人民币汇率变动对我国物价影响的实证研究

发布时间：2018-01-07 19:01

本文关键词：人民币汇率变动对我国物价影响的实证研究　出处：《哈尔滨工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：布雷顿森林体系崩溃后，固定汇率制逐渐被浮动汇率制所替代，世界主要货币的波动性不断增强，汇率变动对各国经济的影响不断加剧。又因为汇率变动对实体经济的影响主要是通过影响一国物价水平实现的，因此汇率变动对物价的影响成为世界性的研究课题。 2005年我国进行汇率制度改革以来，人民币汇率的波动性增强，，国际上要求人民币升值的呼声不绝于耳，截至2012年6月12日，人民币相对于美元已升值30.77%，相对于欧元升值26.46%，升值幅度明显。然而伴随着人民币汇率的升值我国的CPI却一直居高不下，究竟人民币汇率升值对我国物价的影响如何，人民币汇率升值能不能有效抑制我国物价的上涨，该问题的研究对于中央银行正确预测我国未来物价水平的变化，以便采取适当的货币政策及汇率政策保持物价水平的稳定具有重要的现实意义。本文首先界定了汇率传递的内涵，接着从理论上分析了汇率对物价的传递机制，总结了目前国内外学者关于汇率不完全传递原因的研究成果，为下文的实证研究奠定了理论基础。在实证研究方面，本文首先运用协整检验及向量误差修正模型分析了人民币汇率波动对我国一般价格水平的长期和短期传递效应。从长期来看，人民币名义有效汇率波动对一般价格水平的传递效应为正，但传递效应不显著。从短期来看，人民币名义有效汇率的冲击对进口价格指数、企业商品价格指数和消费者价格指数的影响都是负向的。接下来本文运用递归最小二乘法研究了人民币汇率传递效果的动态趋势，发现人民币名义有效汇率对消费者价格的传递效果在整个研究期间内都较低，并且在大部分研究期间内传递效果在0.2附近波动，并且有缓慢上升的趋势。后来又研究了人民币汇率传递效果的影响因素，得出汇率波动率及经济规模是影响我国汇率传递效果的主要因素的结论。最后本文从价格传递路径角度对实证结果进行了分析并提出了相关政策建议。
[Abstract]:After the collapse of the Bretton Woods system, the fixed exchange rate system was gradually replaced by the floating exchange rate system, and the volatility of the world's main currencies increased. The impact of exchange rate changes on the economy of various countries is increasing. Also, the impact of exchange rate changes on the real economy is mainly realized by influencing the price level of a country. Therefore, the effect of exchange rate changes on prices has become a worldwide research topic. Since the exchange rate system reform in China in 2005, the volatility of RMB exchange rate has increased, and the international demand for RMB appreciation has been heard, until June 12th 2012. The RMB has appreciated 30.77% against the US dollar and 26.46% relative to the euro. However, with the appreciation of the RMB exchange rate, the CPI of our country has been very high. Whether the appreciation of RMB exchange rate can effectively restrain the rise of prices in China, the research of this question has correctly predicted the change of price level in the future for the central bank. In order to adopt appropriate monetary policy and exchange rate policy to maintain the stability of price level has important practical significance. This paper first defines the connotation of exchange rate transmission, then theoretically analyzes the mechanism of exchange rate transfer to prices, and summarizes the current research results of domestic and foreign scholars on the causes of incomplete exchange rate transmission. It lays a theoretical foundation for the empirical research below. In the empirical research, this paper first uses cointegration test and vector error correction model to analyze the long-term and short-term transfer effects of RMB exchange rate fluctuations on the general price level in China. The transfer effect of RMB nominal effective exchange rate fluctuation on general price level is positive, but the transfer effect is not significant. In the short term, the impact of RMB nominal effective exchange rate on import price index. The influence of enterprise commodity price index and consumer price index is negative. Then this paper studies the dynamic trend of RMB exchange rate transfer effect by using recursive least square method. It is found that the transmission effect of RMB nominal effective exchange rate to consumer price is low during the whole study period and fluctuates around 0.2 during most of the study period. And there is a tendency to rise slowly. Later, the influence factors of the transmission effect of RMB exchange rate are studied. It is concluded that exchange rate volatility and economic scale are the main factors that affect the effect of exchange rate transmission in China. Finally, this paper analyzes the empirical results from the point of view of price transfer path and puts forward relevant policy recommendations.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.6;F726

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