基于DSGE模型的人民币汇率预期对资产价格的影响研究

发布时间：2018-01-20 16:42

本文关键词： DSGE模型人民币汇率预期资产价格　出处：《哈尔滨工业大学》2013年硕士论文　论文类型：学位论文

【摘要】：自中国汇率制度改革之后，中国双账户基本一直呈现顺差状态，国际上对中国人民币汇率施加升值压力，致使人民币实际汇率一直持续升值，国内外对人民币汇率的预期也呈现持续升值状态，而伴随着国际热钱的大量涌入，中国的资本市场，尤其是股票市场保持着一个波动的状态。本文基于这样的背景下，建立两国DSGE模型。研究国内外对人民币汇率的升值预期对中国资本市场价格的波动会产生什么样的影响，以及汇率预期通过怎样的途径来影响资本价格。本文建立了一个三部门的两国DSGE模型，分别为家庭部门、厂商部门和政府部门。家庭部门的目标是在各种预算约束的共同作用下，实现效用最大化。考虑到汇率预期对实体经济的影响，本文在传统MIU模型的基础上，，添加进汇率预期约束条件。鉴于即期汇率和远期汇率存在差异性，汇率预期也存在着一定的异质性，即由两种期限不同的预期（推断预期和回归预期）加权而成。厂商部门的目标是在成本约束的作用下，实现利润最大化。本文考虑到通货膨胀对实体经济价格粘性存在影响，引入由总通货膨胀率决定的价格修正条件。政府部门制定财政与货币政策，维持宏观经济均衡。本文引入汇率预期冲击因子，来讨论汇率预期冲击对实体经济中资本价格的影响。本文取上证指数作为资产价格的代表性变量，用中国实际数据对模型进行实证分析，分别对无其它变量干预下和存在其它变量干预下的人民币汇率预期对上证指数影响进行了探讨，并与中国实际情况进行比较。认为在存在其它变量干预的条件下，人民币汇率预期对上证指数的影响最贴近中国实际情况，解释了在人民币汇率保持持续升值预期的情况下，我国股票市场的波动现状。而且分析了形成该情况的原因，认为人民币汇率预期对上证指数的影响是通过多种路径形成的，其中包括价格路径、利率路径、工资路径和货币供给量路径。最后，本文结合实证分析的结果，提出了在人民币汇率升值预期压力下，我国资本市场宏观调控的一些建议。
[Abstract]:Since the reform of China's exchange rate regime, China's dual accounts have been basically showing a surplus, the international pressure on China's RMB exchange rate appreciation, resulting in the RMB real exchange rate has been continuously appreciate. The expectation of RMB exchange rate at home and abroad is also showing a state of continuous appreciation, and with the influx of international hot money, China's capital market. In particular, the stock market maintains a volatile state. This paper is based on this background. The DSGE model of the two countries is established to study the impact of the appreciation expectation of RMB exchange rate at home and abroad on the volatility of Chinese capital market price. And how the exchange rate is expected to affect capital prices. This paper establishes a two-country DSGE model of three departments, namely, the family sector, the manufacturer department and the government department. The goal of the family sector is to work together under various budget constraints. To maximize utility. Considering the impact of exchange rate expectation on the real economy, this paper adds the constraint of exchange rate expectation on the basis of traditional MIU model. In view of the difference between spot exchange rate and forward exchange rate. Exchange rate expectation also has some heterogeneity, that is, it is weighted by two kinds of expectation with different duration (inferential expectation and regression expectation). The objective of the manufacturer department is under the effect of cost constraint. To realize profit maximization, this paper introduces the price correction conditions determined by the total inflation rate, considering the impact of inflation on the real economy price stickiness. The government departments formulate fiscal and monetary policies. This paper introduces the exchange rate expectation shock factor to discuss the impact of the exchange rate expected shock on the capital price in the real economy. This paper takes the Shanghai Stock Exchange Index as the representative variable of asset price, and makes an empirical analysis of the model with the actual data of China. This paper discusses the impact of RMB exchange rate expectation on Shanghai Stock Exchange Index under the intervention of no other variables and other variables respectively. And compared with the actual situation in China. It is considered that under the condition of other variables intervention, the expected impact of RMB exchange rate on the Shanghai Stock Exchange Index is the closest to the actual situation in China. This paper explains the current situation of stock market fluctuation in China under the condition that RMB exchange rate is expected to continue to appreciate, and analyzes the reasons for this situation. The author thinks that the impact of RMB exchange rate expectation on Shanghai Stock Exchange Index is formed by a variety of paths, including price path, interest rate path, wage path and money supply path. Finally, this paper combines the results of empirical analysis. Under the pressure of RMB exchange rate appreciation, some suggestions on macro-control of capital market in China are put forward.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.6;F832.51;F224

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