本文選題：人民幣 + 有效匯率��； 參考：《江西財經(jīng)大學(xué)》2013年碩士論文

【摘要】：自布雷頓森林體系瓦解以來,各國貨幣間的匯率波動幅度都有所加大。一國貨幣在相對一些國家貨幣升值的同時往往可能相對另一些國家貨幣貶值,在此情況下,如何衡量一國貨幣對外價值的總體波動水平呢?經(jīng)濟學(xué)家們設(shè)計了有效匯率指數(shù)用作衡量某種貨幣匯率的總體波動水平以及該種貨幣在國際領(lǐng)域競爭力的指標(biāo)。但是在經(jīng)濟全球化逐步深化、資本流動日益頻繁的今天,僅依據(jù)傳統(tǒng)有效匯率指數(shù)來測度一國貨幣匯率波動狀況存在一定的局限性,因為它并沒有考慮資本項目的影響。為了更加全面地考慮人民幣匯率總體波動水平,在編制人民幣有效匯率指數(shù)時,將資本流動因素納入權(quán)重,構(gòu)建一種包含貿(mào)易權(quán)重、資本權(quán)重以及貿(mào)易-資本雙權(quán)重下的人民幣有效匯率指數(shù)體系顯得十分有必要。 本文通過對各種有效匯率指數(shù)編制方法進行比較研究,結(jié)合中國經(jīng)濟發(fā)展的特點,在傳統(tǒng)的基于貿(mào)易權(quán)重下的人民幣有效匯率指數(shù)的基礎(chǔ)上,進一步完善了人民幣有效匯率指數(shù)體系,增加了從資本流考慮的資本權(quán)重下的人民幣有效匯率以及從貿(mào)易流和資本流綜合考慮的貿(mào)易-資本雙權(quán)重下的人民幣有效匯率指數(shù)。 通過對三種指數(shù)進行對比分析以及利用協(xié)整與誤差修正模型、VAR模型對三種指數(shù)與我國凈出口、FDI以及外匯儲備之間的關(guān)系進行了實證分析,得出以下結(jié)論： 第一,除了在2010年第二季度至2011年第二季度期間三種指數(shù)的走勢出現(xiàn)了明顯的背離之外,三種權(quán)重下的人民幣有效匯率指數(shù)走勢基本相同,但是各種指數(shù)的走勢強弱卻有所差異。因此近年來西方國家依據(jù)貿(mào)易權(quán)重下的人民幣有效匯率指數(shù)走勢來催促人民幣升值的理由并不充分,因為從2009年以來,資本權(quán)重下的人民幣有效匯率指數(shù)顯示人民幣升值幅度顯著性大于貿(mào)易權(quán)重下人民幣有效匯率指數(shù)所顯示出的升值幅度。 第二,我國凈出口對來自于貿(mào)易權(quán)重下的人民幣有效匯率的沖擊反應(yīng)較為明顯并且持續(xù)時間較長；我國FDI與資本權(quán)重下的人民幣有效匯率指數(shù)存在長期協(xié)整關(guān)系,與其他兩種指數(shù)均不存在長期協(xié)整關(guān)系；我國外匯儲備與三種指數(shù)均不存在長期協(xié)整關(guān)系。從上述實證結(jié)果可以看出,不同權(quán)重下的人民幣有效匯率指數(shù)的變動對我國宏觀經(jīng)濟變量產(chǎn)生的影響是有所差異的。
[Abstract]:Since the collapse of the Bretton Woods system, currency volatility has increased. One country's currency may depreciate relative to some other countries' currencies at the same time of appreciation. In this case, how to measure the overall fluctuation level of the external value of a country's currency? Economists have designed an effective exchange rate index to measure the overall volatility of a currency's exchange rate and the competitiveness of that currency in the international arena. However, with the deepening of economic globalization and the increasing frequency of capital flow, there are some limitations in measuring a country's currency exchange rate fluctuation only according to the traditional effective exchange rate index, because it does not consider the influence of capital account. In order to consider the overall fluctuation level of RMB exchange rate more comprehensively, when compiling the effective exchange rate index of RMB, the capital flow factor is taken into account and a trade weight is constructed. The RMB effective exchange rate index system under the capital weight and the trade-capital double weight is very necessary. Based on the comparative study of various effective exchange rate index compilation methods and the characteristics of China's economic development, this paper makes a comparative study on the traditional effective exchange rate index based on the weight of trade. It further improves the effective exchange rate index system of RMB, increases the effective exchange rate of RMB under the capital weight from the capital flow and the RMB effective exchange rate index under the trade-capital dual weight considering from the trade flow and the capital flow. Based on the comparative analysis of the three indices and the empirical analysis of the relationship between the three indices and China's net export FDI and foreign exchange reserves by using the co-integration and error correction models, the following conclusions are drawn: first, Apart from the marked divergence between the second quarter of 2010 and the second quarter of 2011, the movements of the RMB effective exchange rate indices under the three weights were basically the same, but the movements of the indices varied somewhat. Therefore, in recent years, Western countries have not had sufficient reasons to urge the appreciation of the renminbi based on the trend of the effective exchange rate index of the RMB under the trade weight, because since 2009, The RMB effective exchange rate index under the capital weight shows that the appreciation range of RMB is more significant than that of the RMB effective exchange rate index under the trade weight. Second, the impact of net exports on the effective exchange rate of RMB under the trade weight is obvious and lasting for a long time, and there is a long-term cointegration relationship between FDI and the RMB effective exchange rate index under the capital weight. There is no long-term cointegration relationship between China's foreign exchange reserves and the other two indices, and there is no long-term cointegration relationship between China's foreign exchange reserves and the three indices. It can be seen from the above empirical results that the influence of the change of RMB effective exchange rate index on the macroeconomic variables of China is different under different weights.
【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.6

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