人民币汇率波动对国内物价的影响研究

发布时间：2018-03-14 08:41

本文选题：人民币汇率　切入点：国内物价　出处：《南京财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：稳定物价和保持人民币币值稳定都是我国货币当局的政策，二者之间存在紧密联系，研究二者关系，已成为应用统计学中的重要课题之一。2007年以来，特别是2010年，我国国内消费品物价不断攀升，物价问题已经成为政府宏观调控各项工作中的首要任务，与此同时，我国背负着人民币升值的压力。正确运用汇率政策对物价的调控作用，准确分析汇率水平的变动对国内物价的影响，对我国宏观经济调控有很重要的理论意义和实践价值。本文首先介绍了人民币不断升值以及物价不断攀升的国内背景；其次，从“购买力评价”和“巴拉萨-萨缪尔森”为代表的传统理论、汇率波动对物价的新传递理论以及汇率对物价变动的影响渠道三个方面，对汇率和物价之间的理论关系进行了论述；第三，分析了人民币汇率制度的历史变迁、人民币汇率的现状、国内物价的现状，同时对汇率与物价之间趋势做了对比分析；第四，利用汇率改革（2005年7月开始）至2011年3月的月度数据，对汇率和物价的格兰杰因果关系做了研究，然后选取进口物价指数（IPI）、生产者物价指数(PPI)和消费者物价指数(CPI)作为国内物价的衡量指标，综合人民币汇率、石油价格、消费者预期指数、消费者满意指数、货币供应量和银行间拆借利率五个影响因素，建立VAR模型、脉冲响应、方差分解、协整分析和误差修正模型，针对人民币汇率对国内物价的影响进行了实证分析。最后，结合实证分析，基于物价上涨的控制、人民币汇率机制的调整、货币政策的制定以及人民预期的管理四个方面，提出相关的政策建议。由上述研究表明：（1）长期来看，人民币汇率对国内物价的影响存在协整关系，且对物价起到抑制作用，汇率升值对进口价格指数和生产者物价指数的抑制程度大于对消费者物价指数的抑制程度。（2）中短期来看，人民币汇率对进口物价指数和生产者物价指数的冲击大于对消费物价指数的冲击，并且人民币升值对进口物价指数和生产者物价指数产生负向冲击，冲击在半年左右达到最高，然后回落趋于平稳，对消费者物价指数产生正向冲击，，冲击幅度很小。（3）人民币升值对消费品中的食品、居住以及生活资料中的一般日用品冲击幅度较高，并且高于对消费物价指数和生产者物价指数的冲击幅度。（4）消费者预期指数、银行间拆借利率和人民币汇率是影响物价的主要因素。实证结论为我国政府制定相关的货币和汇率政策、稳定物价等方面提供一定的参考。
[Abstract]:It is the policy of the monetary authorities of our country to stabilize the price and maintain the stability of the RMB currency, and there is a close relation between them. The study of the relationship between the two has become one of the important topics in applied statistics. Since 2007, especially in 2010, The domestic consumer prices in China are constantly rising, and the price issue has become the primary task of the government in all aspects of macro-control. At the same time, our country is burdened with the pressure of RMB appreciation and correctly applies the role of exchange rate policy in regulating prices. It is of great theoretical significance and practical value to accurately analyze the influence of exchange rate changes on domestic prices. This paper first introduces the domestic background of RMB appreciation and rising prices; secondly, the traditional theories represented by "Purchasing Power Evaluation" and "Barassa-Samuelson". The new transfer theory of exchange rate fluctuation to price and the influence channel of exchange rate on price change are discussed in three aspects: the theoretical relationship between exchange rate and price. Thirdly, the historical change of RMB exchange rate system is analyzed. The current situation of RMB exchange rate, the present situation of domestic price, and the comparative analysis of the trend between exchange rate and price. 4th, using the monthly data of exchange rate reform (from July 2005 to March 2011), The Granger causality between the exchange rate and the price is studied. Then the import price index (IPI), the producer price index (PPI) and the consumer price index (CPI) are selected as the measure of domestic prices, and the RMB exchange rate and the oil price are synthesized. Five factors, consumer expectation index, consumer satisfaction index, money supply and interbank lending rate, are established to establish VAR model, impulse response, variance decomposition, cointegration analysis and error correction model. Finally, based on the empirical analysis, based on the control of price rise, the adjustment of RMB exchange rate mechanism, the formulation of monetary policy and the management of people's expectations, the paper makes an empirical analysis on the impact of RMB exchange rate on domestic prices. Put forward relevant policy recommendations. From the above study, it is shown that, in the long run, the impact of the RMB exchange rate on domestic prices has a cointegration relationship, and it has a restraining effect on prices. The revaluation of the exchange rate inhibits the import price index and the producer price index more than the consumer price index in the short and medium term. The impact of the RMB exchange rate on the import price index and producer price index is greater than on the consumer price index, and the appreciation of the renminbi has a negative impact on the import price index and producer price index. The impact reached its highest level in about half a year. Then the drop leveled off, which had a positive impact on the consumer price index. The impact range was very small. The impact of RMB appreciation on food, housing and general commodities in consumer goods was relatively high. And higher than the impact on the consumer price index and producer price index. The interbank lending rate and RMB exchange rate are the main factors affecting prices. The empirical conclusions provide some references for our government to formulate relevant monetary and exchange rate policies and to stabilize prices.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.6;F726

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