人民币实际有效汇率波动对我国宏观经济影响的分析
发布时间：2018-07-28 14:14
【摘要】：我国的改革开放已经进行了三十多年,对外贸易开放程度日益增强,经济总量跃居全球第二,我国对全球经济的贡献越来越大,其国际影响力也进一步增强。人民币汇率的波动与汇率波动对宏观经济的影响成为国际金融领域研究的热点问题,人民币的汇率水平也然已成为国内外关注的一个核心经济变量。自2005年7月21日,我国启动人民币汇率形成机制改革以来,我国开始实行以市场供求为基础、参考一篮子货币进行有调节、有管理的浮动汇率制度,在此期间人民币对美元的汇价一直保持小幅,平稳,渐进的升值过程。在当前全球经济复苏乏力以及我国经济面临下行压力的背景下,2015年三季度,外汇市场上人民币汇率出现较大幅度的贬值,引起了全球股市和大宗商品价格的大幅下跌,导致了人民币汇率双向波动幅度扩大,汇率弹性增强。人民币汇率的双向波动必然会影响着我国的宏观经济。因此,有必要研究影响汇率波动的因素,以及研究汇率的波动会对我国经济产生什么样的影响,以及衡量影响的程度显得非常重要。本文基于经济学理论和计量经济学方法,使用1997年1月～2015年12月的宏观经济数据,分析人民币汇率对我国主要宏观经济变量的传导机制和传导效应,利用EGARCH模型度量了人民币实际有效汇率的波动率,构建了在开放经济条件下包含人民币实际有效汇率与汇率波动率、进出口、国内外产出、固定资产投资、外商直接投资额、贸易条件、开放度、居民消费、物价水平、货币供给量、利率、外汇储备、财政支出、国际大宗商品价格等变量的小型月度宏观经济联立方程组模型,利用三阶段最小二乘法对模型进行估计,衡量人民币实际有效汇率的波动对我国经济的影响程度。本文的结论如下:(1)当前人民币的实际有效汇率没有出现过度波动,波动幅度仍在央行可容忍的范围内;(2)人民币实际有效汇率的双向波动幅度的增加会抑制我国的进出口;(3)人民币实际有效汇率的升值对我国的进出口贸易的影响满足马歇尔-勒纳条件;(4)人民币实际有效汇率升值会减缓我国产生通货膨胀的压力;(5)国际大宗商品价格的波动对我国宏观经济的影响是显著的。最后,本文的创新之处在于:(1)分析了人民币的实际有效汇率对宏观经济的传导机制和传导效应,建立了汇率波动性的EGARCH模型,通过对EGARCH模型的估计,度量了人民币实际有效汇率的波动率。(2)将汇率的波动率与人民币汇率一起放到联立方程组模型中,建立了开放经济条件下的宏观经济月度联立方程组模型,可以更全面地衡量人民币实际有效汇率波动对我国宏观经济的影响。(3)引入结构性变化的虚拟变量。考察汇改和金融危机冲击前后对我国宏观经济产生的非对称效应。在联立方程组模型中,采用两个虚拟变量分别考虑了国际大宗商品价格对进出口,货币供给对价格水平的非对称效应。(4)考虑了汇率通过国外价格水平变动对我国宏观经济产生影响,选取国际大宗商品价格指数表示国际大宗商品价格,分析大宗商品价格的变动对我国的国际贸易以及国内价格水平的影响,可以更加全面了解国外的价格波动因素对我国宏观经济的影响。
[Abstract]:China's reform and opening up has been carried out for more than thirty years, the openness of foreign trade is increasing, the total economic total is second in the world. Our country has more and more contribution to the global economy and its international influence is further strengthened. The fluctuation of the RMB exchange rate and the impact of exchange rate fluctuations on the macro-economy have become a hot topic in the international financial field. Problem, the exchange rate of RMB has become a core economic variable at home and abroad. Since July 21, 2005, since China started the reform of the RMB exchange rate formation mechanism, China began to carry out a regulated and managed floating exchange rate system based on market supply and demand and a basket of currencies. During this period, the RMB is to the United States. In the three quarter of 2015, the RMB exchange rate in the foreign exchange market fell considerably in the three quarter of 2015, causing a sharp fall in the global stock market and the price of large commodities, leading to the RMB exchange rate. The two-way fluctuation of the exchange rate increases and the exchange rate elasticity increases. The two-way fluctuation of the RMB exchange rate will inevitably affect the macro-economy of our country. Therefore, it is necessary to study the factors affecting the exchange rate fluctuations and how the fluctuation of the exchange rate will affect the economy of our country and the extent of the impact. This article is based on the economy. The theoretical and econometric methods, using macro economic data from January 1997 to December 2015, analyze the transmission mechanism and conduction effect of RMB exchange rate on the main macroeconomic variables in China, use the EGARCH model to measure the fluctuation rate of the actual effective exchange rate of RMB, and build the actual existence of RMB under the conditions of open economy. Effect exchange rate and exchange rate volatility, import and export, domestic and foreign output, fixed assets investment, foreign direct investment, trade conditions, openness, consumption, price level, money supply, interest rate, foreign exchange reserve, fiscal expenditure, international commodity price and other variables, small monthly macroeconomic simultaneous equations model, using the three stage of the smallest two. The results are as follows: (1) there is no excessive fluctuation in the actual effective exchange rate of RMB, and the amplitude of the fluctuation is still within the range of the central bank. (2) the increase of the two-way fluctuation range of the real effective exchange rate of the people's money will be suppressed. The import and export of China is made; (3) the appreciation of the real effective exchange rate of RMB will affect the Marshall Lerner condition in China's import and export trade; (4) the appreciation of the real effective exchange rate of RMB will slow down the pressure of inflation in our country; (5) the impact of the fluctuation of international commodity prices on China's macro-economy is significant. Finally, this paper The innovation lies in: (1) analyzing the transmission mechanism and conduction effect of the real effective exchange rate of RMB on the macro-economy, establishing the EGARCH model of exchange rate volatility, measuring the fluctuation rate of the actual effective exchange rate of RMB by estimating the EGARCH model. (2) putting the volatility of the remittance rate and the RMB exchange rate into the simultaneous equation group. In the model, the macro economic monthly simultaneous equations model under the open economy is set up, which can more comprehensively measure the impact of the RMB real effective exchange rate fluctuation on China's macro-economy. (3) introducing the virtual variables of structural changes, and investigating the asymmetric effect of the exchange reform and the financial crisis before the impact of the financial crisis on China's macro-economy. In the simultaneous equations model, two virtual variables are used to consider the asymmetric effect of international commodity price on import and export and money supply to the price level. (4) considering the influence of the exchange rate on the macro-economy of our country through the change of foreign price level, the international commodity price index is selected to express the price of international commodities. The influence of the change of commodity price on China's international trade and domestic price level can make a more comprehensive understanding of the influence of the foreign price fluctuation on our macro-economy.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.6
[Abstract]:China's reform and opening up has been carried out for more than thirty years, the openness of foreign trade is increasing, the total economic total is second in the world. Our country has more and more contribution to the global economy and its international influence is further strengthened. The fluctuation of the RMB exchange rate and the impact of exchange rate fluctuations on the macro-economy have become a hot topic in the international financial field. Problem, the exchange rate of RMB has become a core economic variable at home and abroad. Since July 21, 2005, since China started the reform of the RMB exchange rate formation mechanism, China began to carry out a regulated and managed floating exchange rate system based on market supply and demand and a basket of currencies. During this period, the RMB is to the United States. In the three quarter of 2015, the RMB exchange rate in the foreign exchange market fell considerably in the three quarter of 2015, causing a sharp fall in the global stock market and the price of large commodities, leading to the RMB exchange rate. The two-way fluctuation of the exchange rate increases and the exchange rate elasticity increases. The two-way fluctuation of the RMB exchange rate will inevitably affect the macro-economy of our country. Therefore, it is necessary to study the factors affecting the exchange rate fluctuations and how the fluctuation of the exchange rate will affect the economy of our country and the extent of the impact. This article is based on the economy. The theoretical and econometric methods, using macro economic data from January 1997 to December 2015, analyze the transmission mechanism and conduction effect of RMB exchange rate on the main macroeconomic variables in China, use the EGARCH model to measure the fluctuation rate of the actual effective exchange rate of RMB, and build the actual existence of RMB under the conditions of open economy. Effect exchange rate and exchange rate volatility, import and export, domestic and foreign output, fixed assets investment, foreign direct investment, trade conditions, openness, consumption, price level, money supply, interest rate, foreign exchange reserve, fiscal expenditure, international commodity price and other variables, small monthly macroeconomic simultaneous equations model, using the three stage of the smallest two. The results are as follows: (1) there is no excessive fluctuation in the actual effective exchange rate of RMB, and the amplitude of the fluctuation is still within the range of the central bank. (2) the increase of the two-way fluctuation range of the real effective exchange rate of the people's money will be suppressed. The import and export of China is made; (3) the appreciation of the real effective exchange rate of RMB will affect the Marshall Lerner condition in China's import and export trade; (4) the appreciation of the real effective exchange rate of RMB will slow down the pressure of inflation in our country; (5) the impact of the fluctuation of international commodity prices on China's macro-economy is significant. Finally, this paper The innovation lies in: (1) analyzing the transmission mechanism and conduction effect of the real effective exchange rate of RMB on the macro-economy, establishing the EGARCH model of exchange rate volatility, measuring the fluctuation rate of the actual effective exchange rate of RMB by estimating the EGARCH model. (2) putting the volatility of the remittance rate and the RMB exchange rate into the simultaneous equation group. In the model, the macro economic monthly simultaneous equations model under the open economy is set up, which can more comprehensively measure the impact of the RMB real effective exchange rate fluctuation on China's macro-economy. (3) introducing the virtual variables of structural changes, and investigating the asymmetric effect of the exchange reform and the financial crisis before the impact of the financial crisis on China's macro-economy. In the simultaneous equations model, two virtual variables are used to consider the asymmetric effect of international commodity price on import and export and money supply to the price level. (4) considering the influence of the exchange rate on the macro-economy of our country through the change of foreign price level, the international commodity price index is selected to express the price of international commodities. The influence of the change of commodity price on China's international trade and domestic price level can make a more comprehensive understanding of the influence of the foreign price fluctuation on our macro-economy.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.6
【参考文献】
相关期刊论文 前10条
1 王胜;田涛;;人民币汇率对CPI传递效应分析——基于均值与波动溢出层面的视角[J];国际金融研究;2015年04期
2 陈安;;人民币汇率波动对宏观经济运行影响的实证分析[J];经济经纬;2012年03期
3 徐奇渊;;人民币汇率对CPI的传递效应分析[J];管理世界;2012年01期
4 戴翔;张二震;;危机冲击、汇率波动与出口绩效——基于跨国面板数据的实证分析[J];金融研究;2011年08期
5 陈荣;;汇改后人民币汇率波动对宏观经济的非对称性影响——基于马尔科夫状态转换VAR模型的实证研究[J];中国集体经济;2011年18期
6 李宏彬;马弘;熊艳艳;徐Z，
本文编号：2150477
本文链接：https://www.wllwen.com/jingjilunwen/jiliangjingjilunwen/2150477.html
