人民币汇率波动对国内物价和利率的传导效应研究

发布时间：2018-01-04 08:36

本文关键词：人民币汇率波动对国内物价和利率的传导效应研究　出处：《哈尔滨工业大学》2014年博士论文　论文类型：学位论文

【摘要】：20世纪90年代以来，局部和全球性的金融危机和经济波动引起了研究人员的广泛关注。无论是1992-1993年的欧洲汇率体系危机、1994-1995年的巴西金融危机、1997-1998年的东南亚金融危机、2007年以来美国次贷危机引发的全球性金融危机，都表现出极强的传染性。而传染的重要途径除了传统的贸易途径外，通过汇率渠道的传染程度不断加深。在全球经济一体化、金融自由化的背景下，通过对汇率波动的关联研究，有助于有效地分析和判断外部汇率冲击的影响，并针对性地制定防范对策，维持一国国内金融体系和市场体系的稳定。从我国的情况看，中国的浮动汇率制度从1994年1月1日开始实行的,2005年7月21日，中国的人民币汇率形成机制开始实行以市场供求为基础的有管理的浮动汇率制度,改变以往单一盯住美元的做法，而是参考一篮子货币进行调节。又分别在2010年6月19日、2011年4月16日先后两次推进了改革，使人民币汇率弹性得到了增强。从历史数据看，自2005年人民币汇率形成机制改革以来，人民币持续升值、国内通胀水平屡创新高等现象更是引起社会各界的强烈关注。本文即针对上述热点问题，尝试通过理论分析和实证研究的方法，全面探讨人民币汇率波动与我国国内价格，包括进出口商品价格、国内消费者价格、国内资金价格─利率等的关系。首先，本文对2000年以来我国国内进口价格、消费者价格、人民币名义有效汇率、国内产出缺口、国际初级商品价格、货币供应量等进行月度数据采样和整理，并在此基础上构建我国进口价格、消费者价格与各相关因素的长期均衡模型，分析汇率波动、外部价格冲击、国内需求变动和货币冲击等因素对我国国内进口价格和消费者价格的实际影响。研究结论为：长期内汇率、国际初级商品价格波动是影响我国进口价格指数的显著因素，但其对国内消费者价格波动的影响并不明显；同时国内需求和货币供应量波动对消费者价格的影响也不显著。样本期内，国内消费者价格的上涨更多来自CPI自身的粘性所致，可能源于国内通胀预期的不断强化。分阶段分析的结果表明，汇改后人民币有效汇率波动对国内进口价格和消费者价格的传递效率有所提高，汇率在宏观经济中的调节作用将逐步增强。其次，本文应用非线性平滑转换模型研究了我国与美国、欧元区、日本、韩国等有效汇率指数、综合利差之间的关系。实证分析表明，汇率对利率的影响具有明显的非对称性，具有较强的非线性动态特征。分国别看，四个国家或地区之间的上期利差均是影响本期利差的重要因素；在短期内汇率对利率影响较大。因此，短期内人民币汇率弹性的扩大应该主动、逐步、稳定进行，防止人民币汇率弹性的急剧扩大导致利率的过度波动。其次，逐步有序加快利率市场化进程并加强与汇率市场化的配合，构建高效的汇率-利率联动机制。在前述研究的基础上，本文又展开了对利率到物价环节的实证研究。通过选择国内市场化程度较高、能够有效反映国内资金供需的SHIBOR利率，构建国内利率与物价间的关系模型，实证研究结论认为：国内利率与物价随着我国经济状态的变化呈现非线性的变化。当经济发展相对适度、通胀水平较为温和时，提高利率能够有效抑制需求。但是经济过热、需求旺盛时，，国内高物价往往倒逼高利率的出现，此时提高利率对需求的抑制作用减弱，而受制于我国企业的融资模式，将会把高利率通过生产渠道转嫁到成本中，进而对通胀产生正向冲击。通过对汇率、利率、物价三要素之间两两关系的研究，本文认为在开放经济环境下，汇率、利率和物价三者关系紧密、相互影响，分析和确定这些经济指标的关系，对实现开放经济的一般均衡（即商品市场、货币市场、外汇市场同时平衡）具有重要的意义。因此本文从微观视角出发，尝试构建了汇率、利率和物价等相关指标的理论模型，并进行了实证分析。实证结果显示：汇率、利率、价格均是影响自身变动的最主要的因素，三者之间通联渠道并不十分顺畅；汇率与价格之间的相互影响程度要高于利率与价格、汇率与利率相互影响的程度。因此，通过利率政策来治理通货膨胀效果并不如汇率政策和货币供应量政策配合有效。下一步在坚持人民币汇率改革的市场化方向前提下，逐步有序加快利率市场化进程并加强与汇率市场化、价格市场化的配合，构建高效的价格联动机制。
[Abstract]:Since 1990s, local and global financial crisis and economic fluctuations attracted the attention of researchers. It is the crisis of the European exchange rate system in 1992-1993, Brazil's 1994-1995 financial crisis, the Asian financial crisis in 1997-1998, since 2007 the U.S. subprime mortgage crisis triggered a global financial crisis, showed strong contagion. An important way to infection in addition to trade the traditional approach, deepening the degree of infection through the exchange rate channel. In the global economic integration, financial liberalization background, through to study the correlation between the exchange rate volatility, helps to effectively analyze and judge the impact of the external impact of exchange rate, and to formulate preventive measures, maintain a country's financial system and market system.
In China, the floating exchange rate system China started in January 1, 1994, July 21, 2005, the RMB exchange rate formation mechanism China began to implement based on market supply and demand a managed floating exchange rate system, change the previous single peg, but with reference to a basket of currencies. And in June 19, 2010, April 16, 2011 two to promote the reform, the RMB exchange rate flexibility has been enhanced. From the historical data, since 2005, the RMB exchange rate formation mechanism reform, the continued appreciation of the renminbi, the domestic inflation record higher phenomenon is caused by a strong concern in the community.
Aiming at the above hot issues, this paper attempts to explore the relationship between RMB exchange rate volatility and domestic prices, including import and export commodity prices, domestic consumer prices, domestic capital prices and interest rates through theoretical analysis and empirical research.
First of all, this paper in China since 2000 domestic import prices and consumer prices, the nominal effective exchange rate, domestic output gap, international commodity prices, money supply by sampling and consolidation of monthly data, and on the basis of China's import prices, a long-term equilibrium model of consumer price and relative factors, analysis of exchange rate volatility and external price shocks, the actual impact of domestic demand fluctuation and monetary factors such as the impact on China's domestic import prices and consumer prices. The research conclusions are as follows: the long term exchange rate, the international price of primary commodities are significant factors affecting China's import price index, but its impact on the domestic consumer price volatility is not obvious; at the same time the impact of domestic demand and money supply fluctuation on consumer prices is not significant. The sample period, the domestic consumer price rose more from CPI Due to the viscous body, may be due to domestic inflation expectations continue to strengthen. Phase analysis results show that, after the exchange rate reform of RMB effective exchange rate fluctuations on the domestic transfer efficiency of import prices and consumer prices increased, effect of exchange rate adjustment in the macroscopic economy will gradually increase.
Secondly, this paper applies the nonlinear smooth transition model of China and the United States, the euro area, Japan, South Korea and other effective exchange rate index, the relationship between comprehensive spreads. The empirical analysis shows that the impact of exchange rate on interest rate is obviously asymmetric, with strong nonlinear dynamic characteristics. Different countries, or between the four countries the area spreads are important factors that influence the spread of the exchange rate in the short term; a greater impact on the interest rate. Therefore, expanding the flexibility of the RMB exchange rate in the short term should be active, gradually stable, prevent the rapid expansion of the RMB exchange rate flexibility leads to excessive volatility of the interest rate. Secondly, we should gradually speed up the process of marketization of interest rates and strengthen with the exchange rate market, build efficient linkage mechanism between interest rate and exchange rate.
On the basis of previous research, this paper carried out empirical research on the link to price interest rate. By choosing the domestic market degree is high, can effectively reflect the domestic supply and demand of funds SHIBOR interest rates, domestic interest rates and prices to build the relationship model between the empirical study concluded that: the domestic interest rate and price change with China's economic status the present nonlinear changes. When the economic development is relatively moderate, moderate inflation, raising interest rates to curb demand. But the overheated economy, strong demand, high domestic prices tend to appear forced interest rates, this time to improve the suppression rate on demand, and subject to our country enterprise financing mode will the high interest rates through production channels onto the cost, and have positive impact on inflation.
Based on the exchange rate, interest rate, 22 of the three elements of the relationship between prices, the exchange rate in the open economic environment, interest rates and prices, the relationship between the three closely, mutual influence, and analysis to determine the relationship between these economic indicators, on the implementation of general equilibrium open economy (i.e. the commodity market, money market, foreign exchange market and balance) is of great significance. This paper starts from the micro perspective, attempts to construct a theoretical model of exchange rate, interest rate and price index, and the empirical analysis. The empirical results show that the exchange rate, interest rate, prices are the main influencing factors for the change, between the three communications channel is not very smooth with each other; the influence degree between the exchange rate and the price is higher than the interest rate and price, exchange rate and interest rate affect each other. Therefore, the interest rate policy to control inflation and exchange rate policy as The policy is effective with the money supply policy. Next, under the premise of adhering to the market orientation of RMB exchange rate reform, we should speed up the process of interest rate marketization step by step, strengthen the cooperation with exchange rate marketization and price marketization, and establish an effective price linkage mechanism.

【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.6;F726;F822.0

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