人民币汇率对国内物价传递效应的实证研究

发布时间：2018-01-16 20:24

本文关键词：人民币汇率对国内物价传递效应的实证研究　出处：《福州大学》2014年硕士论文　论文类型：学位论文

【摘要】：2005年7月,我国进行人民币汇率制度改革,从过去单一钉住美元的汇率制度转为参照一篮子货币的、有管理的浮动汇率制度,市场上形成了强烈的人民币升值预期,国家统计局公布的美元兑人民币汇率已由2005年7月的1美元兑8.11元人民币下降到2013年末的1美元兑6.10元人民币,人民币名义有效汇率升值32.05%,而实际有效汇率升值42.21%。根据“一价定律”等传统的汇率决定理论,一国货币升值会完全传递到国内物价上,使国内物价水平出现下跌。但从2007年以来,除2009年受国际金融危机影响国内物价水平较低外,居民消费物价指数几乎每月都维持在较高水平,使我国出现了人民币升值与国内物价水平高涨并存的局面,有悖于传统理论。因此,越来越多的学者开始关注这种现象并探究人民币汇率传递的有效性问题；此外,也有不少学者从影响汇率传递效应的影响因素入手研究人民币汇率传递效应。基于此,本文首先就人民币汇率对国内物价的传导机制进行理论探讨,分析在不同传导途径中人民币汇率变动对国内物价的影响。然后选取工业品出厂价格指数、居民消费物价指数、国际原油价格、工业增加值、广义货币供应量、人民币名义有效汇率、汇率波动率这七个变量,收集1996年到2013年相关数据,利用ARDL自回归分布滞后模型对居民消费物价指数和工业品出厂价格指数建模,分析人民币汇率对国内物价传递的有效性。此外,针对不同的通货膨胀环境和汇率制度改革前后人民币汇率传递效应进行分析比较,验证通货膨胀环境和汇率制度对汇率传递效应的影响。实证结果表明：本文所选取的七个变量之间存在长期协整关系,说明国内物价水平由多种因素共同决定；同时人民币汇率传递效应是不完全的,其对工业品出厂价格指数的传递效应大于对居民消费物价指数的传递效应；而且通货膨胀环境和汇率制度都会影响人民币汇率传递效应,高通货膨胀环境下比低通货膨胀环境下汇率传递效应更为明显,汇率制度改革后比汇率制度改革前汇率传递效应更为明显。最后,本文根据理论分析和实证分析结果,对合理控制国内物价水平,尝试提出了相关政策建议。
[Abstract]:In July 2005, China carried out the reform of RMB exchange rate system, from a single dollar pegged exchange rate system to a reference to a basket of currencies, a managed floating exchange rate system. Strong expectations of renminbi appreciation have emerged in the market. The National Bureau of Statistics reported that the dollar's exchange rate against the renminbi had fallen from 8.11 yuan on July 2005 to 6.10 yuan on end of 2013. The nominal effective exchange rate of RMB appreciation is 32.05, while the actual effective exchange rate appreciation is 42.21.According to the "one price law" and other traditional exchange rate determination theory. The appreciation of a country's currency will completely transfer to the domestic price, which will cause the domestic price level to fall. But since 2007, the domestic price level has been low except that affected by the international financial crisis in 2009. The consumer price index (CPI) of residents remains at a high level almost every month, which makes the appreciation of RMB coexist with the rising of domestic price level, which is contrary to the traditional theory. More and more scholars begin to pay attention to this phenomenon and explore the validity of RMB exchange rate transmission. In addition, there are many scholars from the impact of the exchange rate transfer effect of the factors starting with the RMB exchange rate transfer effect. Based on this, this paper first of all on the transmission mechanism of the RMB exchange rate to domestic prices are discussed theoretically. This paper analyzes the impact of RMB exchange rate change on domestic prices in different transmission channels. Then select industrial product ex-factory price index, consumer price index, international crude oil price, industrial value added, broad money supply. The seven variables of nominal effective exchange rate and exchange rate volatility of RMB are collected from 1996 to 2013. This paper uses ARDL autoregressive distribution lag model to model the consumer price index (CPI) and the ex-factory price index of industrial products to analyze the effectiveness of RMB exchange rate on domestic price transmission. According to the different inflation environment and exchange rate system before and after the reform of the exchange rate transfer effect of the RMB is analyzed and compared. The empirical results show that there is a long-term cointegration relationship between the seven variables selected in this paper, which shows that the domestic price level is determined by a variety of factors; At the same time, the transfer effect of RMB exchange rate is incomplete, and the transfer effect of RMB to the ex-factory price index of industrial products is greater than that to the consumer price index. And the inflation environment and exchange rate system will affect the exchange rate transfer effect of RMB, high inflation environment than the low inflation environment exchange rate transfer effect is more obvious. The transfer effect of exchange rate after the reform of exchange rate regime is more obvious than that before the reform of exchange rate regime. Finally, according to the results of theoretical analysis and empirical analysis, this paper tries to put forward some relevant policy suggestions for the reasonable control of domestic price level.
【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F726

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