基于门限回归的人民币汇率波动对物价影响的研究

发布时间：2018-01-14 15:24

本文关键词：基于门限回归的人民币汇率波动对物价影响的研究　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着固定汇率制度逐渐被浮动汇率制度取代，世界各主要货币的波动幅度不断增大，其影响逐渐传导至实体经济领域，对许多国家的物价水平产生了较大的影响，所以分析人民币汇率波动对我国整体及不同行业的消费者价格指数的影响存在非常重要的意义。大量学者采用了线性的分析方法对这一问题进行了讨论，而本文选取了我国2001年1月至2011年6月的月度宏观经济数据并采用非线性的门限回归分析方法研究了人民币汇率波动对我国物价的影响，得出了一些重要结论，并据此提出了进一步推进人民币国际化、进一步完善我国的汇率形成机制等政策建议。本文得出的结论为：（1）不同的汇率波动方向和波动幅度下汇率波动对国内整体物价的影响是非线性的，货币升值对物价的影响远大于货币贬值对物价的影响，汇率波动幅度大于0.0048时对物价的影响小于汇率波动幅度不超过0.0048时对物价的影响。（2）在不同的汇率波动方向下汇率波动对不同行业的消费物价指数的影响不相同。人民币升值引起家庭设备物价指数下降，贬值对该行业物价指数的影响不明显；人民币升值对交通通信价格指数和食品价格指数的影响不显著，贬值对这两个指数的影响却是显著的；人民币不论升值还是贬值对娱乐教育文化行业的价格的影响都是显著的，升贬值时弹性分别为-0.2259，0.2380；不论人民币升值还是贬值对居住、烟酒、衣着和医疗保健行业价格指数的影响都不显著。（3）不同汇率波动幅度下汇率波动对不同行业消费价格指数的影响不同。汇率波动对交通通信、食品、衣着行业的物价的影响存在门限值，，分别为0.0084、0.0180、0.0013.在人民币汇率波动幅度小于等于门限值和大于门限值的两种情况下汇率波动对这三个行业的消费者价格指数的影响都是不相同的，即存在着非线性性。而对于家庭设备、居住、烟酒、医疗保健和娱乐教育文化行业来说，汇率波动幅度的大小不会改变汇率波动对其物价的影响。
[Abstract]:With the fixed exchange rate system gradually replaced by the floating exchange rate system, the volatility of the major currencies in the world is increasing, and its impact is gradually transmitted to the real economy. It has had a great impact on the price level in many countries. Therefore, it is very important to analyze the impact of RMB exchange rate fluctuations on the consumer price index in China as a whole and in different industries. A large number of scholars have used linear analysis method to discuss this problem. This paper selects the monthly macroeconomic data from January 2001 to June 2011 and studies the impact of RMB exchange rate fluctuations on prices in China by nonlinear threshold regression analysis. Some important conclusions are drawn and some policy suggestions are put forward to further promote the internationalization of RMB and further improve the exchange rate formation mechanism in China. The conclusion of this paper is that the influence of exchange rate fluctuation on the whole domestic price is nonlinear under different exchange rate fluctuation direction and fluctuation range. The impact of currency appreciation on prices is much greater than the impact of currency depreciation on prices. The effect of exchange rate fluctuations greater than 0.0048 on prices is less than that on prices when exchange rate fluctuations do not exceed 0.0048). Under the different exchange rate fluctuation direction, the exchange rate fluctuation has different influence on the consumer price index in different industries. The appreciation of RMB causes the household equipment price index to fall. The impact of depreciation on the price index of the industry is not obvious; The appreciation of RMB has no significant effect on the transportation and communication price index and the food price index, but the depreciation has a significant effect on these two indices. The impact of RMB appreciation or depreciation on the price of entertainment, education and culture industry is significant, and the elasticity of rising and devaluing is -0.2259 / 0.2380; Whether RMB appreciation or depreciation on residential, alcohol and tobacco. The influence of the clothing and health care industry price index is not significant. (3) under the different exchange rate fluctuation range, the exchange rate fluctuation has different influence on the different industry consumer price index, the exchange rate fluctuation to the transportation communication, the food. There is a threshold value for the influence of prices in the clothing industry, which is 0.0084 / 0.0180, respectively. 0.0013. The impact of exchange rate fluctuations on consumer price indices in these three industries is different in cases where the range of fluctuations in the RMB exchange rate is less than or above the threshold. For household equipment, housing, alcohol and tobacco, health care, and entertainment, education and culture, the magnitude of exchange rate fluctuations will not change the impact of exchange rate fluctuations on prices.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6;F726

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