现行汇率体制下人民币汇率影响因素的实证研究

发布时间：2017-12-30 22:43

本文关键词：现行汇率体制下人民币汇率影响因素的实证研究　出处：《苏州大学》2014年硕士论文　论文类型：学位论文

【摘要】：中国人民银行在2005年7月21日宣布人民币汇率制度的改革再次启动，且伴随人民币汇率的逐步市场化，人民币对美元汇率主要呈现稳定的升值趋势，而与此同时，人民币对其他主要货币的汇率则呈现有升有贬的状态。面对目前汇率波动的复杂情况，本文从实证分析角度将国民收入、通货膨胀水平、货币供应量、利率、外汇储备以及实际利用外商直接投资金额等作为初始变量，构建向量自回归（VAR）模型，以现行的汇率形成机制为背景，对影响人民币汇率波动的主要经济因素进行深入分析、以确定各主要经济因素与人民币汇率波动之间因果关系的强度。通过建立VAR模型得出，在现行汇率体制下，GDP、CPI、中美利差、广义货币供应量M2、国家外汇储备以及外商直接投资等变量是影响人民币汇率波动的长期重要决定因素。通过实证分析得出以下结论：我国的GDP增长与人民币汇率变动呈现反向关系；我国通货膨胀水平与人民币汇率变化也呈现反向相关关系；中美利差、货币供应量以及国家外汇储备变动与汇率波动之间呈正向关系；外商直接投资变化与汇率变化呈反向相关关系。最后，本文在实证分析找出人民币汇率变化影响因素及强度的基础上，从如何调整各经济因素促进人民币汇率合理变动方面提出相应的对策，，并对未来人民币汇率体制的改革进行展望。
[Abstract]:In July 21st 2005, the people's Bank of China announced that the reform of the RMB exchange rate system had started again, and with the gradual marketization of the RMB exchange rate, the RMB exchange rate mainly showed a stable appreciation trend against the US dollar. At the same time, the exchange rate of RMB against other major currencies has a state of rise and decline. In the face of the current complex situation of exchange rate fluctuations, this paper from the perspective of empirical analysis of national income, inflation level. Money supply, interest rate, foreign exchange reserves and actual use of foreign direct investment as initial variables, the construction of vector autoregressive VARs model, based on the current exchange rate formation mechanism as the background. In order to determine the causality between the main economic factors and the fluctuation of RMB exchange rate, the main economic factors affecting the fluctuation of RMB exchange rate are analyzed in depth. Through the establishment of VAR model, under the current exchange rate system, GDP / CPI, the spread between China and the United States, the broad money supply M2. Foreign exchange reserves and foreign direct investment (FDI) are important determinants of RMB exchange rate fluctuations in the long run. The following conclusions are drawn through empirical analysis:. China's GDP growth and RMB exchange rate changes show a reverse relationship; There is also a reverse correlation between the inflation level and the change of RMB exchange rate in China. There is a positive relationship between the interest rate difference between China and the United States, the money supply and the change of the country's foreign exchange reserve and the fluctuation of the exchange rate. Foreign direct investment changes and exchange rate changes show a reverse correlation. Finally, this paper finds out the impact factors and intensity of RMB exchange rate change on the basis of empirical analysis. This paper puts forward the corresponding countermeasures from how to adjust various economic factors to promote the reasonable change of RMB exchange rate, and looks forward to the reform of RMB exchange rate system in the future.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6

【参考文献】