發(fā)布時(shí)間：2018-07-31 18:35

【摘要】：自加入WTO以來(lái),我國(guó)經(jīng)濟(jì)開放度迅速提高,人民幣匯率波動(dòng)幅度增大,匯率變動(dòng)與我國(guó)物價(jià)水平變動(dòng)的聯(lián)動(dòng)性顯著增強(qiáng)。特別是2005年7月人民幣匯率制度改革之后,我國(guó)開始實(shí)行“以市場(chǎng)供求為基礎(chǔ)、參考一籃子貨幣進(jìn)行調(diào)節(jié)、有管理的浮動(dòng)匯率制度”,人民幣匯率彈性增強(qiáng),人民幣升值且雙向浮動(dòng)的特征明顯；然而,人民幣匯率變動(dòng)對(duì)我國(guó)物價(jià)水平有多大的影響?伴隨著人民幣匯率的升值,我國(guó)會(huì)出現(xiàn)嚴(yán)重的通貨膨脹,還是說(shuō)人民幣升值能緩解通貨膨脹?這也是當(dāng)前我國(guó)制定貨幣政策和匯率政策必須解答的問題。因此,研究人民幣對(duì)外升值與物價(jià)之間的關(guān)系對(duì)我國(guó)貨幣政策的制定和宏觀經(jīng)濟(jì)的健康發(fā)展有著極為重要的現(xiàn)實(shí)意義。 為了探索人民幣匯率與我國(guó)通貨膨脹的關(guān)聯(lián)性,本文采用定性分析和定量分析相結(jié)合的研究方法,一方面從經(jīng)濟(jì)理論中挖掘影響國(guó)內(nèi)通貨膨脹的各種經(jīng)濟(jì)變量,定性分析分析這些經(jīng)濟(jì)變量與國(guó)內(nèi)通貨膨脹之間的關(guān)系,并使用大量的圖表加以說(shuō)明；另一方面,為了揭示各種現(xiàn)象背后的具體規(guī)律以及各變量之間數(shù)量關(guān)系,定量分析研究了匯率與通貨膨脹之間的關(guān)系,在研究匯率制度改革的影響時(shí),采用比較分析的方法,以揭示匯率制度改革對(duì)我國(guó)匯率傳遞效應(yīng)的影響,在模型的建立和計(jì)量方法的選擇上,建立了向量自回歸模型和誤差修正模型,并使用了脈沖響應(yīng)函數(shù)和方差分解等方法。在樣本的選擇上,本文首先選擇匯改前后總體樣本為研究對(duì)象,研究了人民幣匯率變動(dòng)對(duì)我國(guó)物價(jià)水平的影響,然而,2005年之后,我國(guó)經(jīng)濟(jì)高速發(fā)展,國(guó)際貿(mào)易赤字和外匯儲(chǔ)備逐年增加,人民幣升值壓力增大,受人民幣匯率制度改革的影響,人民幣升值明顯,在人民幣升值預(yù)期驅(qū)動(dòng)下,國(guó)際投資和投機(jī)資本大量流入國(guó)內(nèi),國(guó)際收支平衡進(jìn)一步惡化,最終表現(xiàn)為貨幣供應(yīng)量的增長(zhǎng)超過(guò)了經(jīng)濟(jì)體的需求量,通貨膨脹壓力增大,國(guó)內(nèi)出現(xiàn)了嚴(yán)重的通貨膨脹。為了研究匯改后人民幣匯率變動(dòng)對(duì)我國(guó)物價(jià)水平的影響,本文進(jìn)一步實(shí)證考察了2005年人民幣匯率改革后人民幣匯率與我國(guó)通貨膨脹的關(guān)系,并與之前的回歸進(jìn)行比較,以揭示人民幣匯率制度改革對(duì)國(guó)內(nèi)物價(jià)水平變動(dòng)的影響。 論文各章節(jié)的主要內(nèi)容和觀點(diǎn)： 第一章為前言部分,主要包括了本文研究的目的、意義以及文獻(xiàn)綜述,介紹本文的結(jié)構(gòu)和研究方法,并指出本文的創(chuàng)新點(diǎn)和不足之處。國(guó)外學(xué)者的研究主要都集中在發(fā)達(dá)國(guó)家,很少對(duì)我國(guó)的匯率傳遞效應(yīng)進(jìn)行研究；然而對(duì)于我國(guó)來(lái)說(shuō),由于國(guó)內(nèi)匯率長(zhǎng)期以來(lái)盯住美元、匯率波動(dòng)較小等原因使得國(guó)內(nèi)專門針對(duì)匯率傳遞效應(yīng)的研究不多,特別是在研究期限的選擇方面,樣本的選擇多以匯改為分界線單獨(dú)研究,或者以匯改前后總體作為樣本區(qū)間進(jìn)行研究,而直接以人民幣匯率制度改革為背景來(lái)研究我國(guó)匯率傳遞效應(yīng)影響的實(shí)證研究相對(duì)較少。 第二章對(duì)相關(guān)的理論進(jìn)行梳理,闡述匯率變動(dòng)影響物價(jià)的相關(guān)理論。首先利用經(jīng)典的匯率傳遞理論來(lái)解釋價(jià)格水平變動(dòng)受匯率變動(dòng)的影響,其次,由于現(xiàn)實(shí)貿(mào)易過(guò)程中貿(mào)易壁壘、交易成本等因素的存在,使得一價(jià)定律和絕對(duì)購(gòu)買力理論的使用受限,出現(xiàn)了匯率對(duì)價(jià)格的不完全傳遞現(xiàn)象；因此本文進(jìn)一步從微觀和宏觀的視角來(lái)分析引起匯率變動(dòng)對(duì)價(jià)格變動(dòng)傳遞不完全的影響因素；從微觀角度來(lái)看主要包括廠商按市場(chǎng)需求方面的因素來(lái)定價(jià)、廠商從供給方面的因素來(lái)定價(jià)和其他因素；宏觀角度方面又受到通貨膨脹環(huán)境、國(guó)家規(guī)模和經(jīng)濟(jì)開放程度、生產(chǎn)的全球化和匯率的波動(dòng)程度的影響；最后,論述了匯率對(duì)物價(jià)發(fā)生作用的傳遞機(jī)制,包括直接傳遞機(jī)制和間接傳遞機(jī)制,這些理論為現(xiàn)實(shí)生活中解釋匯率與物價(jià)的影響提供了理論依據(jù)。 第三章回顧人民幣匯率制度的變遷,以及定性研究影響我國(guó)通貨膨脹變動(dòng)的因素,重點(diǎn)是以圖形為基礎(chǔ)進(jìn)行直觀的分析,通過(guò)描述居民消費(fèi)價(jià)格指數(shù)的變動(dòng)趨勢(shì)和這幾年的物價(jià)的變動(dòng)特點(diǎn),結(jié)合匯率傳遞理論和通貨膨脹理論的基礎(chǔ)知識(shí),定性研究了國(guó)內(nèi)物價(jià)、匯率、馬歇爾K指標(biāo)和國(guó)際大宗商品價(jià)格之間的關(guān)系,并且進(jìn)一步分析各種因素對(duì)物價(jià)變動(dòng)的傳遞機(jī)制。 第四章是從實(shí)證的角度研究人民幣有效匯率與我國(guó)物價(jià)之間的關(guān)聯(lián)性。在前幾章研究的基礎(chǔ)上,從需求、貨幣、外部輸入等角度選取了相應(yīng)的變量指標(biāo),構(gòu)建了影響國(guó)內(nèi)物價(jià)變動(dòng)的指標(biāo)體系來(lái)研究物價(jià)與人民幣有效匯率的關(guān)聯(lián)性;因此,本章第一節(jié)一開始就介紹了本文運(yùn)用的計(jì)量模型和方法；主要包括：自回歸模型(VAR)、向量誤差修正模型(VEC)、ADF單位根檢驗(yàn)、Johansen協(xié)整檢驗(yàn)、Granger(格蘭杰)因果檢驗(yàn)、脈沖響應(yīng)函數(shù)和方差分解等。在具體的實(shí)證分析中,首先,采用ADF單位根檢驗(yàn)法檢驗(yàn)所選取時(shí)間序列的平穩(wěn)性；其次,為了防止各經(jīng)濟(jì)變量之間出現(xiàn)偽回歸而采用Granger(格蘭杰)因果檢驗(yàn)來(lái)檢驗(yàn)變量之間是否存在經(jīng)濟(jì)意義；再次,運(yùn)用Johansen協(xié)整檢驗(yàn)的方法判斷變量之間是否具有長(zhǎng)期的共同變化趨勢(shì),并在此基礎(chǔ)上建立誤差修正模型來(lái)分析長(zhǎng)期均衡對(duì)短期波動(dòng)的影響；然后利用脈沖響應(yīng)函數(shù)來(lái)分析短期內(nèi)變量之間具體相互影響的軌跡,研究模型整體對(duì)于其中某一變量的一個(gè)沖擊所作的反應(yīng),最后,利用方差分解來(lái)定量地分析變量之間的影響關(guān)系,將系統(tǒng)的預(yù)測(cè)均方差分解為系統(tǒng)中各個(gè)變量沖擊所作的貢獻(xiàn),從而定量地表達(dá)各個(gè)結(jié)構(gòu)沖擊的重要性。在內(nèi)容安排上,本文首先利用結(jié)構(gòu)VAR模型和向量誤差修正模型(VEC)研究了2001年1月到2012年6月期間人民幣名義有效匯率同我國(guó)通貨膨脹的關(guān)聯(lián)性,協(xié)整關(guān)系檢驗(yàn)和向量誤差修正模型的結(jié)果顯示,國(guó)內(nèi)通貨膨脹、馬歇爾K指標(biāo)、匯率和國(guó)際大宗商品價(jià)格在長(zhǎng)期存在穩(wěn)定的均衡關(guān)系,在長(zhǎng)期內(nèi)人民幣的升值能夠在一定程度上緩和國(guó)內(nèi)通貨膨脹壓力,且若消費(fèi)者價(jià)格指數(shù)在短期內(nèi)受到隨機(jī)干擾而偏離長(zhǎng)期均衡狀態(tài)時(shí),經(jīng)濟(jì)體本身存在一種反向自我修正機(jī)制,使得短期的偏離不會(huì)持久,在長(zhǎng)期內(nèi)會(huì)重新回到均衡狀態(tài)。脈沖響應(yīng)的結(jié)果表明人民幣名義有效匯率對(duì)國(guó)內(nèi)價(jià)格的傳遞存在不完全性和時(shí)滯性。通過(guò)對(duì)消費(fèi)價(jià)格指數(shù)進(jìn)行方差分解,得出消費(fèi)價(jià)格指數(shù)自身、人民幣名義匯率、馬歇爾K指標(biāo)和國(guó)際大宗商品價(jià)格都是導(dǎo)致消費(fèi)者價(jià)格波動(dòng)的主要因素。其次,為了考察人民幣匯率改革是否對(duì)我國(guó)的匯率傳導(dǎo)效果產(chǎn)生影響,利用結(jié)構(gòu)VAR模型從實(shí)證上考察了2005年7月人民幣匯率改革后人民幣匯率傳遞效應(yīng)的變化,以便切實(shí)把握當(dāng)前匯率變化對(duì)國(guó)內(nèi)物價(jià)的影響,通過(guò)協(xié)整關(guān)系檢驗(yàn)發(fā)現(xiàn),人民幣匯改以后匯率沖擊能進(jìn)一步緩解國(guó)內(nèi)通貨膨脹壓力,而通過(guò)方差分解發(fā)現(xiàn),匯改后人民幣匯率沖擊對(duì)國(guó)內(nèi)物價(jià)變動(dòng)的解釋能力顯著提高；國(guó)際大宗商品價(jià)格沖擊的解釋力也進(jìn)一步增強(qiáng)；這說(shuō)明利用人民幣升值來(lái)治理國(guó)內(nèi)通貨膨脹能起到一定的作用。鑒于馬歇爾K指標(biāo)始終都是影響國(guó)內(nèi)通貨膨脹的主要因素,因此,控制貨幣供應(yīng)量的增長(zhǎng)速度和保證國(guó)內(nèi)經(jīng)濟(jì)增長(zhǎng)率也有助于緩和國(guó)內(nèi)通貨膨脹壓力。 第五章是政策建議。根據(jù)理論分析和實(shí)證研究的結(jié)果,從匯率制度改革、貨幣政策目標(biāo)及能源利用戰(zhàn)略三個(gè)方面提出相關(guān)建議；并認(rèn)為僅僅以人民幣升值來(lái)治理國(guó)內(nèi)通貨膨脹具有局限性,作用雖有卻不是很有效,但是從長(zhǎng)遠(yuǎn)的角度來(lái)考慮,人民幣的升值卻是促進(jìn)經(jīng)濟(jì)結(jié)構(gòu)調(diào)整、穩(wěn)定國(guó)內(nèi)經(jīng)濟(jì)的有力手段；認(rèn)為中央銀行的貨幣政策需專注于穩(wěn)定國(guó)內(nèi)物價(jià),從而避免多重目標(biāo)所導(dǎo)致的貨幣政策制定困局：認(rèn)為應(yīng)該從以長(zhǎng)遠(yuǎn)的視角來(lái)確立資源利用中長(zhǎng)期戰(zhàn)略,以降低外部沖擊對(duì)國(guó)內(nèi)物價(jià)的影響。
[Abstract]:Since China's entry into the WTO, China's economic openness has been rapidly increased, the fluctuation range of the RMB exchange rate has increased, and the linkage of the exchange rate changes with the fluctuation of the price level of our country has been significantly enhanced. Especially after the reform of the RMB exchange rate system in July 2005, China began to implement "market supply and demand as the basis, reference to a basket of currencies." "The floating exchange rate system", the RMB exchange rate elasticity increases, the RMB appreciation and the two-way floating characteristics obviously; however, the RMB exchange rate changes to China's price level how much impact? With the appreciation of the RMB exchange rate, I have a serious inflation in Congress, or the appreciation of the RMB can alleviate inflation? This is also the present The question of formulating monetary policy and exchange rate policy in China must be solved. Therefore, it is of great practical significance to study the relationship between the appreciation of RMB and the price of RMB for the formulation of China's monetary policy and the healthy development of the macro-economy.
In order to explore the relationship between RMB exchange rate and China's inflation, this paper adopts the research method combining qualitative analysis and quantitative analysis. On the one hand, we excavate various economic variables that affect domestic inflation from the economic theory, qualitative analysis and analysis of the relationship between these economic variables and domestic inflation, and use a large number of maps. On the other hand, in order to reveal the specific laws behind the various phenomena and the relationship between the variables, the relationship between the exchange rate and the inflation is quantitatively analyzed. In the study of the influence of the reform of the exchange rate system, a comparative analysis is adopted to reveal the influence of the reform of the exchange rate system on the exchange rate effect of the exchange rate in China. In the establishment of the model and the selection of measurement methods, the vector autoregressive model and error correction model are established, and the methods of impulse response function and variance decomposition are used. In the selection of samples, this paper first selects the overall sample before and after the remittance and modification as the research object, and studies the influence of the change of RMB exchange rate on China's price level. After 2005, China's economy developed rapidly, the international trade deficit and foreign exchange reserve increased year by year, the pressure of RMB appreciation increased. Influenced by the reform of the RMB exchange rate system, the appreciation of the RMB was obvious. Under the expectation of the appreciation of RMB, the international investment and speculative capital inflow into the country, and the balance of balance of payments worsened further. The growth of the money supply exceeds the demand of the economy, the inflationary pressure increases and the domestic inflation is serious. In order to study the effect of the change of RMB exchange rate on the price level of our country after the reform, this paper further empirically inspected the RMB exchange rate and the inflation in China after the reform of RMB exchange rate in 2005. The relationship is compared with previous regression to reveal the effect of RMB exchange rate system reform on domestic price level.
The main contents and views of the chapters in this paper are as follows:
The first chapter is the preface, which mainly includes the purpose, significance and literature review, introduces the structure and research methods of this paper, and points out the innovation and shortcomings of this article. The research of foreign scholars mainly concentrates in developed countries, and seldom studies the exchange rate effect of our country; however, for our country, The domestic exchange rate has long been pegged to the U. S. dollar, and the exchange rate fluctuates relatively small, so the research on the exchange rate effect is not very much. Especially in the choice of time limit, the selection of the sample is mainly by remittance to the dividing line, or as a sample interval before and after the remittance. Empirical research on the impact of exchange rate transmission effect on China's exchange rate regime is relatively rare.
In the second chapter, the related theories are combed and the related theories of the exchange rate change influence the price are expounded. First, the classical exchange rate transfer theory is used to explain the influence of the change of the price level by the exchange rate. Secondly, the existence of the trade barriers and the transaction cost in the real trade process makes the theory of one price and the absolute purchasing power theory. With limited use of the exchange rate, there is an incomplete transfer of exchange rate to the price; therefore, this paper further analyzes the factors that affect the transfer of the exchange rate from the micro and macro perspective to the incomplete transfer of the price change; from the micro point of view, it mainly includes the pricing of the manufacturers according to the factors of the market demand, and the suppliers' factors from the supply side. In terms of pricing and other factors, the macro angle is influenced by the inflationary environment, the scale of the country and the degree of economic openness, the globalization of production and the fluctuation of the exchange rate. Finally, the transfer mechanism of the effect of the exchange rate on the price is discussed, including the direct transmission mechanism and the indirect transmission mechanism. These theories are the solution to the real life. It provides a theoretical basis for the effect of exchange rate and price.
The third chapter reviews the changes in the RMB exchange rate system and the qualitative research on the factors that affect the fluctuation of inflation in China. The emphasis is on the visual analysis based on the graphics. By describing the change trend of the consumer price index and the characteristics of the changes in prices in these years, the basic knowledge of the exchange rate transfer theory and the inflation theory is combined. The relationship between the domestic price, the exchange rate, the Marshall K index and the international commodity price is studied, and the transfer mechanism of various factors to the price change is further analyzed.
The fourth chapter is an empirical study of the relationship between the effective exchange rate of RMB and the price of China's prices. On the basis of the previous chapters, the relevant variables are selected from the perspectives of demand, currency and external input, and the index system that affects the price changes in domestic prices is constructed to study the relationship between the price and the effective exchange rate of RMB. In the first section of this chapter, the measurement models and methods used in this paper are introduced, including autoregressive model (VAR), vector error correction model (VEC), ADF unit root test, Johansen cointegration test, Granger (Grainger) causality test, impulse response function and variance decomposition. In concrete empirical analysis, first, ADF unit is used. The root test method is used to test the smoothness of the selected time series. Secondly, in order to prevent the pseudo regression between the economic variables, the Granger (Grainger) causality test is used to test whether there is economic significance between variables. Again, the Johansen cointegration test is used to determine whether the variation has a long-term common trend of change. On this basis, an error correction model is established to analyze the effect of long-term equilibrium on short-term volatility; then the impulse response function is used to analyze the specific interaction trajectories between the short-term variables, and the response of the model to a single impact of one of the variables is studied, and the variance decomposition is used to analyze the variables quantitatively. The relationship between the mean variance of the system is decomposed into the contribution of the impact of each variable in the system, and the importance of the impact of each structure is expressed quantitatively. In the content arrangement, the nominal validity of the RMB from January 2001 to June 2012 is studied by using the structure VAR model and the vector error correction model (VEC). The correlation of exchange rate with China's inflation, cointegration test and vector error correction model show that domestic inflation, Marshall K index, exchange rate and international commodity price have a stable equilibrium relationship for a long time. In the long run, the appreciation of RMB can ease the pressure of domestic inflation to a certain extent, and if it is in a certain extent, it can be used as a result. When the consumer price index is subjected to random interference in the short term and deviates from the state of long-term equilibrium, the economy itself has a reverse self correction mechanism, which makes the short-term deviation not lasting and will return to the equilibrium state in the long run. The result of the impulse response shows that the transfer of the effective exchange rate of RMB to the domestic price is not finished. By means of variance decomposition of the consumer price index, it is concluded that the consumer price index itself, the nominal exchange rate of the RMB, the Marshall K index and the international commodity price are the main factors that lead to the fluctuation of the consumer price. Secondly, in order to investigate whether the exchange rate of RMB exchange rate has an effect on the exchange rate of our country's exchange rate, The change of exchange rate effect of RMB exchange rate after the RMB exchange rate reform in July 2005 is empirically investigated by using the structural VAR model, so as to grasp the effect of current exchange rate changes on domestic prices. Through the cointegration test, it is found that the exchange rate impact after RMB exchange reform can reduce the domestic inflation pressure step by step, and through the variance. It is found that the interpretation ability of the RMB exchange rate impact on domestic price changes has been significantly improved after the remittance, and the interpretation of the impact of international commodity price shocks is further enhanced. This shows that the use of RMB appreciation can play a role in controlling domestic inflation. In view of Marshall's K index, it always affects domestic inflation. As a result, controlling the growth rate of money supply and ensuring domestic economic growth also help ease domestic inflation pressures.
The fifth chapter is the policy suggestion. According to the results of theoretical analysis and empirical study, we put forward some suggestions from the three aspects of the reform of the exchange rate system, the target of monetary policy and the strategy of energy utilization, and think that it is limited to govern the domestic inflation only with the appreciation of the RMB, but the effect is not very effective but in the long run. It is considered that the appreciation of the RMB is a powerful means to promote economic restructuring and to stabilize the domestic economy, and that the monetary policy of the central bank should focus on stabilizing domestic prices, thus avoiding the difficulty of making monetary policy caused by multiple targets: it is believed that the medium and long term strategy of resource utilization should be established in a long-term perspective in order to reduce foreign policy. The impact of the impact on domestic prices.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.6;F822.5

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