人民币汇率变动对中国货币政策效率的影响
发布时间：2019-06-27 11:44
【摘要】：在开放的经济环境下，货币政策的有效性受到汇率变动的影响。汇率调整会改变本币和外币的相对价格，进而改变本币和外币资产的收益水平，改变国内利率水平。汇率调整也会改变两国之间贸易品的相对价格，进而引起进出口的改变以及贸易品价格调整，进而影响产出和就业，最终导致实际的经济变量变动偏离原有的货币政策目标。因此，研究人民币升值对我国货币政策效率的影响，以及降低汇率变动给货币政策带来的负面冲击具有重要的理论意义和研究价值。 本文首先采用OLS方法利用VAR模型研究汇率变动对货币政策过程效率和整体效率的影响，将货币政策影响机制简单化，抽取关键的经济变量，考察汇率变动对相关的经济变量的影响程度来分析汇率的变动使货币政策实施的关键经济变量的反应快慢及反应程度。然后利用动态随机一般均衡模型研究汇率变动对货币政策效率的影响，首先从经济资源的分配利用出发，确定主要的经济体。由于环境具有不确定性，各经济主体需要在一定的资源约束、技术约束和信息约束等条件下对其目标函数进行优化以制定最优的行为决策，通过对这些随机优化问题进行求解，，我们可以得到经济主体在不确定环境下最优的行为方程和行为决策，然后用适当的加总技术得到经济总量满足的行为方程，从而保证宏观经济理论和微观经济分析的一致性。然后对模型进行贝叶斯估计，确定模型参数，然后分别给模型不同的汇率冲击，观察符合泰勒规则的货币政策传导渠道、中介目标和最终目标的反应程度，并以此确定汇率变动对货币政策传导效率、过程效率和整体效率。最终得出结论汇率变动能够显著的降低货币政策效率，而且剧烈的汇率冲击对经济系统有严重的破坏作用，所以为了保证货币政策的效率，需要制定相应的汇率政策来熨平货币政策带来的汇率冲击。
[Abstract]:In an open economic environment, the effectiveness of monetary policy is affected by exchange rate changes. Exchange rate adjustments change the relative prices of local and foreign currencies, thereby changing the income level of local currency and foreign currency assets and the level of domestic interest rates. Exchange rate adjustment will also change the relative price of trade goods between the two countries, which will lead to the change of import and export and the adjustment of trade price, which will affect the output and employment, and eventually lead to the change of actual economic variables deviating from the original monetary policy objectives. Therefore, it is of great theoretical significance and research value to study the influence of RMB appreciation on the efficiency of monetary policy and to reduce the negative impact of exchange rate change on monetary policy. In this paper, OLS method is used to study the influence of exchange rate change on the process efficiency and overall efficiency of monetary policy by using VAR model, the influence mechanism of monetary policy is simplified, the key economic variables are extracted, and the influence degree of exchange rate change on related economic variables is investigated to analyze the response speed and degree of the key economic variables of monetary policy implementation caused by the change of exchange rate. Then the dynamic stochastic general equilibrium model is used to study the influence of exchange rate changes on the efficiency of monetary policy. Firstly, the main economies are determined from the allocation and utilization of economic resources. Because of the uncertainty of the environment, each economic subject needs to optimize its objective function under certain resource constraints, technical constraints and information constraints in order to make the optimal behavior decision. By solving these stochastic optimization problems, we can get the optimal behavior equation and behavior decision of the economic subject in uncertain environment, and then obtain the behavior equation satisfied by the total economic quantity with appropriate summation technology. In order to ensure the consistency of macroeconomic theory and microeconomic analysis. Then the model is estimated by Bayesian, the parameters of the model are determined, and then the different exchange rate shocks of the model are given to observe the monetary policy transmission channels in accordance with Taylor's rule, the response degree of the intermediate target and the final goal, and to determine the transmission efficiency, process efficiency and overall efficiency of exchange rate changes to monetary policy. Finally, it is concluded that exchange rate change can significantly reduce the efficiency of monetary policy, and the severe exchange rate impact has a serious destructive effect on the economic system, so in order to ensure the efficiency of monetary policy, it is necessary to formulate the corresponding exchange rate policy to iron out the exchange rate impact caused by monetary policy.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.6
本文编号：2506758
[Abstract]:In an open economic environment, the effectiveness of monetary policy is affected by exchange rate changes. Exchange rate adjustments change the relative prices of local and foreign currencies, thereby changing the income level of local currency and foreign currency assets and the level of domestic interest rates. Exchange rate adjustment will also change the relative price of trade goods between the two countries, which will lead to the change of import and export and the adjustment of trade price, which will affect the output and employment, and eventually lead to the change of actual economic variables deviating from the original monetary policy objectives. Therefore, it is of great theoretical significance and research value to study the influence of RMB appreciation on the efficiency of monetary policy and to reduce the negative impact of exchange rate change on monetary policy. In this paper, OLS method is used to study the influence of exchange rate change on the process efficiency and overall efficiency of monetary policy by using VAR model, the influence mechanism of monetary policy is simplified, the key economic variables are extracted, and the influence degree of exchange rate change on related economic variables is investigated to analyze the response speed and degree of the key economic variables of monetary policy implementation caused by the change of exchange rate. Then the dynamic stochastic general equilibrium model is used to study the influence of exchange rate changes on the efficiency of monetary policy. Firstly, the main economies are determined from the allocation and utilization of economic resources. Because of the uncertainty of the environment, each economic subject needs to optimize its objective function under certain resource constraints, technical constraints and information constraints in order to make the optimal behavior decision. By solving these stochastic optimization problems, we can get the optimal behavior equation and behavior decision of the economic subject in uncertain environment, and then obtain the behavior equation satisfied by the total economic quantity with appropriate summation technology. In order to ensure the consistency of macroeconomic theory and microeconomic analysis. Then the model is estimated by Bayesian, the parameters of the model are determined, and then the different exchange rate shocks of the model are given to observe the monetary policy transmission channels in accordance with Taylor's rule, the response degree of the intermediate target and the final goal, and to determine the transmission efficiency, process efficiency and overall efficiency of exchange rate changes to monetary policy. Finally, it is concluded that exchange rate change can significantly reduce the efficiency of monetary policy, and the severe exchange rate impact has a serious destructive effect on the economic system, so in order to ensure the efficiency of monetary policy, it is necessary to formulate the corresponding exchange rate policy to iron out the exchange rate impact caused by monetary policy.
【学位授予单位】：广东商学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.6
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