人民币汇率对我国进口价格不完全传递效应的实证研究
发布时间：2018-10-09 07:36
【摘要】：由国际经济学理论可知,一国货币的升值将会导致进口减少或者出口增加,并且会影响到该国国内的物价水平。自2007年我国汇率体制改革以后,汇率呈现稳步上升的现象,但贸易顺差额依旧在平稳增加,人民币面对着巨大的升值压力。基于我国经济现状,我们将人民币汇率不完全传递的效应大小及变化趋势作为本文研究的主题,试图在研究的过程中对我国的汇率传递效应做出解释。虽然国内关于人民币汇率传递的问题研究很多,不过汇率传递的多层面角度来研究人民币汇率传递效应大小及趋势变化却在少数。本文结合国内外汇率传递相关研究理论,借助多种计量方法来对我国人民币不完全传递效应的大小及趋势变化进行了较为全面的分析。 本文首先对汇率传递问题相关研究文献进行了较为全面地回顾,并在此基础上通过理论分析与实证分析相结合的方法,来重点分析了人民币名义有效汇率对我国进口价格的传递效应及变动趋势。在国内外相关文献的基础上,本文建立了汇率传递的理论分析框架,通过厂商出口利润最大化的经济原理来构建了理论模型,进一步以此理论模型为基础,推导了多种实证计量模型。 在实证研究部分,本文首先通过计量回归估计了人民币汇率传递系数以及变动趋势。而后通过人民币汇率传递的商品结构效应、国别效应、滞后效应以及非对称性等方面来较为详细的分析了人民币汇率的传递效应。主要实证结果如下：我国汇率对进口价格的传递效应整体上较低,存在不完全传递性,但相对于发达国家而言仍然较高：我国汇率传递效应在整体呈现一定的下降趋势,但是传递效应变化幅度较大；从国别因素来看,我国汇率对进口价格的传递相对其它国家而言波动较大；另外,人民币汇率传递呈现一定滞后效应,滞后期较短,因此说明人民币汇率的波动往往带来价格水平的快速变动；最后,人民币汇率传递存在非对称性特征,汇率升值对进口价格的传递要高于汇率贬值对进口价格的传递,另外汇率波动幅度较大时汇率传递效应也较大,当汇率波动幅度较小时汇率是几乎不传递的。
[Abstract]:From the international economic theory, the appreciation of a country's currency will lead to a decrease in imports or an increase in exports, and will affect the domestic price level of that country. Since the reform of China's exchange rate system in 2007, the exchange rate has been rising steadily, but the balance of trade is still increasing steadily, and the RMB is facing great pressure of appreciation. Based on the present economic situation of our country, we take the magnitude and trend of the incomplete transmission of RMB exchange rate as the subject of this paper, and try to explain the effect of exchange rate transmission in the course of the research. Although there are a lot of domestic studies on RMB exchange rate transmission, there are few studies on the magnitude and trend of RMB exchange rate transfer effect from the multi-level perspective of exchange rate transmission. Based on the theory of exchange rate transfer at home and abroad, this paper makes a comprehensive analysis of the magnitude and trend of the incomplete transfer effect of RMB in China with the help of various econometric methods. Firstly, this paper reviews the relevant literatures on exchange rate transmission, and then combines theoretical analysis with empirical analysis. The transfer effect and trend of nominal effective exchange rate of RMB on China's import price are analyzed. On the basis of domestic and foreign literature, this paper establishes the theoretical analysis framework of exchange rate transmission, constructs the theoretical model through the economic principle of maximizing the export profit of the manufacturer, and takes the theoretical model as the basis. Several empirical econometric models are derived. In the part of empirical research, this paper estimates the transfer coefficient of RMB exchange rate and the trend of change by econometric regression. Then the transfer effect of RMB exchange rate is analyzed in detail from commodity structure effect, country effect, lag effect and asymmetry of RMB exchange rate. The main empirical results are as follows: the transfer effect of exchange rate on import price in China is relatively low, but it is still relatively high compared with developed countries. However, the transfer effect varies greatly; from the point of view of country factors, the exchange rate of our country fluctuates more than that of other countries. In addition, RMB exchange rate transmission shows a certain lag effect, and the lag period is relatively short. Therefore, the fluctuation of RMB exchange rate often brings rapid change of price level. Finally, the transmission of RMB exchange rate is asymmetric, and the transfer of exchange rate appreciation to import price is higher than that of exchange rate depreciation to import price. In addition, the exchange rate transfer effect is also larger when the exchange rate fluctuation range is large, when the exchange rate fluctuation range is small, the exchange rate is almost not transmitted.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.6;F752.61
本文编号：2258509
[Abstract]:From the international economic theory, the appreciation of a country's currency will lead to a decrease in imports or an increase in exports, and will affect the domestic price level of that country. Since the reform of China's exchange rate system in 2007, the exchange rate has been rising steadily, but the balance of trade is still increasing steadily, and the RMB is facing great pressure of appreciation. Based on the present economic situation of our country, we take the magnitude and trend of the incomplete transmission of RMB exchange rate as the subject of this paper, and try to explain the effect of exchange rate transmission in the course of the research. Although there are a lot of domestic studies on RMB exchange rate transmission, there are few studies on the magnitude and trend of RMB exchange rate transfer effect from the multi-level perspective of exchange rate transmission. Based on the theory of exchange rate transfer at home and abroad, this paper makes a comprehensive analysis of the magnitude and trend of the incomplete transfer effect of RMB in China with the help of various econometric methods. Firstly, this paper reviews the relevant literatures on exchange rate transmission, and then combines theoretical analysis with empirical analysis. The transfer effect and trend of nominal effective exchange rate of RMB on China's import price are analyzed. On the basis of domestic and foreign literature, this paper establishes the theoretical analysis framework of exchange rate transmission, constructs the theoretical model through the economic principle of maximizing the export profit of the manufacturer, and takes the theoretical model as the basis. Several empirical econometric models are derived. In the part of empirical research, this paper estimates the transfer coefficient of RMB exchange rate and the trend of change by econometric regression. Then the transfer effect of RMB exchange rate is analyzed in detail from commodity structure effect, country effect, lag effect and asymmetry of RMB exchange rate. The main empirical results are as follows: the transfer effect of exchange rate on import price in China is relatively low, but it is still relatively high compared with developed countries. However, the transfer effect varies greatly; from the point of view of country factors, the exchange rate of our country fluctuates more than that of other countries. In addition, RMB exchange rate transmission shows a certain lag effect, and the lag period is relatively short. Therefore, the fluctuation of RMB exchange rate often brings rapid change of price level. Finally, the transmission of RMB exchange rate is asymmetric, and the transfer of exchange rate appreciation to import price is higher than that of exchange rate depreciation to import price. In addition, the exchange rate transfer effect is also larger when the exchange rate fluctuation range is large, when the exchange rate fluctuation range is small, the exchange rate is almost not transmitted.
【学位授予单位】：郑州大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.6;F752.61
【参考文献】
相关期刊论文 前1条
1 封北麟;;汇率传递效应与宏观经济冲击对通货膨胀的影响分析[J];世界经济研究;2006年12期
，本文编号：2258509
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