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人民币汇率传递效应及其影响因素研究

发布时间:2018-11-24 07:53
【摘要】:汇率和国内价格水平,分别作为一国货币的对外价值和对内价值,,是一国经济体系中重要的两个价格指标。根据国际经济学一般理论,汇率和国内价格水平存在非常密切的正相关关系,当一国货币的对外价值上升时其对内价值也应该上升,即汇率升值时,国内物价水平下降。然而,自2005年7月汇率制度改革以来,伴随着人民币汇率的升值,国内物价水平并没有出现明显下降,反而在2011年出现高通货膨胀。本文从人民币汇率传递效应及其影响因素的角度对这种现象进行解释。 本文采用规范分析和实证研究相结合的方法,从规范角度对汇率传递效应的理论基础及其影响因素进行介绍,并利用我国汇改以来的季度数据对人民币汇率变动对CPI的影响进行实证研究,建立VAR模型和状态空间模型估计人民币汇率传递效应的大小、变化趋势和影响因素。本文还采用了定性分析和定量分析相结合的研究方法,对汇改以来人民币汇率和CPI变动情况进行定性分析,并利用ARCH模型对人民币汇率的波动特性进行分析。 在采用上述方法的基础上,本文首先在第一章规范介绍了汇率传递的理论基础,包括反映物价对汇率影响关系的一价定律、汇率传递路径和反映汇率对物价影响关系的因市定价理论。在第二章对汇改以来人民币汇率和CPI的变动情况进行定性和定量分析。汇改以来,人民币汇率不断升值,汇率波动浮动有所增大且呈现双向波动趋势;国内物价水平出现两次通胀现象,且表现出明显的输入性特征;人民币汇率升值对抑制国内通胀作用有限。 接下来第三章,本文首先通过建立VAR模型利用2005年9月至2013年12月的季度数据对人民币汇率变化与CPI的关系进行实证研究,结果表明人民币汇率变化是CPI变动的格兰杰原因,CPI与人民币名义有效汇率之间存在长期均衡关系,误差修正模型结果表明当CPI偏离了长期均衡水平时,其具有自动收敛的自我修正机制。在此基础上,通过建立人民币汇率传递效应的状态空间模型,对人民币汇率传递效应的变化趋势进行估计,结果表明人民币汇率传递效应在样本期间呈现上升趋势。第四章对人民币汇率传递效应的影响因素进行规范和实证分析,以对上述研究结论进行解释。本文的创新之处即将投资开放度纳入模型,检验资本账户开放对人民币汇率传递效应的影响。实证结果表明,汇率波动率、宏观经济稳定性和对外开放度都是影响人民币汇率传递效应的重要因素。 通过分析,本文得出以下主要结论,人民币升值不仅不能抑制国内通货膨胀,反而会带来CPI的上涨,人民币名义有效汇率每变动1%,将带动CPI变动0.2249%,人民币汇率传递效应呈现增大趋势,在诸多影响因素中,反映资本开放度的投资对外开放度指标对人民币汇率传递效应的影响最大。 基于以上研究结果,本文最后提出了具体的政策建议。
[Abstract]:Exchange rate and domestic price level, as the external value and internal value of a country's currency, are two important price indicators in a country's economic system. According to the general theory of international economics, there is a very close positive correlation between the exchange rate and the domestic price level. When the external value of a country's currency rises, its internal value should also rise, that is, when the exchange rate appreciates, the domestic price level drops. However, since the exchange rate system reform in July 2005, with the appreciation of the RMB exchange rate, the domestic price level has not decreased significantly, but in 2011 there was high inflation. This paper explains this phenomenon from the point of view of RMB exchange rate transfer effect and its influencing factors. In this paper, the theoretical basis of exchange rate transfer effect and its influencing factors are introduced from the normative point of view by combining normative analysis with empirical research. Using the quarterly data since China's exchange rate reform, this paper makes an empirical study on the impact of RMB exchange rate changes on CPI, and establishes VAR model and state-space model to estimate the magnitude, trend and influencing factors of RMB exchange rate transfer effect. This paper also adopts qualitative analysis and quantitative analysis to analyze the changes of RMB exchange rate and CPI since the exchange rate reform, and uses ARCH model to analyze the fluctuation characteristics of RMB exchange rate. On the basis of the above methods, the first chapter introduces the theoretical basis of exchange rate transfer, including the one-price law, which reflects the influence of price on the exchange rate. Exchange rate transfer path and market pricing theory reflecting the influence of exchange rate on prices. In the second chapter, the change of RMB exchange rate and CPI is analyzed qualitatively and quantitatively. Since the exchange rate reform, the RMB exchange rate has continuously appreciated, the fluctuation of exchange rate has increased and the trend of two-way fluctuation has been shown, the domestic price level has been inflated twice, and has shown obvious input characteristics. The appreciation of the RMB exchange rate has limited effect on curbing domestic inflation. In the third chapter, this paper first makes an empirical study on the relationship between RMB exchange rate and CPI by establishing VAR model from September 2005 to December 2013. The results show that the change of RMB exchange rate is the Granger cause of CPI change. There is a long-term equilibrium relationship between CPI and RMB nominal effective exchange rate. The result of error correction model shows that when CPI deviates from the long-term equilibrium level, it has a self-correction mechanism of automatic convergence. On this basis, by establishing the state space model of RMB exchange rate transfer effect, the change trend of RMB exchange rate transfer effect is estimated. The result shows that RMB exchange rate transfer effect shows an upward trend during the sample period. The fourth chapter normalizes and empirically analyzes the influencing factors of RMB exchange rate transfer effect to explain the above conclusions. The innovation of this paper is to introduce the investment openness into the model to test the effect of capital account opening on RMB exchange rate transmission. The empirical results show that the exchange rate volatility, macroeconomic stability and the degree of opening to the outside world are all important factors affecting the exchange rate transfer effect of RMB. Through analysis, this paper draws the following main conclusions: RMB appreciation not only can not restrain domestic inflation, but will bring about the rise of CPI. Each change of nominal effective exchange rate of RMB will lead to 0.2249 change of CPI. The transfer effect of RMB exchange rate shows an increasing trend. Among the many influencing factors, the degree of investment openness that reflects the degree of capital openness has the greatest influence on the transmission effect of RMB exchange rate. Based on the above research results, this paper finally put forward specific policy recommendations.
【学位授予单位】:中国海洋大学
【学位级别】:硕士
【学位授予年份】:2014
【分类号】:F832.6

【参考文献】

相关期刊论文 前4条

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2 曹伟;倪克勤;;人民币汇率变动的不完全传递——基于非对称性视角的研究[J];数量经济技术经济研究;2010年07期

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