本文關(guān)鍵詞： 人民幣國際化 匯率 資產(chǎn)組合平衡模型 協(xié)整　出處：《浙江大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著近年來中國經(jīng)濟持續(xù)健康穩(wěn)定地發(fā)展,人民幣已經(jīng)具備了進(jìn)行國際化的條件,人民幣也在逐步實現(xiàn)區(qū)域化和國際化方面做出了一些有益的嘗試。人民幣國際化可以給中國帶來的收益是顯而易見的,但是它同時也帶來了匯率升值的問題。因此我們有必要討論：人民幣國際化一定需要匯率升值嗎?人民幣匯率的合理水平又是多少呢? 本文首先分析日元和德國馬克國際化的進(jìn)程以及匯率波動,兩種貨幣在國際化過程中匯率都大幅上升,保持匯率持續(xù)穩(wěn)定上升的德國馬克在90年代國際化基本成功,而匯率波動劇烈的日元在90年代國際化陷入停滯。之后本文轉(zhuǎn)向人民幣國際化的具體問題,首先整理分析了人民幣國際化的重大事項,然后關(guān)注匯率問題,本文選擇使用資產(chǎn)組合平衡模型和Johanson協(xié)整檢驗來進(jìn)行研究。研究發(fā)現(xiàn),中國市場本外幣資產(chǎn)不完全替代,人民幣匯率與本幣資產(chǎn)收益率、外幣資產(chǎn)收益率、本幣資產(chǎn)和外幣資產(chǎn)之間存在長期協(xié)整關(guān)系,并建立起標(biāo)準(zhǔn)化的協(xié)整方程。建立的誤差修正模型反映了短期對長期均衡的回歸,格蘭杰因果檢驗說明b和f是s的格蘭杰原因,s對b和f的脈沖響應(yīng)函數(shù)在短期內(nèi)一正一負(fù),而長期都為負(fù)的。 最后我們通過上面建立起的協(xié)整方程來進(jìn)行預(yù)測。中性假設(shè)下,2020年匯率預(yù)期將升值到1美元兌4.17人民幣：保守假設(shè)下,匯率預(yù)期將升值到1美元兌4.48人民幣；激進(jìn)假設(shè)下,匯率預(yù)期將升值到1美元兌3.61人民幣。
[Abstract]:With the sustained, healthy and stable development of China's economy in recent years, the RMB has already met the conditions for internationalization. The RMB has also made some useful attempts to gradually realize regionalization and internationalization. The benefits that RMB internationalization can bring to China are obvious. But it also raises the issue of exchange rate appreciation. So we need to discuss: does RMB internationalization need exchange rate appreciation? What is the reasonable level of the RMB exchange rate? This paper first analyzes the process of internationalization of the Japanese yen and the German mark, as well as the fluctuation of the exchange rate. During the process of internationalization, the exchange rates of the two currencies have both risen substantially, while the German mark, which maintains a steady rise in the exchange rate, was basically successful in internationalization in 90s. In 90s, the exchange rate fluctuations of the Japanese yen stalled. Then this paper turned to the specific issues of RMB internationalization, first sorting out and analyzing the major issues of RMB internationalization, and then focusing on the exchange rate issue. This paper chooses to use the portfolio equilibrium model and Johanson cointegration test to study. The results show that the local and foreign currency assets in the Chinese market are not completely replaced, the rate of return of RMB exchange rate and local currency assets, the rate of return of foreign currency assets, the rate of return of foreign currency assets, There is a long-term cointegration relationship between local currency assets and foreign currency assets, and a standardized cointegration equation is established. The Granger causality test shows that b and f are the Granger reason of s. The impulse response function of b and f is positive and negative in the short term, but negative in the long run. Finally, we use the cointegration equation set up above to forecast. Under neutral assumption, the exchange rate is expected to appreciate to 4.17 yuan to the dollar in 2020; under conservative assumption, the exchange rate is expected to appreciate to 4.48 yuan to the dollar; under radical assumption, the exchange rate is expected to appreciate to 4.48 yuan. The exchange rate is expected to appreciate to 3.61 yuan against the dollar.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.6;F224

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本文編號：1547488