人民币汇率预期对中国宏观经济影响的实证研究

发布时间：2018-05-16 05:35

本文选题：汇率预期 + 人民币　；参考：《南京理工大学》2013年硕士论文

【摘要】：近年来,中国经济迅速增长、对世界经济增长的贡献度逐渐增加,中国对外贸易的依存度不断加深,净出口额和外国直接投资“双顺差”使得外汇储备不断膨胀,美元不断贬值、境外资金大量涌入,使得人民币不断面临升值压力。这些压力主要有两种表现：国际上要求人民币升值,市场预期人民币升值。人民币汇率预期不仅仅影响着经济主体参与国际贸易的行为,还使得大量的国外资金进入我国,从而对宏观经济的方方面面造成影响。由于国际收支平衡、经济增长、稳定物价以及增加就业是中国宏观调控的目标,因此,研究人民币汇率升值预期对国际收支、经济增长、物价以及就业的影响效应,对中国未来宏观调控方向具有理论意义。本文首先对国内外学者在汇率预期、汇率预期的经济影响两个方面的研究加以总结和讨论,进而阐述有关研究人民币汇率预期对宏观经济影响的理论基础—汇率预期对宏观经济影响的传导机制,在此基础上,以人民币无本金交割远期外汇交易(NDF)汇率作为人民币汇率预期的替代变量,选取汇率预期影响的五个变量：资本净流入、贸易差额、经济增长、物价水平以及失业率,建立六个变量间的VAR模型,分析NDF与其余变量间的Granger因果关系,脉冲响应和方差分解。本文认为：变量之间具有稳定的长期均衡关系；人民币汇率预期变动波动是资本净流入、贸易收支以及经济增长变动波动的格兰杰原因,而不是物价水平以及失业率变动波动的格兰杰原因；人民币汇率升值预期使得资本净流入、失业率出现长期下降,使得贸易收支顺差、经济增长以及物价水平出现长期上升。最后,在理论分析和实证分析的基础上,提出相应的政策建议。
[Abstract]:In recent years, China's economy has grown rapidly, its contribution to world economic growth has gradually increased, China's dependence on foreign trade has deepened, and the net exports and "double surplus" of foreign direct investment have made foreign exchange reserves continuously inflate. The depreciation of the dollar and the influx of foreign funds have made the renminbi under constant pressure to appreciate. There are two main manifestations of these pressures: international demand for a stronger yuan, and the market expects the yuan to appreciate. The expectation of RMB exchange rate not only affects the behavior of economic subjects participating in international trade, but also makes a lot of foreign funds come into our country, which has an impact on all aspects of macroeconomic. Since the balance of payments, economic growth, stable prices and increasing employment are the goals of China's macroeconomic regulation and control, this paper studies the effects of RMB exchange rate appreciation expectations on the balance of payments, economic growth, price and employment. It has theoretical significance to the future macro-control direction of China. Firstly, this paper summarizes and discusses the research on the exchange rate expectation and the economic impact of the exchange rate expectation at home and abroad. On the basis of the theoretical basis of the study on the impact of RMB exchange rate expectation on macroeconomic, the transmission mechanism of exchange rate expectation on macroeconomic impact is expounded. In this paper, the NDF exchange rate is used as the alternative variable of RMB exchange rate expectation, and five variables are selected as follows: net capital inflow, trade balance, economic growth, price level and unemployment rate. The VAR model between six variables is established, and the Granger causality, impulse response and variance decomposition between NDF and other variables are analyzed. This paper holds that there is a stable long-term equilibrium relationship between variables, and that the volatility of RMB exchange rate is the Granger reason for the fluctuation of net capital inflow, trade balance and economic growth. Not the Granger cause of price levels and the volatility of unemployment, which is expected to lead to a net inflow of capital and a long-term decline in the unemployment rate, leading to a trade surplus, economic growth and a long-term rise in price levels. Finally, on the basis of theoretical analysis and empirical analysis, the corresponding policy recommendations are put forward.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.6;F124

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