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  本文關(guān)鍵詞： 人民幣 內(nèi)外價值 價值偏離 向量自回歸模型　出處：《山東大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

【摘要】：自2005年以來,人民幣對美元匯率中間價從2008年5月首次破7到2013年10月突破6.10關(guān)口創(chuàng)匯改以來新高,人民幣匯率不斷上升;而自2007年3月份以來,中國的通脹率開始超出3%的良性通脹界限,最高時超過5%,通脹水平一直維持在較高水平。人民幣內(nèi)外價值出現(xiàn)了“外升內(nèi)貶”的經(jīng)濟(jì)現(xiàn)象�；诖�,本文在借鑒凱恩斯(Keynes)、弗里德曼(Friedman)等經(jīng)濟(jì)學(xué)家研究的基礎(chǔ)上,對人民幣價值的內(nèi)外價值進(jìn)行了研究分析。具體內(nèi)容為：1、分析2005——2015年國內(nèi)物價指數(shù)和實際有效匯率的一般表現(xiàn)；2、對人民幣內(nèi)外價值的偏離及潛在影響因素進(jìn)行分析；3、在理論研究、數(shù)據(jù)分析的基礎(chǔ)上通過建立VAR多元回歸模型,同時利用脈沖響應(yīng)、方差分解、格蘭杰因果檢驗分析了人民幣內(nèi)外價值失衡的影響因素。本文通過建立向量自回歸模型,采用脈沖響應(yīng)、方差分解、格蘭因果檢驗相結(jié)合的方法對人民幣內(nèi)外價值失衡的一般現(xiàn)象和原因進(jìn)行了分析。研究發(fā)現(xiàn)：1、人民幣內(nèi)外價值失衡現(xiàn)象確實存在,隨著人民幣國際化程度的提高,這一經(jīng)濟(jì)現(xiàn)象的存在不利于促進(jìn)中國經(jīng)濟(jì)的轉(zhuǎn)型發(fā)展；2、從脈沖響應(yīng)中可以看出,人民幣內(nèi)外價值的失衡在于傳遞機(jī)制的不完整性和不對稱性,暢通貨幣政策的匯率傳導(dǎo)機(jī)制對于維護(hù)人民幣幣值穩(wěn)定有重要意義；3、通過方差分解可以看出,外匯儲備不僅對人民幣匯率的貢獻(xiàn)度很大,因此,外匯儲備對于穩(wěn)定人民幣的價值有很大的作用；4、匯率的變動會影響人民幣對內(nèi)購買力的變化,而反過來,這種影響程度確很小,因此通過改變國內(nèi)的通脹水平來達(dá)到影響匯率,這種效果應(yīng)該很不理想。依據(jù)實證分析的一般結(jié)論,本文建議中國要控制合理的外匯規(guī)模,堅持以市場為導(dǎo)向的人民幣國際化、利率市場化與匯率自由化金融改革方向,提高人民幣匯率制度的靈活性,促進(jìn)人民幣內(nèi)外價值的平衡。
[Abstract]:Since March 2007, the RMB exchange rate against the US dollar has been at its highest level since the 6.10 mark was first broken on May 2008 to October 2013, and the RMB exchange rate has been rising continuously; since March 2007, The inflation rate in China has begun to exceed the benign inflation limit of 3%, reaching a peak of more than 5, and inflation has been maintained at a relatively high level. There has been an economic phenomenon of "internal and external appreciation" in the value of the renminbi. On the basis of drawing lessons from the studies of economists such as Keynesco, Friedman and so on, This paper studies and analyzes the internal and external value of RMB value. The concrete content is: 1, the general performance of the domestic price index and the real effective exchange rate from 2005 to 2015, and the deviation of the internal and external value of RMB and the potential influencing factors are analyzed. On the basis of data analysis, VAR multivariate regression model, pulse response, variance decomposition and Granger causality test are used to analyze the influencing factors of RMB internal and external value imbalance. This paper analyzes the general phenomena and causes of the imbalance of internal and external value of RMB by using the methods of impulse response, variance decomposition and Glen causality test. It is found that the phenomenon of imbalance of internal and external value of RMB does exist at 1: 1. With the increasing degree of RMB internationalization, the existence of this economic phenomenon is not conducive to promoting the transformation and development of Chinese economy. From the impulse response, we can see that the imbalance of internal and external value of RMB lies in the imperfection and asymmetry of transmission mechanism. The exchange rate transmission mechanism of unimpeded monetary policy is of great significance for maintaining the stability of the RMB currency. Through variance decomposition, we can see that foreign exchange reserves not only contribute a lot to the RMB exchange rate, therefore, Foreign exchange reserves play a very important role in stabilizing the value of the RMB. The change in exchange rate will affect the change of the RMB's purchasing power on the inside, and in turn, this influence is indeed very small. Therefore, the exchange rate is affected by changing the domestic inflation level. According to the general conclusion of the empirical analysis, this paper suggests that China should control reasonable foreign exchange scale, adhere to the direction of market-oriented RMB internationalization, interest rate liberalization and exchange rate liberalization financial reform. To improve the flexibility of the RMB exchange rate regime and promote the balance of the internal and external value of the RMB.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.6

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