人民币汇率波动对中国物价水平的影响研究

发布时间：2018-05-05 21:56

本文选题：人民币汇率 + 物价水平　；参考：《山东大学》2017年硕士论文

【摘要】：2017年政府工作报告提出,要坚持汇率市场化改革方向,保持人民币在全球货币体系中的稳定地位。人民币市场化之路稳步推进。2005年人民币汇率制度改革真正确定了人民币中间价的市场化形成机制。随后,CFETS(中国外汇交易中心)人民币汇率指数发布,人民币加入国际货币基金组织特别提款权(SDR),人民币汇率日间波幅增大,可见人民币汇率的市场化程度逐渐增强。根据汇率对物价影响的理论分析,汇率波动会引起国内物价水平的变化。因此,在人民币汇率市场化的宏观背景下,研究人民币汇率波动对中国国内物价水平的影响具有十分重要的意义。本文共分为五个部分。第一部分简要说明了本文的研究背景与意义、国内外研究现状、研究框架与方法及创新点。第二部分从汇率波动对国内物价水平影响的理论基础、传递的不完全性和非对称性三个方面入手梳理了汇率波动对物价水平影响的理论。汇率波动通过改变贸易品价格、实际工资水平、货币供应量等变量对物价水平产生影响;因市定价理论、沉没成本理论、国际生产分割理论、汇率波动理论、开放程度影响理论等理论是汇率对物价水平不完全传递的理论基础;汇率波动对物价水平的非对称影响的解释主要源于市场份额理论、生产转化理论和约束数量限制理论。第三部分以一价定律为基础充分考虑汇率对物价传递的非对称性,构建了汇率影响物价的非对称性多元统计模型,选取居民消费价格指数(CPI)、人民币名义有效汇率(NEER)、全球商品价格指数(WCPI)、货币供应量M2和工业增加值(G)作为模型的变量。第四部分利用汇率影响物价的非对称性多元统计模型,运用协整分析的方法得出,人民币汇率波动对物价水平的影响是不完全的。从2001年到2016年,人民币汇率波动对国内物价水平有正的影响,影响系数为0.132082。在分阶段分析中,人民币汇率对物价的影响系数从-0.200133变为0.338675,由负值转为正值,且影响程度明显增强。另外,相对于升值,人民币汇率贬值对国内物价水平的影响更大。第五部分为结论和启示,结论有人民币汇率波动对物价的影响是不完全的且影响程度增强、人民币贬值对物价水平的影响大于升值时的影响,并得出坚持人民币汇率市场化改革方向、稳步推动人民币国际化进程、改善国际收支结构等启示。
[Abstract]:The 2017 government work report says it is necessary to stick to the direction of market-oriented exchange rate reform and maintain the yuan's stable position in the global monetary system. The reform of RMB exchange rate regime in 2005 really determined the marketization mechanism of RMB intermediate price. Following the release of the CFETS renminbi exchange rate index and the entry of the renminbi into the International Monetary Fund's Special drawing Rights (SDR), the renminbi exchange rate increased during the day, indicating a gradual increase in the marketization of the renminbi exchange rate. According to the theoretical analysis of the influence of exchange rate on price, the fluctuation of exchange rate will cause the change of domestic price level. Therefore, under the background of RMB exchange rate marketization, it is of great significance to study the impact of RMB exchange rate fluctuation on China's domestic price level. This paper is divided into five parts. The first part briefly describes the research background and significance, domestic and foreign research status, research framework and methods and innovation. The second part combs the theory of the influence of exchange rate fluctuation on the price level from three aspects of the influence of exchange rate fluctuation on domestic price level, the incompleteness and asymmetry of transmission. Exchange rate fluctuation affects the price level by changing the price of trade goods, real wage level, money supply and so on; because of market pricing theory, sunk cost theory, international production division theory, exchange rate fluctuation theory, The theory of open degree influence is the theoretical basis of incomplete transfer of exchange rate to price level, and the asymmetric influence of exchange rate fluctuation on price level is mainly explained by market share theory, production transformation theory and constraint quantity restriction theory. In the third part, on the basis of the law of one price, the asymmetry of exchange rate to price is considered, and a multivariate statistical model of asymmetry of exchange rate affecting price is constructed. The consumer price index (CPI), the nominal effective exchange rate of RMB, the global commodity price index (WCPI), the money supply (M2) and the industrial added value (GV) are selected as the variables of the model. In the fourth part, we use the asymmetric multivariate statistical model of exchange rate to influence prices, and use cointegration analysis to conclude that the effect of RMB exchange rate fluctuation on price level is incomplete. From 2001 to 2016, RMB exchange rate fluctuations had a positive impact on domestic price levels, with a coefficient of 0. 132082. In the phased analysis, the influence coefficient of RMB exchange rate on price changed from -0.200133 to 0.338675, from negative value to positive value, and the influence degree obviously increased. In addition, relative to appreciation, the RMB exchange rate depreciation of domestic price level more impact. The fifth part is the conclusion and enlightenment, the conclusion is that the impact of RMB exchange rate fluctuation on price is incomplete and the influence degree is enhanced, and the impact of RMB depreciation on price level is greater than that on price level when appreciation. And draw the enlightenment of insisting on the reform of RMB exchange rate marketization, steadily promoting the internationalization of RMB, improving the balance of payments structure and so on.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6;F726

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