of demand, currency and external input, and the index system that affects the price changes in domestic prices is constructed to study the relationship between the price and the effective exchange rate of RMB. In the first section of this chapter, the measurement models and methods used in this paper are introduced, including autoregressive model (VAR), vector error correction model (VEC), ADF unit root test, Johansen cointegration test, Granger (Grainger) causality test, impulse response function and variance decomposition. In concrete empirical analysis, first, ADF unit is used. The root test method is used to test the smoothness of the selected time series. Secondly, in order to prevent the pseudo regression between the economic variables, the Granger (Grainger) causality test is used to test whether there is economic significance between variables. Again, the Johansen cointegration test is used to determine whether the variation has a long-term common trend of change. On this basis, an error correction model is established to analyze the effect of long-term equilibrium on short-term volatility; then the impulse response function is used to analyze the specific interaction trajectories between the short-term variables, and the response of the model to a single impact of one of the variables is studied, and the variance decomposition is used to analyze the variables quantitatively. The relationship between the mean variance of the system is decomposed into the contribution of the impact of each variable in the system, and the importance of the impact of each structure is expressed quantitatively. In the content arrangement, the nominal validity of the RMB from January 2001 to June 2012 is studied by using the structure VAR model and the vector error correction model (VEC). The correlation of exchange rate with China's inflation, cointegration test and vector error correction model show that domestic inflation, Marshall K index, exchange rate and international commodity price have a stable equilibrium relationship for a long time. In the long run, the appreciation of RMB can ease the pressure of domestic inflation to a certain extent, and if it is in a certain extent, it can be used as a result. When the consumer price index is subjected to random interference in the short term and deviates from the state of long-term equilibrium, the economy itself has a reverse self correction mechanism, which makes the short-term deviation not lasting and will return to the equilibrium state in the long run. The result of the impulse response shows that the transfer of the effective exchange rate of RMB to the domestic price is not finished. By means of variance decomposition of the consumer price index, it is concluded that the consumer price index itself, the nominal exchange rate of the RMB, the Marshall K index and the international commodity price are the main factors that lead to the fluctuation of the consumer price. Secondly, in order to investigate whether the exchange rate of RMB exchange rate has an effect on the exchange rate of our country's exchange rate, The change of exchange rate effect of RMB exchange rate after the RMB exchange rate reform in July 2005 is empirically investigated by using the structural VAR model, so as to grasp the effect of current exchange rate changes on domestic prices. Through the cointegration test, it is found that the exchange rate impact after RMB exchange reform can reduce the domestic inflation pressure step by step, and through the variance. It is found that the interpretation ability of the RMB exchange rate impact on domestic price changes has been significantly improved after the remittance, and the interpretation of the impact of international commodity price shocks is further enhanced. This shows that the use of RMB appreciation can play a role in controlling domestic inflation. In view of Marshall's K index, it always affects domestic inflation. As a result, controlling the growth rate of money supply and ensuring domestic economic growth also help ease domestic inflation pressures.
The fifth chapter is the policy suggestion. According to the results of theoretical analysis and empirical study, we put forward some suggestions from the three aspects of the reform of the exchange rate system, the target of monetary policy and the strategy of energy utilization, and think that it is limited to govern the domestic inflation only with the appreciation of the RMB, but the effect is not very effective but in the long run. It is considered that the appreciation of the RMB is a powerful means to promote economic restructuring and to stabilize the domestic economy, and that the monetary policy of the central bank should focus on stabilizing domestic prices, thus avoiding the difficulty of making monetary policy caused by multiple targets: it is believed that the medium and long term strategy of resource utilization should be established in a long-term perspective in order to reduce foreign policy. The impact of the impact on domestic prices.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F822.5

【参考文献】