國際資本流入對人民幣匯率的影響研究
發(fā)布時(shí)間：2018-11-18 16:48
【摘要】：本文擬建立一個行為均衡匯率模型，并以此為基礎(chǔ)來對國際資本流入對人民幣匯率的影響展開計(jì)量經(jīng)濟(jì)學(xué)分析，旨在用當(dāng)今中國國際資本流入的經(jīng)驗(yàn)資料來檢驗(yàn)國際資本流入對人民幣匯率變動的影響，并為我國對外開放深度發(fā)展的新形勢下資本制度建設(shè)以及人民幣匯率管理提供政策寓意與建議。 隨著我國改革開放的不斷深入，國內(nèi)穩(wěn)定的政治環(huán)境和良好的投資環(huán)境吸引著大量的外資流入。然而，外資的大量流入在給我國經(jīng)濟(jì)發(fā)展帶來機(jī)遇的同時(shí)，也帶來了很多威脅。近幾年來，人民幣匯率一直呈上升趨勢，這種居高不下的態(tài)勢嚴(yán)重影響了我國的出口貿(mào)易。那么，究竟是國際資本流入導(dǎo)致了這一后果，還是有其他因素在起作用？如果有，它們的作用方向與機(jī)理如何，都需要通過深入的研究才能尋找出科學(xué)的答案。國內(nèi)現(xiàn)有相關(guān)研究稀少，，且深度有限，顯然不足以回答這些問題。因應(yīng)中國經(jīng)濟(jì)發(fā)展現(xiàn)實(shí)，細(xì)致展開本研究，其結(jié)論將會為我國匯率政策和貨幣政策的改革提供科學(xué)的政策寓意與建議。 本文采用了規(guī)范研究與經(jīng)驗(yàn)研究相結(jié)合、定性分析與定量分析相結(jié)合的研究方法，圍繞國際資本流入對匯率的影響展開論證。文章首先對與國際資本流動相關(guān)的匯率決定理論進(jìn)行了分析比較，并闡明了國際資本流入對匯率的作用機(jī)制；其次，對中國外資流入現(xiàn)狀、人民幣匯率制度的歷史演變以及各個歷史時(shí)期的匯率水平進(jìn)行了分析，通過定性分析發(fā)現(xiàn)流入我國的國際資本與人民幣匯率均呈上升趨勢；最后，運(yùn)用計(jì)量經(jīng)濟(jì)學(xué)的研究方法對國際資本流入與人民幣匯率之間的關(guān)系進(jìn)行了Johansen協(xié)整檢驗(yàn)、構(gòu)建了VEC模型并進(jìn)行了Granger因果檢驗(yàn)。研究結(jié)果表明：國際資本流入與人民幣匯率之間存在長期的均衡關(guān)系；而從短期來看，通過NFDI的形式流入我國的國際資本對人民幣匯率存在較大影響而通過FDI的形式流入我國的國際資本對人民幣匯率無影響；進(jìn)一步的格蘭杰因果檢驗(yàn)證明了外資流入是人民幣匯率的格蘭杰原因，而人民幣匯率不是外資流入的格蘭杰原因。 本文的研究內(nèi)容可以分為五章：第1章為緒論，簡要介紹了本文的研究背景及研究意義、國內(nèi)外學(xué)者對該課題的研究狀況，并在前人研究的基礎(chǔ)上提出本研究的創(chuàng)新點(diǎn)及難點(diǎn)；第2章為理論研究，對與國際資本流動相關(guān)的匯率決定理論進(jìn)行比較分析，并就國際資本流入對匯率的作用機(jī)制進(jìn)行了剖析；第3章為定性研究，主要介紹了國際資本流入的現(xiàn)狀、人民幣匯率制度的歷史演變及各個時(shí)期的人民幣匯率水平；第4章為定量研究，主要對國際資本流入與人民幣匯率之間的關(guān)系進(jìn)行了Johansen協(xié)整檢驗(yàn)、構(gòu)建了VEC模型并進(jìn)行了Granger因果檢驗(yàn)；第5章為政策建議部分，該章結(jié)合實(shí)證研究的結(jié)論對流入我國的國際資本管理及人民幣匯率制度建設(shè)提供了相應(yīng)的政策建議。
[Abstract]:This paper intends to establish a behavioral equilibrium exchange rate model, and on the basis of this model, to carry out an econometric analysis of the impact of international capital inflows on the RMB exchange rate. The purpose of this paper is to test the impact of international capital inflows on the exchange rate of RMB by using the empirical data of China's current international capital inflows. It also provides policy implications and suggestions for capital system construction and RMB exchange rate management under the new situation of deep development of China's opening to the outside world. With the deepening of China's reform and opening up, the domestic stable political environment and good investment environment attract a large number of foreign capital inflow. However, the inflow of foreign capital brings opportunities to China's economic development, but also brings a lot of threats. In recent years, the RMB exchange rate has been rising, which seriously affects China's export trade. So are international capital inflows responsible for this consequence, or are other factors at work? If so, the direction and mechanism of their action need to be studied in order to find out the scientific answer. There are few relevant studies and limited depth in China, which is obviously not enough to answer these questions. According to the reality of China's economic development, the conclusion of this study will provide scientific policy implications and suggestions for the reform of China's exchange rate policy and monetary policy. This paper adopts the research method of combining normative research with empirical study, qualitative analysis with quantitative analysis, and demonstrates the influence of international capital inflow on exchange rate. Firstly, this paper analyzes and compares the exchange rate decision theory related to international capital flow, and clarifies the mechanism of the effect of international capital inflow on exchange rate. Secondly, the paper analyzes the current situation of foreign capital inflow, the historical evolution of RMB exchange rate system and the exchange rate level in each historical period. Through qualitative analysis, it finds that the international capital and RMB exchange rate are both rising. Finally, the relationship between international capital inflow and RMB exchange rate is tested by Johansen cointegration test using econometric method, and VEC model is constructed and Granger causality test is carried out. The results show that: there is a long-term equilibrium relationship between international capital inflows and RMB exchange rate; In the short term, the international capital flowing into China through NFDI has great influence on the RMB exchange rate, while the international capital flowing into our country through FDI has no effect on the RMB exchange rate. A further Granger causality test proved that the inflow of foreign capital was the Granger cause of the RMB exchange rate, while the RMB exchange rate was not the Granger cause of the FDI inflow. The research content of this paper can be divided into five chapters: the first chapter is introduction, briefly introduces the research background and significance of this paper, the research status of domestic and foreign scholars on this subject, and puts forward the innovation and difficulties of this research on the basis of previous studies; The second chapter is the theoretical research. It makes a comparative analysis of the exchange rate decision theory related to international capital flows, and analyzes the mechanism of the international capital inflow to the exchange rate. The third chapter is qualitative research, mainly introduces the current situation of international capital inflow, the historical evolution of RMB exchange rate system and the level of RMB exchange rate in each period. Chapter 4 is the quantitative research, mainly carries on the Johansen cointegration test to the relationship between the international capital inflow and the RMB exchange rate, constructs the VEC model and carries on the Granger causality test; Chapter 5 is the policy suggestion part, which combines the conclusions of the empirical research to provide the corresponding policy recommendations for the international capital management and the RMB exchange rate regime construction in China.
【學(xué)位授予單位】：山東財(cái)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;F224;F831.7
本文編號：2340576
[Abstract]:This paper intends to establish a behavioral equilibrium exchange rate model, and on the basis of this model, to carry out an econometric analysis of the impact of international capital inflows on the RMB exchange rate. The purpose of this paper is to test the impact of international capital inflows on the exchange rate of RMB by using the empirical data of China's current international capital inflows. It also provides policy implications and suggestions for capital system construction and RMB exchange rate management under the new situation of deep development of China's opening to the outside world. With the deepening of China's reform and opening up, the domestic stable political environment and good investment environment attract a large number of foreign capital inflow. However, the inflow of foreign capital brings opportunities to China's economic development, but also brings a lot of threats. In recent years, the RMB exchange rate has been rising, which seriously affects China's export trade. So are international capital inflows responsible for this consequence, or are other factors at work? If so, the direction and mechanism of their action need to be studied in order to find out the scientific answer. There are few relevant studies and limited depth in China, which is obviously not enough to answer these questions. According to the reality of China's economic development, the conclusion of this study will provide scientific policy implications and suggestions for the reform of China's exchange rate policy and monetary policy. This paper adopts the research method of combining normative research with empirical study, qualitative analysis with quantitative analysis, and demonstrates the influence of international capital inflow on exchange rate. Firstly, this paper analyzes and compares the exchange rate decision theory related to international capital flow, and clarifies the mechanism of the effect of international capital inflow on exchange rate. Secondly, the paper analyzes the current situation of foreign capital inflow, the historical evolution of RMB exchange rate system and the exchange rate level in each historical period. Through qualitative analysis, it finds that the international capital and RMB exchange rate are both rising. Finally, the relationship between international capital inflow and RMB exchange rate is tested by Johansen cointegration test using econometric method, and VEC model is constructed and Granger causality test is carried out. The results show that: there is a long-term equilibrium relationship between international capital inflows and RMB exchange rate; In the short term, the international capital flowing into China through NFDI has great influence on the RMB exchange rate, while the international capital flowing into our country through FDI has no effect on the RMB exchange rate. A further Granger causality test proved that the inflow of foreign capital was the Granger cause of the RMB exchange rate, while the RMB exchange rate was not the Granger cause of the FDI inflow. The research content of this paper can be divided into five chapters: the first chapter is introduction, briefly introduces the research background and significance of this paper, the research status of domestic and foreign scholars on this subject, and puts forward the innovation and difficulties of this research on the basis of previous studies; The second chapter is the theoretical research. It makes a comparative analysis of the exchange rate decision theory related to international capital flows, and analyzes the mechanism of the international capital inflow to the exchange rate. The third chapter is qualitative research, mainly introduces the current situation of international capital inflow, the historical evolution of RMB exchange rate system and the level of RMB exchange rate in each period. Chapter 4 is the quantitative research, mainly carries on the Johansen cointegration test to the relationship between the international capital inflow and the RMB exchange rate, constructs the VEC model and carries on the Granger causality test; Chapter 5 is the policy suggestion part, which combines the conclusions of the empirical research to provide the corresponding policy recommendations for the international capital management and the RMB exchange rate regime construction in China.
【學(xué)位授予單位】：山東財(cái)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;F224;F831.7
【參考文獻(xiàn)】
相關(guān)期刊論文 前4條
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本文編號：2340576
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