“金砖四国”汇率制度比较研究

发布时间：2018-05-16 01:21

本文选题：“金砖四国” + 汇率制度　；参考：《上海社会科学院》2012年硕士论文

【摘要】：布雷顿森林体系崩溃后，世界各国的汇率制度进入了一个多元化的时代。但大体可以分为两类，固定汇率制和自由浮动汇率制度组成的两极制度以及由多种汇率制度组成的中间汇率制度。汇率制度选择的不当会直接影响到国家的整个宏观经济，甚至引发更深层次的金融危机。因此对于汇率制度选择的研究具有重要的意义。近些年来新兴市场国家例如墨西哥、俄罗斯、东亚以及巴西等，频繁发生各种金融危机，这些金融危机与汇率制度都存在着一定的联系。本文从新兴市场国家中选却一组具有代表性的国家，即“金砖四国”作为研究对象。采用横向纵向比较的方式对四国的汇率制度进行深入地研究，探索“金砖四国”汇率制度以及汇率变动的异同性。并采用GARCH模型对里尔、卢比、人民币和卢布2000年1月3日至2011年12月31日这一时间段的日汇率进行实证分析，探究其汇率所具有的波动特征。以此对四国汇率制度的发展趋向进行预测，并为我国人民币汇率制度的进一步改革提出政策建议。第一章为导论，主要介绍了文章的研究背景，具体的研究思路和方法，，并在最后提出了本文的创新点。第二章为文献综述.首先是汇率制度选择方面的理论研究，主要有经济结构论、退出时机论、经济冲击论等。之后具体细化到针对发展中国家的汇率制度选择方面的研究理论，主要是名义锚理论、原罪论以及两极化和反两极化理论。最后为本文研究的“金砖四国”方面的研究文献综述。第三章具体分析了巴西、印度、俄罗斯以及中国四个国家汇率制度的具体变迁过程，并进行了横向比较。第四章则是在第三章的基础上对四种货币的汇率变动进行了分析和比较，并且主要是集中在货币的名义及实际有效汇率的变动。第三章和第四章的分析将“金砖四国”汇率制度的大体框架列出，并从中可以研究出其中的异同性。第五章为“金砖四国”汇率波动特征的实证研究，通过GARCH模型的建立，发掘出汇率序列所存在的集聚性、尖峰厚尾性、自相关性、外部冲击性、记忆性、长期影响性以及杠杆效应等波动特征。第六章根据数据建模的结果进行比较分析，并结合第三、四章中的研究内容进行综合性的分析。第七章为结论，根据之前的研究分析，对“金砖四国”汇率制度存在的共性以及发展方向作出了大体的判断，并对人民币汇率制度的选择以及今后的改革提出了一些政策意见。
[Abstract]:After the collapse of Bretton Woods system, the exchange rate system of the world entered a pluralistic era. But it can be divided into two types: the two-pole system of fixed exchange rate system and the free floating exchange rate system and the intermediate exchange rate system composed of various exchange rate regimes. The improper choice of exchange rate system will directly affect the whole macroeconomic of the country and even lead to a deeper financial crisis. Therefore, it is of great significance to study the choice of exchange rate regime. In recent years, emerging market countries, such as Mexico, Russia, East Asia and Brazil, frequently occur various financial crises, these financial crises and exchange rate regimes have a certain relationship. In this paper, a group of representative countries, the BRIC countries, is chosen from emerging market countries as the research object. This paper makes an in-depth study of the exchange rate regime of the four countries by means of horizontal and vertical comparison, and explores the similarities and differences of the exchange rate regime and the exchange rate changes of the "BRIC" countries. The daily exchange rate of Lille, rupee, RMB and rouble from January 3, 2000 to December 31, 2011 is analyzed by using GARCH model, and the fluctuation characteristics of exchange rate are explored. This paper forecasts the development trend of the four countries' exchange rate system and puts forward some policy suggestions for the further reform of the RMB exchange rate system in China. The first chapter is the introduction, mainly introduces the research background, the concrete research thought and the method, and finally puts forward the innovation of this paper. The second chapter is a literature review. The first part is the theoretical research on the choice of exchange rate system, including economic structure theory, exit opportunity theory, economic shock theory and so on. After that, the theory of exchange rate regime selection for developing countries is elaborated, including nominal anchor theory, original sin theory and polarization and anti-polarization theory. The last part is the literature review of the BRIC countries. The third chapter analyzes the change process of exchange rate regime in Brazil, India, Russia and China, and makes a horizontal comparison. The fourth chapter analyzes and compares the exchange rate changes of the four currencies on the basis of the third chapter, and mainly focuses on the nominal and actual effective exchange rate changes of the currencies. The third and fourth chapters list the general framework of the BRICs exchange rate regime, from which we can find out the similarities and differences. The fifth chapter is the empirical study of the exchange rate fluctuation characteristics of the "BRICs". Through the establishment of the GARCH model, we find out the agglomeration, the peak and the thick tail, the autocorrelation, the external impact, the memory of the exchange rate sequence. Long-term effects and leverage effects and other characteristics of volatility. The sixth chapter is based on the results of data modeling, and combined with the third and fourth chapters of the research content of a comprehensive analysis. The seventh chapter is the conclusion, according to the previous research and analysis, this paper makes a general judgment on the generality and development direction of the "BRIC" exchange rate system, and puts forward some policy suggestions on the choice of the RMB exchange rate regime and the future reform.
【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.52

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