原油价格对人民币有效汇率影响及传导路径研究

发布时间：2018-02-13 21:10

本文关键词： 进口原油价格人民币有效汇率传导路径协整分析中介效应　出处：《中国矿业大学》2014年硕士论文　论文类型：学位论文

【摘要】：原油是一种重要的能源资源，被喻为现代工业的“血液”。作为一种不可再生的能源，原油特殊的生产机制和价格形成机制使原油产量以及原油价格水平时常出现较大的波动。作为重要的生产要素，原油价格波动通过影响投入要素的价格，进而增加生产成本以及产成品的价格，最终影响到一国整体的物价水平，给国民经济带来一定的影响。作为全球最大的大宗贸易商品，原油价格波动深刻的影响着不同经济体的贸易活动以及货币政策，对整个世界的经济增长以及经济发展的质量都产生重要的影响。随着中国经济的快速发展，我国原油消费量以及石油对外依存度不断上升，原油价格的剧烈波动对我国宏观经济发展产生的影响也愈加明显。而汇率作为重要的国际经济变量，，在国民经济发展尤其在对外经济中扮演着极其重要的角色，原油价格是否能通过宏观经济渠道进而影响到汇率这一研究具有重要的意义。本文通过定性、定量方法相结合，从石油的特殊属性以及原油价格特征入手，运用协整分析法、中介效应分析法，构建适当的理论模型，对我国进口原油价格对人民币名义有效汇率的影响进行综合全面的分析。首先，本文以汇率的决定理论为基础，从理论上分析了原油价格对汇率的影响性以及原油价格影响汇率的理论传导机制，认为原油价格可以从三条渠道路径对汇率施加影响，分别为国际收支渠道、国内经济的物价渠道以及相对经济增长渠道。其次，在理论分析的基础之上,以2005年7月汇改后的月度数据为研究样本，运用协整分析的方法研究了我国进口原油价格与人民币名义有效汇率之间的关系。结果表明上述两者存在长期的正相关关系，我国进口原油价格每上涨1%，人民币名义有效汇率将随之升值0.45%。再次，结合前文的理论传导机制，分别从三条传导渠道中选取我国出口增长速度、外国直接投资额、国内消费价格指数以及我国工业增加值增长速度四个变量为中间变量，运用调节效应与中介效应的分析方法分别对四个中间变量进行了检验。结果表明这四个中间变量均不是调节变量，而都是中介变量。从中介效应方向上来看，我国出口增长速度与国内消费价格指数发挥的是反向的中介作用，而外国直接投资与我国工业增加值增长速度发挥的是正向的中介作用。从中介效应效果大小上来看，以国内消费价格指数的中介效应最为明显。
[Abstract]:Crude oil is an important energy resource and is regarded as the "blood" of modern industry. The special production mechanism and price formation mechanism of crude oil make the crude oil output and crude oil price level fluctuate frequently. As an important factor of production, the fluctuation of crude oil price affects the price of input elements. And then increase the cost of production and the price of finished products, which will ultimately affect the overall price level of a country and have a certain impact on the national economy. As the largest commodity in the world, Crude oil price fluctuations have a profound impact on the trade activities and monetary policies of different economies, and have an important impact on economic growth and the quality of economic development throughout the world. With the rapid development of China's economy, The consumption of crude oil and the degree of dependence on foreign oil in China have been increasing, and the sharp fluctuation of crude oil price has become more and more obvious to the macroeconomic development of our country. As an important international economic variable, the exchange rate is an important variable in the international economy. It plays an extremely important role in the development of national economy, especially in the foreign economy. The study on whether the crude oil price can influence the exchange rate through macroeconomic channels is of great significance. Through the combination of qualitative and quantitative methods, starting with the special properties of oil and the price characteristics of crude oil, this paper constructs an appropriate theoretical model by using cointegration analysis and intermediary effect analysis. This paper makes a comprehensive and comprehensive analysis of the impact of the import crude oil price on the nominal effective exchange rate of RMB. Firstly, based on the exchange rate decision theory, this paper theoretically analyzes the influence of crude oil price on exchange rate and the theoretical transmission mechanism of crude oil price influencing exchange rate, and concludes that crude oil price can exert influence on exchange rate through three channels. It is the channel of balance of payments, the price channel of domestic economy and the channel of relative economic growth. Secondly, on the basis of theoretical analysis, taking the monthly data after the exchange rate reform in July 2005 as the research sample, The cointegration analysis is used to study the relationship between the price of imported crude oil and the nominal effective exchange rate of RMB. The results show that there is a long-term positive correlation between the two. The nominal effective exchange rate of RMB will rise by 0.45 per cent when the price of imported crude oil rises by 1%. Thirdly, combined with the previous theoretical transmission mechanism, four variables, namely, export growth rate, foreign direct investment, domestic consumer price index and the growth rate of China's industrial added value, are selected as intermediate variables from three transmission channels, respectively. The four intermediate variables are tested by the methods of adjustment effect and intermediary effect respectively. The results show that the four intermediate variables are not adjustment variables, but all intermediate variables. China's export growth rate and domestic consumer price index play a reverse intermediary role, while foreign direct investment and China's industrial value-added growth rate play a positive intermediary role. The intermediary effect of domestic consumer price index is the most obvious.
【学位授予单位】：中国矿业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F764.1;F832.6

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