国际资本流入对人民币汇率的影响研究
发布时间：2018-11-18 16:48
【摘要】：本文拟建立一个行为均衡汇率模型，并以此为基础来对国际资本流入对人民币汇率的影响展开计量经济学分析，旨在用当今中国国际资本流入的经验资料来检验国际资本流入对人民币汇率变动的影响，并为我国对外开放深度发展的新形势下资本制度建设以及人民币汇率管理提供政策寓意与建议。 随着我国改革开放的不断深入，国内稳定的政治环境和良好的投资环境吸引着大量的外资流入。然而，外资的大量流入在给我国经济发展带来机遇的同时，也带来了很多威胁。近几年来，人民币汇率一直呈上升趋势，这种居高不下的态势严重影响了我国的出口贸易。那么，究竟是国际资本流入导致了这一后果，还是有其他因素在起作用？如果有，它们的作用方向与机理如何，都需要通过深入的研究才能寻找出科学的答案。国内现有相关研究稀少，，且深度有限，显然不足以回答这些问题。因应中国经济发展现实，细致展开本研究，其结论将会为我国汇率政策和货币政策的改革提供科学的政策寓意与建议。 本文采用了规范研究与经验研究相结合、定性分析与定量分析相结合的研究方法，围绕国际资本流入对汇率的影响展开论证。文章首先对与国际资本流动相关的汇率决定理论进行了分析比较，并阐明了国际资本流入对汇率的作用机制；其次，对中国外资流入现状、人民币汇率制度的历史演变以及各个历史时期的汇率水平进行了分析，通过定性分析发现流入我国的国际资本与人民币汇率均呈上升趋势；最后，运用计量经济学的研究方法对国际资本流入与人民币汇率之间的关系进行了Johansen协整检验、构建了VEC模型并进行了Granger因果检验。研究结果表明：国际资本流入与人民币汇率之间存在长期的均衡关系；而从短期来看，通过NFDI的形式流入我国的国际资本对人民币汇率存在较大影响而通过FDI的形式流入我国的国际资本对人民币汇率无影响；进一步的格兰杰因果检验证明了外资流入是人民币汇率的格兰杰原因，而人民币汇率不是外资流入的格兰杰原因。 本文的研究内容可以分为五章：第1章为绪论，简要介绍了本文的研究背景及研究意义、国内外学者对该课题的研究状况，并在前人研究的基础上提出本研究的创新点及难点；第2章为理论研究，对与国际资本流动相关的汇率决定理论进行比较分析，并就国际资本流入对汇率的作用机制进行了剖析；第3章为定性研究，主要介绍了国际资本流入的现状、人民币汇率制度的历史演变及各个时期的人民币汇率水平；第4章为定量研究，主要对国际资本流入与人民币汇率之间的关系进行了Johansen协整检验、构建了VEC模型并进行了Granger因果检验；第5章为政策建议部分，该章结合实证研究的结论对流入我国的国际资本管理及人民币汇率制度建设提供了相应的政策建议。
[Abstract]:This paper intends to establish a behavioral equilibrium exchange rate model, and on the basis of this model, to carry out an econometric analysis of the impact of international capital inflows on the RMB exchange rate. The purpose of this paper is to test the impact of international capital inflows on the exchange rate of RMB by using the empirical data of China's current international capital inflows. It also provides policy implications and suggestions for capital system construction and RMB exchange rate management under the new situation of deep development of China's opening to the outside world. With the deepening of China's reform and opening up, the domestic stable political environment and good investment environment attract a large number of foreign capital inflow. However, the inflow of foreign capital brings opportunities to China's economic development, but also brings a lot of threats. In recent years, the RMB exchange rate has been rising, which seriously affects China's export trade. So are international capital inflows responsible for this consequence, or are other factors at work? If so, the direction and mechanism of their action need to be studied in order to find out the scientific answer. There are few relevant studies and limited depth in China, which is obviously not enough to answer these questions. According to the reality of China's economic development, the conclusion of this study will provide scientific policy implications and suggestions for the reform of China's exchange rate policy and monetary policy. This paper adopts the research method of combining normative research with empirical study, qualitative analysis with quantitative analysis, and demonstrates the influence of international capital inflow on exchange rate. Firstly, this paper analyzes and compares the exchange rate decision theory related to international capital flow, and clarifies the mechanism of the effect of international capital inflow on exchange rate. Secondly, the paper analyzes the current situation of foreign capital inflow, the historical evolution of RMB exchange rate system and the exchange rate level in each historical period. Through qualitative analysis, it finds that the international capital and RMB exchange rate are both rising. Finally, the relationship between international capital inflow and RMB exchange rate is tested by Johansen cointegration test using econometric method, and VEC model is constructed and Granger causality test is carried out. The results show that: there is a long-term equilibrium relationship between international capital inflows and RMB exchange rate; In the short term, the international capital flowing into China through NFDI has great influence on the RMB exchange rate, while the international capital flowing into our country through FDI has no effect on the RMB exchange rate. A further Granger causality test proved that the inflow of foreign capital was the Granger cause of the RMB exchange rate, while the RMB exchange rate was not the Granger cause of the FDI inflow. The research content of this paper can be divided into five chapters: the first chapter is introduction, briefly introduces the research background and significance of this paper, the research status of domestic and foreign scholars on this subject, and puts forward the innovation and difficulties of this research on the basis of previous studies; The second chapter is the theoretical research. It makes a comparative analysis of the exchange rate decision theory related to international capital flows, and analyzes the mechanism of the international capital inflow to the exchange rate. The third chapter is qualitative research, mainly introduces the current situation of international capital inflow, the historical evolution of RMB exchange rate system and the level of RMB exchange rate in each period. Chapter 4 is the quantitative research, mainly carries on the Johansen cointegration test to the relationship between the international capital inflow and the RMB exchange rate, constructs the VEC model and carries on the Granger causality test; Chapter 5 is the policy suggestion part, which combines the conclusions of the empirical research to provide the corresponding policy recommendations for the international capital management and the RMB exchange rate regime construction in China.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F224;F831.7
本文编号：2340576
[Abstract]:This paper intends to establish a behavioral equilibrium exchange rate model, and on the basis of this model, to carry out an econometric analysis of the impact of international capital inflows on the RMB exchange rate. The purpose of this paper is to test the impact of international capital inflows on the exchange rate of RMB by using the empirical data of China's current international capital inflows. It also provides policy implications and suggestions for capital system construction and RMB exchange rate management under the new situation of deep development of China's opening to the outside world. With the deepening of China's reform and opening up, the domestic stable political environment and good investment environment attract a large number of foreign capital inflow. However, the inflow of foreign capital brings opportunities to China's economic development, but also brings a lot of threats. In recent years, the RMB exchange rate has been rising, which seriously affects China's export trade. So are international capital inflows responsible for this consequence, or are other factors at work? If so, the direction and mechanism of their action need to be studied in order to find out the scientific answer. There are few relevant studies and limited depth in China, which is obviously not enough to answer these questions. According to the reality of China's economic development, the conclusion of this study will provide scientific policy implications and suggestions for the reform of China's exchange rate policy and monetary policy. This paper adopts the research method of combining normative research with empirical study, qualitative analysis with quantitative analysis, and demonstrates the influence of international capital inflow on exchange rate. Firstly, this paper analyzes and compares the exchange rate decision theory related to international capital flow, and clarifies the mechanism of the effect of international capital inflow on exchange rate. Secondly, the paper analyzes the current situation of foreign capital inflow, the historical evolution of RMB exchange rate system and the exchange rate level in each historical period. Through qualitative analysis, it finds that the international capital and RMB exchange rate are both rising. Finally, the relationship between international capital inflow and RMB exchange rate is tested by Johansen cointegration test using econometric method, and VEC model is constructed and Granger causality test is carried out. The results show that: there is a long-term equilibrium relationship between international capital inflows and RMB exchange rate; In the short term, the international capital flowing into China through NFDI has great influence on the RMB exchange rate, while the international capital flowing into our country through FDI has no effect on the RMB exchange rate. A further Granger causality test proved that the inflow of foreign capital was the Granger cause of the RMB exchange rate, while the RMB exchange rate was not the Granger cause of the FDI inflow. The research content of this paper can be divided into five chapters: the first chapter is introduction, briefly introduces the research background and significance of this paper, the research status of domestic and foreign scholars on this subject, and puts forward the innovation and difficulties of this research on the basis of previous studies; The second chapter is the theoretical research. It makes a comparative analysis of the exchange rate decision theory related to international capital flows, and analyzes the mechanism of the international capital inflow to the exchange rate. The third chapter is qualitative research, mainly introduces the current situation of international capital inflow, the historical evolution of RMB exchange rate system and the level of RMB exchange rate in each period. Chapter 4 is the quantitative research, mainly carries on the Johansen cointegration test to the relationship between the international capital inflow and the RMB exchange rate, constructs the VEC model and carries on the Granger causality test; Chapter 5 is the policy suggestion part, which combines the conclusions of the empirical research to provide the corresponding policy recommendations for the international capital management and the RMB exchange rate regime construction in China.
【学位授予单位】：山东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F224;F831.7
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相关期刊论文 前4条
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