汇率传递不完全效应研究：以新兴经济体为例
发布时间：2019-01-28 10:32
【摘要】：经济体的汇率传递是否存在不完全效应一直是国际经济学研究中的核心问题。一方面经济学传统理论认为汇率变动与进口商品价格变动应该是同比例的，但是现实情况却与之不符；另一方面，汇率波动引起进口商品价格变动将传递到总体价格，影响经济体经济运行，因此研究汇率传递具有现实意义。现有文献多集中于研究发达经济体，忽略了对新兴经济体的考察。 本文以理论分析与实证检验相结合的方法对新兴经济体的汇率传递不完全效应进行了研究。首先指出传统理论假定的完全竞争市场和无成本套利条件在现实中并不成立。接着从微观层面分析，选取需求和供给两个角度考察导致汇率不完全传递的原因。最后从宏观角度分析影响汇率传递的有关因素。本文以31个新兴经济体为研究对象，，选取1980年至2011年相关数据进行实证研究。通过建立具有微观基础的实证模型，利用组群平均（MG）估计和混合组群平均（PMG）估计发现新兴经济体的汇率传递存在不完全效应，并且不同经济体之间汇率传递系数并不一致。随后利用完全修正普通最小二乘估计法（FMOLS）和动态普通最小二乘估计法（DOLS）得到汇率传递系数分别为0.76和0.78。实证还发现汇率波动程度较低的经济体的汇率传递系数较低，开放程度高的新兴经济体其进口商品价格对汇率变动较为不敏感，通货膨胀率高的经济体的汇率传递系数较高。在实证研究基础上，本文提出采取减小汇率波动幅度、维持一定经济开放度、稳定通货膨胀预期、提高自身竞争力这些政策以保证新兴经济体平稳持续的发展。
[Abstract]:Whether there is incomplete effect of exchange rate transmission in economy is always the core problem in international economics. On the one hand, the traditional theory of economics holds that the exchange rate should be in the same proportion with the change of the price of imported commodities, but the actual situation is not consistent with it. On the other hand, the change of import commodity price caused by exchange rate fluctuation will be transmitted to the overall price, which will affect the economic operation of the economy, so it is of practical significance to study the exchange rate transfer. The existing literature focuses on the advanced economies, neglecting the emerging economies. In this paper, the incomplete effect of exchange rate transmission in emerging economies is studied by theoretical analysis and empirical test. Firstly, it is pointed out that the assumption of perfect competition market and cost-free arbitrage condition in traditional theory is not true in reality. Then, from the micro level analysis, we select demand and supply to investigate the causes of incomplete exchange rate transmission. Finally, from a macro point of view to analyze the exchange rate transfer of the relevant factors. In this paper, 31 emerging economies are chosen as the research objects, and the relevant data from 1980 to 2011 are selected for empirical research. Through the establishment of empirical model with microscopic basis, using cluster average (MG) estimation and mixed cluster average (PMG) estimation, it is found that there is incomplete effect of exchange rate transfer in emerging economies. And the exchange rate transfer coefficient between different economies is not consistent. Then the exchange rate transfer coefficients of (FMOLS) and (DOLS) are 0.76 and 0.78 respectively. It is also found that the exchange rate transfer coefficient of the economy with low exchange rate fluctuation is lower, the import commodity price of the emerging economy with high opening degree is less sensitive to the exchange rate fluctuation, and the exchange rate transfer coefficient of the economy with high inflation rate is higher. On the basis of empirical research, this paper proposes to reduce the exchange rate volatility, maintain a certain degree of economic openness, stabilize inflation expectations, and improve their own competitiveness in order to ensure the steady and sustainable development of emerging economies.
【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】：F830.7
本文编号：2416977
[Abstract]:Whether there is incomplete effect of exchange rate transmission in economy is always the core problem in international economics. On the one hand, the traditional theory of economics holds that the exchange rate should be in the same proportion with the change of the price of imported commodities, but the actual situation is not consistent with it. On the other hand, the change of import commodity price caused by exchange rate fluctuation will be transmitted to the overall price, which will affect the economic operation of the economy, so it is of practical significance to study the exchange rate transfer. The existing literature focuses on the advanced economies, neglecting the emerging economies. In this paper, the incomplete effect of exchange rate transmission in emerging economies is studied by theoretical analysis and empirical test. Firstly, it is pointed out that the assumption of perfect competition market and cost-free arbitrage condition in traditional theory is not true in reality. Then, from the micro level analysis, we select demand and supply to investigate the causes of incomplete exchange rate transmission. Finally, from a macro point of view to analyze the exchange rate transfer of the relevant factors. In this paper, 31 emerging economies are chosen as the research objects, and the relevant data from 1980 to 2011 are selected for empirical research. Through the establishment of empirical model with microscopic basis, using cluster average (MG) estimation and mixed cluster average (PMG) estimation, it is found that there is incomplete effect of exchange rate transfer in emerging economies. And the exchange rate transfer coefficient between different economies is not consistent. Then the exchange rate transfer coefficients of (FMOLS) and (DOLS) are 0.76 and 0.78 respectively. It is also found that the exchange rate transfer coefficient of the economy with low exchange rate fluctuation is lower, the import commodity price of the emerging economy with high opening degree is less sensitive to the exchange rate fluctuation, and the exchange rate transfer coefficient of the economy with high inflation rate is higher. On the basis of empirical research, this paper proposes to reduce the exchange rate volatility, maintain a certain degree of economic openness, stabilize inflation expectations, and improve their own competitiveness in order to ensure the steady and sustainable development of emerging economies.
【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】：F830.7
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本文编号：2416977
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