我国外汇市场压力与宏观经济关系的实证研究

发布时间：2018-01-05 18:12

本文关键词：我国外汇市场压力与宏观经济关系的实证研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：在经济全球化的背景下,中国内外经济关系、资本流动格局、金融市场环境的变化和人民币的国际化等诸多问题都将影响着我国经济健康稳定的发展。如今,一方面我国国际收支连续多年出现双顺差,经济增长对外依赖度不断升高,激增的外汇储备量使外汇市场压力不断增大。截至2013年末,中国外汇储备余额已达38,213.15亿美元,居于世界第一位。另一方面,在现行的汇率制度下,央行被迫投放的大量基础货币抬高了物价水平,国内通货膨胀率居高不下。在遭受内外部经济失衡之际,越来越多的人开始关注外汇市场与宏观经济平稳发展之间的关联。如何能在各种复杂多变的形势下优化国内外市场发展环境,更好地发挥宏观经济政策的作用是未来一段时间内中国经济面临的重要挑战。因此,从理论和实践两方面系统地研究外汇市场压力及其与宏观经济变量之间的关系对于宏观经济决策的制定和未来中国金融的发展与改革都具有显著意义。本文首先阐述了选题的背景,并分析了选题的理论和实践意义,随后又总结并归纳了现有国内外相关命题的实证研究与理论文献。第二部分,着重介绍了外汇市场压力的含义及其测度模型,同时结合我国经济的发展情况,指出了外汇市场压力形成的内外部原因。其中外部原因包括国际上对人民币升值的强烈呼声、中美间不断出现的贸易摩擦以及全球经济发展的大环境。而内部原因主要有：不平衡的经济发展和过快的增长、巨额的外汇储备、中美间利差及通货膨胀率四个方面。随后,第二章又简要分析了现有的外汇市场压力对经济造成的不利影响。第三章利用Weymark对外汇市场压力指数的一般定义中提出的构造方程,通过TSLS估计模型对我国自2005年汇改至今的外汇市场压力指数进行测定,并分析了EMP变化走势的深层次原因。第四章运用VAR模型、脉冲响应函数对我国外汇市场压力指数与利率、价格水平、经济增长等宏观经济变量之间的关系进行了实证研究,系统深入地分析了影响我国外汇市场压力的因素。研究结果表明,国内利率及经济增长对外汇市场压力会产生正向的影响,而国外利率会产生反向作用。最后本文从宏观经济、外汇市场、货币市场三个角度探索性地提出了缓解外汇市场压力的方法,以求促进外汇市场和宏观经济的健康和谐发展。
[Abstract]:Under the background of economic globalization, Chinese internal and external economic relations, capital flow pattern, many problems in the financial market environment changes and the internationalization of the RMB will affect the development of China's economy healthy and stable. Now, on the one hand, China's international balance of payments for many consecutive years of double surplus, economic growth increased dependence on foreign exchange reserves. The surge in the amount of the foreign exchange market pressures continue to increase. At the end of 2013, Chinese foreign exchange reserves reached US $3 trillion and 821 billion 315 million, the first in the world. On the other hand, in the current exchange rate system, the central bank was forced to put a large amount of base money raised the price level, the domestic inflation rate remains high. Under international economic imbalance inside and outside the Ministry, more and more people begin to concern the smooth development of association between foreign exchange market and the macro economy. How to optimize China in various complex situation The development of the internal and external market environment, better play the role of macroeconomic policy is an important challenge for the next period of time China facing the economy. Therefore, from two aspects of theory and practice of systematic research on the foreign exchange market pressure and its relationship with macroeconomic variables for macroeconomic decision-making and the future development and reform of the financial Chinese is of great significance. This paper first presents the background, and analyzes the theoretical and practical significance of the subject, then summarized and summed up the empirical and theoretical literature related propositions existing at home and abroad. The second part focuses on the meaning and measure model of exchange market pressure, combined with the development of China's economy. Pointed out that the internal and external reasons of the foreign exchange market pressure formation. The external reasons including the strong voice of RMB appreciation, between China and the United States are emerging The trade friction and the global economic development environment. And the internal reasons are: unbalanced economic development and rapid growth, huge foreign exchange reserves, Sino US spreads and inflation rate four aspects. Then, the second chapter briefly analyzes the adverse effects of the existing foreign exchange market pressure on the economy. The third chapter constructed by the Weymark equation put forward the general definition of the foreign exchange market pressure index, estimated by the TSLS model of our country since the reform of 2005 foreign exchange market pressure index has been measured and analyzed the deep reason of EMP change trend. The fourth chapter uses VAR model, impulse response function of China's foreign exchange market pressure index and interest rate, price level, the relationship between economic growth and other macroeconomic variables for empirical research, systematically analyzes the influencing factors of China's foreign exchange market pressure. The results show that the domestic interest rate and economic growth in the foreign exchange market pressure will produce positive effect, while the foreign interest rate will have a reverse effect. Finally, from the macro economy, foreign exchange market, money market three aspects put forward methods to ease the exchange market pressure, in order to promote the healthy and harmonious development of the foreign exchange market and the macro economy.

【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F124

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