人民币汇率政策效应的实证检验

发布时间：2018-06-06 01:10

本文选题：汇率政策 + 货币政策　；参考：《吉林大学》2014年博士论文

【摘要】：人民币汇率政策效应机制直接关系到我国宏观经济调控体系的完善，完善宏观调控体系和人民币汇率制度改革是中国经济长河中两个长期的热点问题，随着经济总量的显著提升和宏观经济对外依存度的增强，我国宏观经济调控目标逐步确立为保持经济增长稳定和币值稳定，这既是经济处于调整期的基本保障，又是我国当前及今后时期发展的核心策略。汇率是联结一国经济内部与外部的重要枢纽，人民币汇率政策效应作为货币政策效应的重要组成部分共同促进我国货币政策最终目标的顺利实现。与西方发达国家浮动汇率制下市场化汇率政策不同，人民币汇率政策一直以来被我国央行所控制，根据相关理论，此汇率制度下二者在实现政策目标的过程中不可避免会相互影响、相互制约，因此本文重在分析货币政策与汇率政策同时对国内经济产生影响的情况下，人民币汇率政策效应的具体表现和货币政策对汇率政策经济效应机制的影响情况，以及人民币汇率政策与货币政策的冲突与协调性。货币政策与汇率政策通过各自政策效应预期搭配以实现宏观调控目标，但是这种搭配在我国长久以来汇率制度限制的作用下往往效率一般，宏观经济环境又可能对二者的效应产生影响，因此，本文希望通过对人民币汇率政策效应进行实证检验的方式探寻人民币汇率政策对货币政策效应的影响程度，，以及人民币汇率政策受货币政策的影响程度，以此对人民币汇率政策效应的有效性以及货币政策的独立性进行客观的分析与评价，最后对央行汇率政策以及货币政策的制定给予建设性意见和建议。 “Meade冲突”开启了理论界对汇率政策与货币政策相互关系研究的大门，本文以经典的M-F模型入手，分析了货币当局选择不同汇率政策与资本流动情况下的货币政策有效性，在此基础上以人民币汇率政策实际出发，对模型进行扩展，研究人民币汇率政策下货币政策调控机制。之后，借助四象限模型洞察了Dornbusch模型中商品价格与资产价格变量动态调整的过程，和汇率水平调整的幅度以及利率与汇率联动的特征，并以Redux为样板介绍了NOEM分析政策效应的基本框架。由此对汇率政策和货币政策相互问题从根源到发展都进行了详细的介绍，并针对人民币汇率政策进行了扩展分析。实证部分，首先基于通货膨胀环境变化视角对人民币汇率政策的通货膨胀传递效应进行了实证检验，通过ARDL模型对我国的“Taylor效应”进行了验证，无论是长期还是短期，人民币汇率的CPI传递效应均较低，而且低通胀环境下汇率传递效应显著低于总样本期的传递效应。汇率传导渠道效应检验对通货膨胀环境影响汇率传递效应进行了合理的解释，低通货膨胀环境下直接渠道和货币渠道均受到阻碍；高通货膨胀环境下，直接渠道的传递效应通畅，但是货币渠道的反向作用对传递效应的低效率起到了决定性作用。其次，基于贸易商品定价货币选择视角对人民币汇率政策支出转换效应进行了研究，从出口厂商利润最大化模型入手导出了本章的实证计量模型，以NOEM模型为基础，在前人的思路下对贸易商品定价货币内生性进行了模型分析。通过Wald系数检验和基于时变参数状态空间模型的分析发现，人民币汇率政策的支出转换效应在一定程度上受制于人民币货币政策，但是货币政策对其影响程度有限。因此，要提高人民币汇率政策的支出转换政策效应，需要战略性的将贸易商品的定价货币选择权与人民币货币政策实施情况相互配合，在不使人民币供给波动过大的情况下提高人民币汇率政策的支出转换效应。再次，对人民币汇率—利率联动效应的实证检验，兼论了我国金融状况指数的构建。基于利率平价模型和粘性货币模型在我国的适用性，对人民币汇率—利率联动效应进行了实证检验，在此基础上运用多变量VAR模型脉冲响应分析，对人民币汇率—利率的影响方向及程度和对人民币汇率、利率对其他价格变量的冲击响应进行了更加细致的分析。在此基础上构建了我国的FCI，并分析了其作为央行应对汇率市场冲击和金融市场冲击的重要政策工具的可行性。实证结果表明，人民币汇率—利率联动效应的货币渠道比较通畅，汇率可以通过影响利率水平来对国内经济产生影响，因此我国货币政策利率工具和人民币汇率政策的搭配对整体经济价格的影响是比较显著的。加入真实汇率、真实利率、股票价格和房地产价格的我国FCI，对CPI的解释能力较强，可以作为我国央行应对汇率市场冲击和金融市场冲击的重要政策工具。最后，是基于MS-VAR非对称性模型对人民币汇率政策与货币政策冲突效应实证检验，分析了1994年人民币汇率制度改革至今，人民币汇率政策与货币政策冲突表现形式和原因，发现人民币汇率政策与货币政策的冲突在于对市场流动性的控制上，汇率政策通过外汇储备对流动性进行控制，货币政策通过公开市场操作以冲销汇率政策对流动性的影响，尽可能维持其独立性。在对MS-VAR模型进行简要介绍的基础上，选取MSIH(3)-VAR(2)模型对我国实际情况进行检验，通过模型估算和分区制的脉冲响应分析，根据模型估算结果和分区制脉冲响应图分析人民币汇率政策与货币政策的冲突性与协调性。实证结果表明，高通货膨胀区制下，我国外汇储备的增加会导致市场流动性迅速增加，通货膨胀相对平稳的区制下，虽然外汇储备量的增加导致市场流动性的增加不是特别显著，但是由于通畅的传导机制，物价水平的上升幅度比预期的快；在高通货膨胀区制下外汇储备的上升会制约我国宏观经济的增长，而且此区制下外汇储备的增加会对金融市场造成泡沫化程度增加的危险。人民币汇率的升值会在一定程度上减少外汇储备，央行在制定汇率政策的时候必须对这两者进行权衡。本文在研究人民币汇率政策几个重要效应的文章主线基础上，侧重研究了人民币货币政策对汇率政策效应的影响程度，以及现行汇率政策对货币政策效应的冲击。通过实证分析可以充分了解人民币汇率政策的各种宏观经济效应有效性，以及汇率政策与货币政策相互影响的作用机制，为我国央行今后制定货币政策操作目标和最终目标、人民币汇率政策的调整方向给出了中肯的建议和意见。
[Abstract]:The effect mechanism of the RMB exchange rate policy is directly related to the perfection of our macroeconomic regulation and control system. The improvement of the macroeconomic regulation and control system and the reform of the RMB exchange rate system are two long-term hot issues in the long river of China's economy. With the significant improvement of the economic total and the enhancement of the macro economy, the macroeconomic regulation and control target of our country It is gradually established to maintain the stability of economic growth and the stability of the currency value, which is not only the basic guarantee of the period of economic adjustment, but also the core strategy for the development of China's current and future periods. The exchange rate is an important hub for the internal and external economy of a country, and the effect of the RMB exchange rate policy is promoted together as an important part of the monetary policy effect. The final goal of China's monetary policy is successfully realized. Different from the market-oriented exchange rate policy under the floating exchange rate system in the western developed countries, the RMB exchange rate policy has been controlled by the Central Bank of China. According to the relevant theories, the two parties will inevitably interact and restrict each other in the process of realizing the policy goal. The article focuses on the analysis of the impact of monetary policy and exchange rate policy on domestic economy, the specific performance of the effect of RMB exchange rate policy and the influence of monetary policy on the economic effect mechanism of exchange rate policy, as well as the conflict and coordination of the RMB exchange rate policy and monetary policy.
Monetary policy and exchange rate policy are expected to achieve macro regulation goals through their respective policy effects. But this kind of collocation is often efficient under the effect of China's long term exchange rate system, and the macroeconomic environment may affect the effect of the two. Therefore, this article hopes to carry out the effect of the RMB exchange rate policy. The effect of the RMB exchange rate policy on the monetary policy effect and the influence of the RMB exchange rate policy on the monetary policy are explored, in order to make an objective analysis and evaluation on the effectiveness of the RMB exchange rate policy effect and the independence of the monetary policy. Finally, the exchange rate policy and monetary policy of the central bank are made. Constructive suggestions and suggestions are given.
The "Meade conflict" opens the door to the study of the relationship between the exchange rate policy and the monetary policy in the theoretical circle. This paper, starting with the classic M-F model, analyzes the monetary policy effectiveness of the monetary authorities in choosing different exchange rate policies and capital flows. On this basis, the model is expanded and studied on the basis of the actual situation of RMB exchange rate policy. After studying the regulation mechanism of monetary policy under RMB exchange rate policy, the four quadrant model is used to examine the process of dynamic adjustment of commodity price and asset price in Dornbusch model, the range of exchange rate adjustment and the characteristics of linkage between interest rate and exchange rate, and the basic framework of the policy effect of NOEM analysis is introduced with Redux as a sample. This article gives a detailed introduction to the exchange rate policy and monetary policy problems from the root to the development, and expands the analysis of the RMB exchange rate policy.
In the empirical part, we first empirically test the inflation transfer effect of RMB exchange rate policy based on the perspective of the inflationary environment change, and verify the "Taylor effect" of China through the ARDL model. Both long-term and short-term, the CPI transfer effect of the RMB exchange rate is low and the exchange rate transfer under the low inflation environment. The effect of the exchange rate transmission channel effect is reasonably explained by the effect of the exchange rate channel effect on the exchange rate effect on the inflation environment, the direct channel and the monetary channel are obstructed in the low inflation environment; the transfer effect of direct channel is smooth under the high inflation environment, but the counter of the monetary channel is counter. Direction plays a decisive role in the low efficiency of transfer effect.
Secondly, this paper studies the effect of the exchange rate conversion of RMB exchange rate policy based on the perspective of the currency choice of trade commodity pricing. The empirical measurement model of this chapter is derived from the model of the maximization of the exporters' profit. Based on the NOEM model, the model analysis of the intrinsic property of the trade commodity pricing is carried out under the ideas of the predecessors. Wald The coefficient test and the analysis based on the time-varying parameter state space model find that the conversion effect of the RMB exchange rate policy is subject to the monetary policy of RMB to some extent, but the influence degree of the monetary policy is limited. Therefore, to improve the policy effect of the exchange rate policy of RMB exchange rate, it is necessary to strategically deal with the trade goods. The choice of pricing money and the implementation of the RMB monetary policy are complementary to each other. In the case of not making the RMB supply fluctuating too large, the effect of the exchange rate conversion of RMB exchange rate policy is improved.
Thirdly, the empirical test of the interaction effect of RMB exchange rate and interest rate and the construction of China's financial situation index are also discussed. Based on the applicability of the interest rate parity model and the sticky currency model in our country, the interaction effect of RMB exchange rate and interest rate is empirically tested. On this basis, the multivariable VAR model impulse response analysis is applied to the people. The direction and degree of the influence of the currency exchange rate and interest rate and the impact of the RMB exchange rate and the interest rate on the impact of other price variables are more carefully analyzed. On this basis, the FCI of our country is constructed and the feasibility of its important policy tool as the central bank to deal with the shock of exchange market and the impact of the financial market is analyzed. It is clear that the monetary channel of the interaction effect of RMB exchange rate and interest rate is more smooth, and the exchange rate can affect the domestic economy by affecting the interest rate level. Therefore, the effect of the combination of monetary policy interest rate tools and RMB exchange rate policy on the overall economic price is more significant. China's FCI and real estate prices have strong explanatory power for CPI, which can serve as an important policy tool for our central bank to deal with the impact of the exchange rate market and financial market shocks.
Finally, it is based on the empirical test of the conflict effect between RMB exchange rate policy and monetary policy based on the MS-VAR asymmetric model. It analyses the forms and reasons of the conflict between RMB exchange rate policy and monetary policy in 1994, and finds that the conflict between RMB exchange rate policy and monetary policy lies in the control of market liquidity. On the system, exchange rate policy controls liquidity through foreign exchange reserve. Monetary policy can maintain its independence by selling the exchange rate policy through open market operation to maintain its independence. On the basis of a brief introduction to the MS-VAR model, MSIH (3) -VAR (2) model is selected to test the actual situation in China, and the model is estimated by the model and The impulse response analysis of the zoning system is used to analyze the conflict and coordination between the RMB exchange rate policy and the monetary policy according to the model estimation results and the zoning impulse response diagram. The empirical results show that the increase of China's foreign exchange reserve will lead to the rapid increase in the liquidity of the market and the relatively stable inflation under the system of high inflation. But the increase of foreign exchange reserves leads to the increase of market liquidity is not particularly significant, but because of the smooth transmission mechanism, the price level rises faster than expected; the rise of foreign exchange reserves under the high inflation region will restrict the growth of China's macro-economy, and the increase of foreign exchange reserves under this region will be on the financial market. The appreciation of the RMB exchange rate will reduce the foreign exchange reserves to a certain extent, and the central bank must weigh the two in the formulation of the exchange rate policy.
This paper, based on the main lines of several important effects of RMB exchange rate policy, focuses on the impact of RMB monetary policy on the effect of exchange rate policy and the impact of current exchange rate policy on the effect of monetary policy. Through empirical analysis, we can fully understand the effectiveness of the macroeconomic effects of the exchange rate policy of the people's currency. As well as the interaction mechanism of exchange rate policy and monetary policy, it gives our central bank suggestions and suggestions on the direction and ultimate goal of monetary policy and the adjustment direction of RMB exchange rate policy in the future.
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.6;F224;F822.0

【参考文献】