预期到与未预期到的汇率冲击对宏观经济的影响机制研究
发布时间：2018-10-17 09:37
【摘要】：在世界贸易不平衡的经济背景下,我国面临着汇率制度的迫切改革的需要,经济的发展也急需人民币汇率制度的市场化,同时我国面临着西方资本主义国家强烈的升值压力；另一方面,牙买加体系以来,随着外汇市场的全球化,来自于外界的汇率冲击越来越多,且汇率影响逐渐深入到国内经济的各个领域。本文通过在国内外学者关于汇率波动研究的基础上,构建了开放经济条件下的DSGE模型,研究了汇率的形成机制,并将汇率冲击扩展为预期到的与未预期到的冲击,同时结合我国实际情况对模型参数进行了设定。最终通过脉冲响应的分析方法研究了预期到的与未预期到的汇率冲击的影响,并对比了经济变量不同汇率制度及开放条件应对汇率冲击时的反应程度。实证研究表明：当市场存在价格粘性及市场未及时出清时,预期到的汇率冲击与未预期到的汇率冲击均会经济产生影响。无论是自由的浮动汇率制度还是有管理的浮动汇率制度下,或者开放程度不一的情况下,预期到的汇率冲击总是产生较小的经济波动,但是两者造成经济波动的周期需根据具体情况而言。在外汇市场上,更开放的经济制度或者更自由的汇率制度下,市场的外在冲击将对本国经济造成较大的波动,同时说明我国目前采用的有管理的浮动汇率制度是合理的,是符合目前中国的经济国情的。当一国进行对外开放及汇率市场化改革时,不合理的汇改造成的影响要大于过度的开放,即改革时,首先加大实体经济的国际化接轨的方法更加稳健。
[Abstract]:Under the economic background of unbalanced world trade, China is faced with the urgent need of the reform of the exchange rate system, the marketization of the RMB exchange rate system in the development of the economy, and the intense pressure of appreciation of the western capitalist countries at the same time. On the other hand, with the globalization of the foreign exchange market since Jamaica's system, more and more foreign exchange rate shocks come from the outside world, and the exchange rate impact has gradually penetrated into various fields of domestic economy. On the basis of the research on exchange rate fluctuation, this paper constructs the DSGE model in open economy, studies the mechanism of exchange rate formation, and extends the exchange rate shock to expected and unexpected shocks. At the same time, the model parameters are set according to the actual situation in our country. Finally, the effects of expected and unexpected exchange rate shocks are studied by the method of impulse response, and the response degree of different exchange rate regimes and open conditions of economic variables to exchange rate shocks is compared. The empirical study shows that when there is price stickiness in the market and the market is not clear in time, the expected exchange rate shock and the unexpected exchange rate shock will have an impact on the economy. Whether it is a free floating exchange rate system, a managed floating exchange rate regime, or varying degrees of openness, the expected exchange rate shocks always produce smaller economic fluctuations, But the cycles that cause economic fluctuations need to be based on specific circumstances. In the foreign exchange market, under a more open economic system or a freer exchange rate system, the external impact of the market will cause greater fluctuations in the domestic economy. At the same time, it shows that the managed floating exchange rate system currently used in our country is reasonable. Is in line with the current economic conditions of China. When a country is open to the outside world and the exchange rate is market-oriented, the impact of unreasonable exchange rate reform is greater than that of excessive opening, that is, when the reform is carried out, the method of increasing the internationalization of the real economy is more stable.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F124
[Abstract]:Under the economic background of unbalanced world trade, China is faced with the urgent need of the reform of the exchange rate system, the marketization of the RMB exchange rate system in the development of the economy, and the intense pressure of appreciation of the western capitalist countries at the same time. On the other hand, with the globalization of the foreign exchange market since Jamaica's system, more and more foreign exchange rate shocks come from the outside world, and the exchange rate impact has gradually penetrated into various fields of domestic economy. On the basis of the research on exchange rate fluctuation, this paper constructs the DSGE model in open economy, studies the mechanism of exchange rate formation, and extends the exchange rate shock to expected and unexpected shocks. At the same time, the model parameters are set according to the actual situation in our country. Finally, the effects of expected and unexpected exchange rate shocks are studied by the method of impulse response, and the response degree of different exchange rate regimes and open conditions of economic variables to exchange rate shocks is compared. The empirical study shows that when there is price stickiness in the market and the market is not clear in time, the expected exchange rate shock and the unexpected exchange rate shock will have an impact on the economy. Whether it is a free floating exchange rate system, a managed floating exchange rate regime, or varying degrees of openness, the expected exchange rate shocks always produce smaller economic fluctuations, But the cycles that cause economic fluctuations need to be based on specific circumstances. In the foreign exchange market, under a more open economic system or a freer exchange rate system, the external impact of the market will cause greater fluctuations in the domestic economy. At the same time, it shows that the managed floating exchange rate system currently used in our country is reasonable. Is in line with the current economic conditions of China. When a country is open to the outside world and the exchange rate is market-oriented, the impact of unreasonable exchange rate reform is greater than that of excessive opening, that is, when the reform is carried out, the method of increasing the internationalization of the real economy is more stable.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.6;F124
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