人民币汇率形成机制改革对人民币货币需求总量的影响研究

发布时间：2018-06-24 16:52

本文选题：人民币 + 货币需求总量　；参考：《山东大学》2016年硕士论文

【摘要】：随着中国在21世纪初成为全世界第二大经济体并在2014年超过美国成为全球第一大贸易国,成为了推动全球经济增长,2008年的全球金融危机之后,中国也已经取代美国成为了推动全球经济重新走上复苏之路的主要经济力量。2005年7月21日,中国人民银行正式对外宣布对人民币汇率形成机制进行改革和调整,建立“以市场供求为基础、参考一篮子货币进行调节、有管理的”浮动汇率制度,新的人民币汇率形成机制标志着人民币汇率的形成真正开始走向透明化、市场化。通过研究分析国际金融体系的历史沿革及现状、全球范围内汇率制度的安排、国内外对货币需求函数的研究成果,为本文对1994年至2014年期间内的人民币货币需求函数的相关研究奠定了理论与实证基础。本文深入分析了1994至2014年之间影响人民币货币需求函数／总量的影响因素,将2005年7月人民币汇率形成机制改革的这一重大历史事件作为研究分析的核心时间节点,通过建立并论证人民币汇率形成机制改革之前(1995年-2005年7月)的人民币货币需求函数,本研究估算了人民币汇率形成机制改革之后的人民币货币需求的总量的估计值,利用了中国人民银行公布的人民币供给总量的数据,估算了人民币汇率形成机制改革催生的人民币货币需求的实际值与估计值之间的缺口值,用以研究人民币汇率形成机制改革对中国的人民币货币需求的影响,发掘人民币汇率形成机制改革的重大历史意义。本文将中国的国内生产总值(GDP)、实际利率(r)、实际有效汇率(ε)、城镇人口比例(X)作为解释变量,利用1995年至2005年第三季度的数据构建了1995年-2005年第二季度的人民币货币需求函数的计量模型：Ln(M0 t /(1+CPIt))=α1Ln(GDP/1+CPlt)+α2r1+α3ε/(1+CPIt)+α4X+αθ,利用最小二乘法、协整检验、单位根检验、断点检验、残差累积和检验等计量技术对计量模型进行了验证,证明了计量模型中的解释变量与被解释变量之间在1995年至2005年第三季度之间具备长期的稳定性,计量模型的检验结果显示出模型符合预期。本文将2005年第三季度-2014年第四季度的数据代入前文所述的估算出来的1995年至2005年第三季度的人民币货币需求函数,估算出人民币汇率形成机制改革之后的人民币货币需求函数的估计值,显示实际值高于估计值,实际值与估计值之间的缺口值随着时间推移增长,验证了人民币汇率形成机制改革后人民币货币需求总量有所放大,研究结果符合预期。本文的研究显示2005年7月进行的人民币汇率形成机制改革对人民币货币需求总量的影响为正效应,可以推动人民币国际化的进程向前发展。本文最后依据人民币汇率形成机制改革的效应提出了相应的政策应对建议,明确提出人民币汇率形成机制改革应该继续向前推进。
[Abstract]:As China became the world's second-largest economy at the beginning of the 21st century and overtook the United States as the world's largest trading nation in 2014, it became the driving force behind global economic growth, following the 2008 global financial crisis. China has also replaced the United States as the main economic force in pushing the global economy back on the road to recovery. On July 21, 2005, the people's Bank of China officially announced the reform and adjustment of the RMB exchange rate formation mechanism. The establishment of a floating exchange rate system based on market supply and demand, with reference to a basket of currencies, and a managed floating exchange rate system, indicates that the formation of RMB exchange rate has really begun to become transparent and market-oriented. Through the research and analysis of the history and current situation of the international financial system, the arrangement of the exchange rate system in the global scope, and the research results of the monetary demand function at home and abroad, It lays a theoretical and empirical foundation for the study of RMB currency demand function from 1994 to 2014. This paper deeply analyzes the influence factors of RMB demand function / total amount from 1994 to 2014, taking the important historical event of RMB exchange rate formation mechanism reform in July 2005 as the core time node of the research and analysis. By establishing and demonstrating the RMB currency demand function before the reform of RMB exchange rate formation mechanism (1995-July 2005), this study estimates the total amount of RMB currency demand after the reform of RMB exchange rate formation mechanism. Using the data of the total amount of RMB supply published by the people's Bank of China, the gap between the actual value of RMB monetary demand and the estimated value of the RMB currency demand caused by the reform of the RMB exchange rate formation mechanism is estimated. It is used to study the influence of RMB exchange rate formation mechanism reform on China's RMB currency demand and to explore the great historical significance of RMB exchange rate formation mechanism reform. This paper takes China's gross domestic product (GDP), real interest rate (r), real effective exchange rate (蔚) and urban population ratio (X) as explanatory variables. Based on the data from 1995 to the third quarter of 2005, the measurement model of RMB currency demand function: Ln (M0 t / (1CPIt) = 伪 1Ln (GDPP / 1CPlt) 伪 2r1 伪 3 蔚 / (1CPIt) 伪 4X 伪胃 is constructed. The least square method, cointegration test, unit root test, breakpoint test are used. The econometric models are verified by residual accumulation and testing techniques. It is proved that there is a long-term stability between the explanatory variables and the explained variables in the metrological model between 1995 and the third quarter of 2005. The test results of the econometric model show that the model meets the expectation. This paper puts the data from the third quarter of 2005 to the fourth quarter of 2014 into the estimated RMB demand function from 1995 to the third quarter of 2005. The estimated value of the RMB currency demand function after the reform of the RMB exchange rate formation mechanism shows that the actual value is higher than the estimated value, and the gap between the real value and the estimated value increases over time. It is verified that the total amount of RMB currency demand has been enlarged after the reform of RMB exchange rate formation mechanism, and the research results are in line with expectations. The research in this paper shows that the reform of RMB exchange rate formation mechanism carried out in July 2005 has a positive effect on the total amount of RMB currency demand, which can promote the process of RMB internationalization. Finally, according to the effect of the reform of RMB exchange rate formation mechanism, this paper puts forward corresponding policy suggestions and points out that the reform of RMB exchange rate formation mechanism should continue to advance.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.6

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