汇率变化对中韩物价变动的影响

发布时间：2018-03-10 23:43

本文选题：人民币汇率　切入点：韩元汇率　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：1997年外汇危机爆发后,韩国实行了自由浮动汇率制度与物价稳定目标制(Inflati on Targeting System)。1997年末,在刚采取自由浮动汇率制度时,韩元兑美元大幅贬值,这直接影响到韩国国内物价水平,CPI指数大幅上升。在汇率浮动对物价传递效应如此较大的情况下,韩国政府为了稳定物价水平不断完善包括物价稳定目标机制在内的宏观调控政策。结果2008年韩国再次经历金融危机时,尽管韩元兑美元的汇率再次暴涨(韩元贬值),但是与金融危机爆发前相比,外部冲击对国内物价指数水平的传递效应相对减少。当前,中国政府非常重视汇率市场化改革。但中国仍是发展中国家,对外冲击的抵抗能力较低,中国实行自由浮动汇率制度后最担心的是汇率冲击对国内物价指数的影响。而韩国自从1998年以来不断改善宏观调控政策后,韩国的国内消费者价格指数呈现出较稳定的趋势。笔者认为韩国在这方面的经验对中国有参考价值的。为研究汇率变化对国内物价水平的传递效应,本文将利用VAR回归模型,采取的变量为石油价格、货币供应量、韩元兑美元名义汇率、韩国进口价格指数、生产者价格指数、消费者价格指数等六个变量,研究期间分为：1999-2007年与2008-2013年。通过脉冲响应函数与方差分解得知：第一,石油价格、货币供应量、汇率因素的变动大部分受到自已变量的影响,而进口价格、生产者价格、消费者价格因素除了受到自己变量的影响之外,还受到外部因素的影响；第二,金融危机以后,韩元汇率冲击对进口价格指数、生产者价格指数的影响变大,但是汇率冲击对物价的传递效应却减少了。这可能源自于韩国不断完善的宏观调控政策,以及为降低汇率变化对物价传递效应的努力。另外,本文还针对中国人民币汇率变化对物价的影响进行研究,并比较汇率变化对中韩两国国内物价指数不同的传递效应。
[Abstract]:In 1997, after the outbreak of the foreign exchange crisis, South Korea implemented a free floating exchange rate system and a target system for price stability. In end of 1997, when the Korean won first adopted the free floating exchange rate regime, the Korean won depreciated sharply against the US dollar. This directly affects the domestic price level of South Korea and the sharp rise in the CPI. Under such a situation where the exchange rate fluctuations have such a large effect on the transmission of prices, In order to stabilize the price level, the Korean government continuously improved its macro-control policies, including the mechanism of price stability target. As a result, in 2008, when South Korea again experienced the financial crisis, Although the Korean won has once again soared against the dollar (the Korean won has depreciated), external shocks have relatively less transmission effect on domestic price index levels than they were before the financial crisis. The Chinese government attaches great importance to the marketization of the exchange rate. However, China is still a developing country, and its ability to resist external shocks is low. China's biggest concern after the free floating exchange rate regime is the impact of exchange rate shocks on the domestic price index. South Korea has been improving its macroeconomic control policies since 1998. In order to study the transfer effect of exchange rate change on domestic price level, the author will use VAR regression model to study the effect of exchange rate change on domestic price level. The variables adopted are oil price, money supply, Korean won / US dollar nominal exchange rate, Korean import price index, producer price index, consumer price index, etc. The study period is divided into two parts: 1999-2007 and 2008-2013. Through impulse response function and variance decomposition, we know that: first, oil price, money supply, exchange rate factors are mostly affected by their own variables, while import price, producer price, Besides being influenced by their own variables, consumer price factors are also affected by external factors. Second, after the financial crisis, the impact of the Korean won exchange rate shock on the import price index and producer price index has become greater. But the transmission effects of exchange rate shocks on prices have decreased. This may be due to South Korea's ever-improving macro-control policies and efforts to reduce the effect of exchange rate changes on price transmission. This paper also studies the effect of RMB exchange rate change in China on prices, and compares the transfer effect of the exchange rate change on the domestic price index between China and Korea.
【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】：F831.6;F714.1

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