通货膨胀预期与通货膨胀率对汇率的影响研究

发布时间：2018-07-12 21:45

本文选题：通货膨胀预期 + 汇率　；参考：《中国科学技术大学》2017年硕士论文

【摘要】：通货膨胀预期与通货膨胀率不同的地方在于,通货膨胀预期是一种非客观存在的公众对通货膨胀率的心理预期值。作为心理预期数据由此带来的不可观测性使得通货膨胀预期的形成过程有四种假说,本文比较了四种假说的预期形成机理,并选择了理性预期假说作为预测通货膨胀预期数据的基础。状态空间模型则以理性预期预期假说为基础,本文在其基础上得出了我国的通货膨胀预期数据。随着全球经济环境和各国货币政策分化的加剧,人民币汇率的波动骤然加剧,并且由以前的单边走势转变为双向波动,汇率走势的不可预测性增加了我国实体经济稳定发展的风险。值得注意的是,对于开放经济体而言,无论是在新型的通货膨胀目标制下还是在传统的货币供应量中介目标制下,物价稳定的目标都很难与汇率稳定的目标相协调。因为在货币供应量作为中介目标的货币政策框架下,物价水平的调控依靠的是货币供应量,且购买力平价理论证实了,现行纸币流通环境下,通货膨胀率可以通过影响货币的价值量而影响汇率。因此,在传统的货币供应量货币政策框架下,货币政策会通过事后调控通货膨胀率进而影响汇率的走势。此外,在通货膨胀目标制下,政策工具和最终目标之间并没有其他的中介目标,货币当局通过管理通货膨胀预期并调整目标通货膨胀率和实际通货膨胀率的差距来管理物价水平,管理物价水平的最终结果是实际通货膨胀率与目标通货膨胀率的持平,而研究表明通货膨胀预期的调整同样影响汇率的变动,也即通胀目标制下货币当局事前管理通货膨胀预期同样会引起汇率波动。考虑到两种政策框架下汇率的稳定与物价的稳定的协调性问题并没有解决,因此,本文在"物价稳定与汇率相对稳定"双目标下,通过构建向量自回归模型实证研究并比较了我国的通货膨胀率和通货膨胀预期的变动带来的人民币汇率波动效应。结果表明,通货膨胀预期变动带来的汇率波动远远小于通货膨胀率变动带来的汇率波动。因此,从维护物价稳定和汇率相对稳定的角度,以通货膨胀预期为目标的通胀目标制货币政策框架要优于货币供应量为中介目标的货币政策框架。
[Abstract]:The difference between inflation expectation and inflation rate lies in the fact that inflation expectation is a kind of non-objective public psychological expectation of inflation rate. As a result of the unobservability of psychological expectation data, there are four hypotheses about the formation of inflation expectations. This paper compares the formation mechanism of the four hypotheses. The rational expectation hypothesis is chosen as the basis of predicting inflation expectation data. The state space model is based on the hypothesis of rational expectation, based on which the inflation expectation data of our country are obtained. With the intensification of the global economic environment and the polarization of monetary policies in various countries, the volatility of the RMB exchange rate has suddenly increased, and has changed from a unilateral trend to a two-way fluctuation. The unpredictable trend of exchange rate increases the risk of stable development of our real economy. It is worth noting that, for open economies, whether under the new inflation target system or the traditional money supply intermediary target system, the price stability target is difficult to coordinate with the exchange rate stability target. Because within the framework of monetary policy, where money supply is the intermediate target, the regulation of price levels depends on money supply, and the theory of purchasing power parity confirms that in the current currency circulation environment, Inflation can affect exchange rates by influencing the value of money. Therefore, under the framework of traditional monetary policy of money supply, monetary policy will influence the trend of exchange rate by controlling inflation rate afterwards. In addition, under the inflation targeting system, there is no other intermediate target between the policy instruments and the final target. Monetary authorities manage price levels by managing inflation expectations and adjusting the gap between target and real inflation rates, the ultimate result of which is that the real inflation rate is equal to the target inflation rate. The study shows that the adjustment of inflation expectation also affects the change of exchange rate, that is, under the inflation target system, the monetary authorities manage inflation expectation in advance will also cause exchange rate fluctuations. Considering that the coordination between exchange rate stability and price stability has not been solved under the two policy frameworks, this paper aims at "price stability and relative stability of exchange rate". By constructing a vector autoregressive model, this paper studies and compares the fluctuation effect of RMB exchange rate caused by inflation rate and inflation expectation in China. The results show that the exchange rate fluctuation caused by the change of inflation expectation is much smaller than that caused by the change of inflation rate. Therefore, from the point of view of maintaining price stability and relative stability of exchange rate, the inflation target monetary policy framework with inflation expectation as the target is better than the monetary policy framework with money supply as the intermediate target.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F822.5;F832.6

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