人民币升值对中国国内价值的传递效应研究

发布时间：2018-01-09 14:22

本文关键词：人民币升值对中国国内价值的传递效应研究　出处：《华中科技大学》2014年博士论文　论文类型：学位论文

【摘要】：2005年,中国人民银行宣布实行有管理的浮动汇率制,至今人民币已累计升值超过30%。从当前的国内外背景看,我国仍然存在巨额的外汇储备和较大的贸易顺差,金融危机之后各国出于自身目的将本国经济问题归咎于人民币币值。在可预见的时间内,人民币仍然面临不小的升值压力。在此背景下,人民币升值如何影响国内重要的宏观变量,尤其是直接影响到的国内价格,值得特别关注。从既有研究看,人民币升值对国内价格的影响可分为国内进口价格、国内通胀(总物价)、国内资产价格三个层面。近年来,我国不同价格指数表现得都不稳定。以通胀为例,近十年来发生了多轮通膨和通缩,比如2007年的通胀和2009年的通缩。现有研究表明,汇率波动会影响国内价格,但是影响程度对不同国家有一定差异。因此,在人民币持续升值的背景下,研究人民币升值对中国国内价格的影响,无疑具有重要的现实含义。尽管国际上对汇率影响一国价格进行了较深入的研究,但是国际学者关注的问题可能不是中国最应关注的。综观国内研究,目前还缺乏一个关于汇率对国内不同层面价格的较全面系统的研究,而这即是本文研究的基本动机。从理论上看,本文全面分析了汇率对国内价格传递的理论和模型,从中挑选重点领域进行深入研究。理论表明,汇率可对一国国内不同层面的价格产生影响。汇率波动首先是对进口价格产生影响,然后汇率变化将传递至国内各类商品的价格,形成对国内总物价的影响。金融危机之后,资产价格受到更多重视(物价不包含资产价格)。国际经验表明,资产价格往往会随汇率变化而波动。综上,本文挑选的汇率对国内价格影响的三个角度是：国内进口价格、国内总物价、国内资产价格。既有研究对上述问题还存在一定的争议,有些结论还需提供更多的证据予以支撑。从实证应用上看,本文将根据具体的研究问题,灵活运用因子增广的向量自回归(FAVAR)模型、不可观测成分(UC)模型等较前沿的计量方法和向量自回归(VAR)模型、自回归分布滞后(ADL)模型等传统方法,以期能够得到具有一定创新性的研究结论。尽管追求复杂计量技术不是本文的目的,但是在保证计量模型和经济思想适用性的基础上,更前沿的计量方法可以研究更复杂的问题、得到更准确的结论。本文的创新主要体现在数据的使用、模型方法、研究的视角、研究的结论等四方面,具体的研究结论及其创新含义可以归纳如下：第一,本文利用中美制造业进出口数据,研究人民币升值对国内进口价格和分行业进口价格的传递效应及其差异性。本文收集了多达1000多种的中美制造业对外贸易品的原始数据,计算相应的进口价格指数。基于这一数据进行估计的结果显示,首先,人民币升值对中国从美国进口制造业产品价格的传递系数是0.66。尽管汇率传递是不完全的,但是也能有效降低中国进口商购买美国制造业产品的价格。其次,不同子行业进口价格的传递效应具有显著差异。中国从美国进口纺织类的汇率传递系数为0.95,而电力机械设备的汇率传递系数是0.47。由此说明,美国不同行业的出口商在中国市场上的定价能力也不同。最后,人民币升值对进口价格和对出口价格的传递效应有一定差异。中国向美国出口制造业产品价格的传递系数为0.53,低于进口价格的传递系数。尤其是纺织类产品,出口传递系数更低。第二,本文基于单方程ADL模型和高维模型FAVAR模型,多方法、多角度地研究了人民币升值对国内不同通胀指数和分类指数的传递效应。在FAVAR模型中,本文构建了涵盖82个宏观经济变量的信息集。本文的结果显示,人民币升值对CPI的抑制作用先加强再逐步减弱,人民币升值对CPI的长期传递系数为0.22。其次,人民币升值对CPI和PPI的传递效应明显有差异,人民币升值对PPI的传递效应程度强于对CPI的传递效应。可能的原因是,人民币升值首先影响进口商品价格,然后传导至PPI,最后才是CPI,在中间过程中传递效应可能存在消减。最后,人民币升值对CPI分类价格的影响程度有一定规律性。对食品价格的传递效应最强,对居住价格的传递效应次之。人民币升值对CPI分类价格的影响进程也存在一定差异。第三,本文基于UC模型和VAR模型研究了人民币升值和股票市场价格之间的关系和时变性特征,以及不同行业汇率传递效应的异质性。UC模型的结果显示,人民币汇率和股票市场价格的周期成分在2008年之前和之后呈现相反的关系。2008年之前是人民币升值伴随股市上涨,2008年之后是人民币升值伴随股市下跌。由此说明,人民币汇率和股票市场价格的关系在2008年时发生机制改变。其次,人民币升值对股票市场价格的传递程度表现出增强的趋势。全样本期内,对上证综指波动的解释比例为1.13%；2005-2008年,对上证综指波动的解释比例是1.1%；而2009-2013年期间,这一比例趋近2.5%。最后,人民币升值对不同行业股票指数的影响程度存在差异性。人民币升值影响最大的是能源行业和材料行业,影响最小的是电信服务行业、日常消费行业、信息技术行业和医疗保健行业。第四,本文总结汇率波动和国内进口价格、通胀、资产价格的经验事实,从中归纳了一些规律。从日本和德国的货币升值经验看,日元的大幅升值导致日本出现了严重的通胀和泡沫。与之相比,德国马克的升值过程对人民币汇率改革提供了有益启示,他们采取主动渐进式改革方式,对国内经济没有造成较大的冲击。所以,人民币兑美元汇率应采用渐进式升值策略。一方面可降低外部压力,另一方面可避免国内经济的大幅波动。当宏观经济环境稳定时,应适度加快人民币升值的节奏；宏观经济环境受到冲击时,应适度放缓人民币升值的节奏。根据人民币升值对国内价格水平传递效应的实证研究结果,本文提供以下几方面政策建议：其一,自主控制人民币升值,避免人民币大幅升值。尽管本文的实证结论认为,人民币升值能够一定程度抑制国内通胀压力。但是日本和德国的正反面经验表明,大幅升值不利于国内宏观经济稳定。如果人民币升值过快,将会严重影响中国的出口企业,打击中国的实体经济,进而引起国际热钱大量流出。上世纪90年代的日本是经典的例子。其二,政策制定需要考虑人民币汇率传递因素。尽管对国内不同价格的传递效应有一定差异,但是总的来看,人民币升值对国内各个层面的价格均有一定影响。所以,我国必须加大对汇率传递效应的研究和测算,尽早将汇率传递效应纳入政策制定的框架之中。其三,要细化分析汇率传递效应的差异性。从本文的研究看,人民币汇率对进口价格和对出口价格的传递效应不同,对不同行业的传递效应不同,对不同通胀指数和分类指数的传递效应不同,对不同行业股市指数的传递效应也不同。这都说明,在分析人民币升值对国内具体价格的影响时,不能一概而论。从调控的角度看,对汇率传递的调控要有一定针对性。
[Abstract]:In 2005, the people's Bank of Chinese announced the introduction of a managed floating exchange rate system since the RMB has appreciated more than 30%. from the current domestic and international background, our country still has huge foreign exchange reserves and large trade surplus countries for their own purposes, blame their economic problems in the value of the renminbi after the financial crisis in the foreseeable time. In the yuan, still faces no small pressure on the appreciation of RMB appreciation. In this context, how to influence the domestic important macroeconomic variables, especially domestic prices directly affect, deserves special attention. From the existing study, influence of RMB appreciation on domestic prices can be divided into the domestic price of imports, domestic inflation (total price) three, level of domestic asset prices. In recent years, China's different price index have unstable performance. With inflation as an example, during the past ten years many rounds of inflation and deflation, for example In 2007 2009 the inflation and deflation. The existing research shows that exchange rate fluctuations will affect the domestic price, but the degree of influence of different countries are different. Therefore, in the continued appreciation of the RMB under the background of research on the impact of RMB appreciation on domestic prices Chinese, has important realistic meaning. Although the international influence on the exchange rate our price is studied, but the international scholars concern may not be Chinese should be most concerned about. In domestic research, there is a lack of research on a different level of exchange rate on domestic prices over the whole surface of the system, which is the basic motivation of this research.
In theory, this paper makes a comprehensive analysis of the exchange rate on the domestic price transmission theory and model, select the key areas for further research. The theory shows that the exchange rate can affect the price of different levels of domestic country. First is the exchange rate fluctuations on the impact of import prices, and exchange rate changes will be transferred to domestic goods the price formation, the impact on total domestic prices. After the financial crisis, asset prices are more attention (the price does not contain the asset price). International experience shows that asset prices tend to fluctuate with changes in the exchange rate. In conclusion, this paper selected the exchange rate on the three aspects of domestic price impact is: domestic prices of imports, domestic prices and domestic asset prices. The existing research there are still some controversy on the above problems, some conclusions need to provide more evidence to support. From the empirical application, this paper will be based on Specific research questions, flexible use of vector autoregressive augmented factor (FAVAR) model, the unobserved components (UC) measurement method and model of advanced vector autoregressive (VAR) model, autoregressive distributed lag (ADL) model and other traditional methods, in order to get the conclusion of the innovative although the pursuit of complex measurement technology. The purpose of this paper is not, but in the foundation to ensure the measurement model and the applicability of the economic thought, method of measurement frontier can study more complex problems, more accurate conclusions. This innovation is mainly reflected in the use of data, model, research perspective, research four conclusion, the specific conclusions of the study and the meaning of innovation can be summarized as follows:
First, the US manufacturing the import and export data, the appreciation of RMB on the domestic price of imported and import price of industry transfer effect and difference of the original data. US manufacturing this collection of as many as 1000 kinds of foreign trade goods, calculate the corresponding import price index. The data based on the estimated results show that first of all, the appreciation of the renminbi transfer coefficient of the prices of manufactured goods to Chinese imported from the United States is 0.66. although the exchange rate pass is not complete, but also can effectively reduce the China importers to buy U.S. manufacturing product prices. Secondly, the transfer effect of import prices in different sub sectors has significant differences. Chinese textile imports from the United States exchange rate pass the coefficient is 0.95, and the power equipment exchange rate transfer coefficient is 0.47.. This indicates that U.S. exporters in different industries China on the market The pricing capacity is also different. Finally, the appreciation of the RMB on import price and there are some differences on the transfer effect of the export price. The transfer coefficient of China exports to the U.S. manufacturing price is 0.53, lower than the transfer coefficient of import prices. Especially the textile products export, transfer coefficient is lower.
Second, the single equation ADL model and FAVAR model based on high dimension, multi method, multi angle study on the transmission effect of RMB appreciation on domestic inflation index and classification index. In the FAVAR model, this paper constructed 82 macroeconomic variables information set. The results show that the RMB revaluation the role of CPI to strengthen gradually weakened, long-term transfer coefficient of CPI for 0.22. followed by RMB appreciation, RMB appreciation has significantly effect on CPI and PPI transfer, RMB appreciation transfer effect of PPI on the degree of CPI transfer effect. The possible reason is that the RMB appreciation first affects the price of imported goods. Then transfer to PPI, and finally CPI, transfer effect may exist in the middle cut process. Finally, the appreciation of the renminbi has certain regularity on the degree of influence of CPI classification on food prices prices. The transfer effect is the strongest, and the transfer effect to the residential price is the second. The effect of RMB appreciation on the CPI classification price is also different.
Third, the UC model and VAR model based on the study of the relationship between the characteristics and variability of RMB appreciation and the stock market price, and the heterogeneity of the.UC model in different sectors of the exchange rate pass through effect display of the periodic component of the RMB exchange rate and stock market prices in 2008 before and after showing the opposite relationship between.2008 years before the appreciation of the Renminbi with the stock market rose after 2008 is RMB appreciation with stock prices. Therefore, the relationship between RMB exchange rate and stock market price in 2008 when the mechanism change. Secondly, the Renminbi revaluation transfer degree of the stock market price showed increasing trend. The whole sample period, the SSE Composite index fluctuation ratio was 1.13%; 2005-2008, the Shanghai composite index fluctuation ratio is 1.1%; and during the period of 2009-2013, this ratio reaching 2.5%. finally, the yuan rise There are differences in the degree of influence on the stock index of different industries. The most influential factor is the energy industry and material industry, and the least affected ones are the telecommunication service industry, the daily consumption industry, the information technology industry and the healthcare industry.
Fourth, this paper summarizes the fluctuation of exchange rate and domestic import prices, inflation, asset prices from empirical facts, summarizes some rules from Japan and Germany. The currency appreciation experience, a sharp appreciation of the yen in Japan appeared serious inflation and bubbles. Compared with Germany's Mark appreciation process provides beneficial enlightenment on the reform of the RMB exchange rate, they take the initiative to gradual reform, did not cause a greater impact on the domestic economy. So, the RMB exchange rate against the dollar should adopt a gradual appreciation strategy. On the one hand can reduce the external pressure, on the other hand can avoid sharp fluctuations in the domestic economy. When a stable macroeconomic environment, should be appropriate to speed up RMB the pace of appreciation; macroeconomic impact to the environment, should be the rhythm of a modest slowdown in RMB appreciation.
According to the results of empirical research of RMB appreciation on domestic price transfer effect, provide the following policy suggestions: first, autonomous control of the appreciation of the renminbi, to avoid the sharp appreciation of the RMB. Although the empirical conclusions of this paper believes that the RMB appreciation can be a certain degree of inhibition of domestic inflation. But Japan and Germany both positive and negative experience shows that a the appreciation is not conducive to domestic macroeconomic stability. If the rapid appreciation of the renminbi, will seriously affect the China export enterprises, China against the real economy, which caused large amounts of hot money outflows. The last century Japan in 90s is the classic example. Secondly, policy makers need to consider the factors of the RMB exchange rate pass. Although there are some differences on the domestic transfer the effect of different price but overall, the appreciation of the RMB on the domestic price level all has certain influence. In our country, must strengthen the research and calculation on the effect of exchange rate pass as soon as possible, will pass through effect of exchange rate policy into the framework. Third, the difference to detailed analysis of the exchange rate pass through effect. From this research, the RMB exchange rate on import price and export price transfer effect of different, different pass effect on different industries the transfer effect of different inflation index and the index of different transfer effect in different industries stock market index is different. This shows that, in the analysis of the impact of RMB appreciation on domestic prices of specific, can not be generalized. From the perspective of regulation, regulation of exchange rate pass should be targeted.

【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.6;F752.61;F822.5;F832.51

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