【摘要】：在開放的經(jīng)濟(jì)環(huán)境下，貨幣政策的有效性受到匯率變動(dòng)的影響。匯率調(diào)整會(huì)改變本幣和外幣的相對(duì)價(jià)格，進(jìn)而改變本幣和外幣資產(chǎn)的收益水平，改變國(guó)內(nèi)利率水平。匯率調(diào)整也會(huì)改變兩國(guó)之間貿(mào)易品的相對(duì)價(jià)格，進(jìn)而引起進(jìn)出口的改變以及貿(mào)易品價(jià)格調(diào)整，進(jìn)而影響產(chǎn)出和就業(yè)，最終導(dǎo)致實(shí)際的經(jīng)濟(jì)變量變動(dòng)偏離原有的貨幣政策目標(biāo)。因此，研究人民幣升值對(duì)我國(guó)貨幣政策效率的影響，以及降低匯率變動(dòng)給貨幣政策帶來(lái)的負(fù)面沖擊具有重要的理論意義和研究?jī)r(jià)值。 本文首先采用OLS方法利用VAR模型研究匯率變動(dòng)對(duì)貨幣政策過(guò)程效率和整體效率的影響，將貨幣政策影響機(jī)制簡(jiǎn)單化，抽取關(guān)鍵的經(jīng)濟(jì)變量，考察匯率變動(dòng)對(duì)相關(guān)的經(jīng)濟(jì)變量的影響程度來(lái)分析匯率的變動(dòng)使貨幣政策實(shí)施的關(guān)鍵經(jīng)濟(jì)變量的反應(yīng)快慢及反應(yīng)程度。然后利用動(dòng)態(tài)隨機(jī)一般均衡模型研究匯率變動(dòng)對(duì)貨幣政策效率的影響，首先從經(jīng)濟(jì)資源的分配利用出發(fā)，確定主要的經(jīng)濟(jì)體。由于環(huán)境具有不確定性，各經(jīng)濟(jì)主體需要在一定的資源約束、技術(shù)約束和信息約束等條件下對(duì)其目標(biāo)函數(shù)進(jìn)行優(yōu)化以制定最優(yōu)的行為決策，通過(guò)對(duì)這些隨機(jī)優(yōu)化問(wèn)題進(jìn)行求解，，我們可以得到經(jīng)濟(jì)主體在不確定環(huán)境下最優(yōu)的行為方程和行為決策，然后用適當(dāng)?shù)募涌偧夹g(shù)得到經(jīng)濟(jì)總量滿足的行為方程，從而保證宏觀經(jīng)濟(jì)理論和微觀經(jīng)濟(jì)分析的一致性。然后對(duì)模型進(jìn)行貝葉斯估計(jì)，確定模型參數(shù)，然后分別給模型不同的匯率沖擊，觀察符合泰勒規(guī)則的貨幣政策傳導(dǎo)渠道、中介目標(biāo)和最終目標(biāo)的反應(yīng)程度，并以此確定匯率變動(dòng)對(duì)貨幣政策傳導(dǎo)效率、過(guò)程效率和整體效率。最終得出結(jié)論匯率變動(dòng)能夠顯著的降低貨幣政策效率，而且劇烈的匯率沖擊對(duì)經(jīng)濟(jì)系統(tǒng)有嚴(yán)重的破壞作用，所以為了保證貨幣政策的效率，需要制定相應(yīng)的匯率政策來(lái)熨平貨幣政策帶來(lái)的匯率沖擊。
[Abstract]:In an open economic environment, the effectiveness of monetary policy is affected by exchange rate changes. Exchange rate adjustments change the relative prices of local and foreign currencies, thereby changing the income level of local currency and foreign currency assets and the level of domestic interest rates. Exchange rate adjustment will also change the relative price of trade goods between the two countries, which will lead to the change of import and export and the adjustment of trade price, which will affect the output and employment, and eventually lead to the change of actual economic variables deviating from the original monetary policy objectives. Therefore, it is of great theoretical significance and research value to study the influence of RMB appreciation on the efficiency of monetary policy and to reduce the negative impact of exchange rate change on monetary policy. In this paper, OLS method is used to study the influence of exchange rate change on the process efficiency and overall efficiency of monetary policy by using VAR model, the influence mechanism of monetary policy is simplified, the key economic variables are extracted, and the influence degree of exchange rate change on related economic variables is investigated to analyze the response speed and degree of the key economic variables of monetary policy implementation caused by the change of exchange rate. Then the dynamic stochastic general equilibrium model is used to study the influence of exchange rate changes on the efficiency of monetary policy. Firstly, the main economies are determined from the allocation and utilization of economic resources. Because of the uncertainty of the environment, each economic subject needs to optimize its objective function under certain resource constraints, technical constraints and information constraints in order to make the optimal behavior decision. By solving these stochastic optimization problems, we can get the optimal behavior equation and behavior decision of the economic subject in uncertain environment, and then obtain the behavior equation satisfied by the total economic quantity with appropriate summation technology. In order to ensure the consistency of macroeconomic theory and microeconomic analysis. Then the model is estimated by Bayesian, the parameters of the model are determined, and then the different exchange rate shocks of the model are given to observe the monetary policy transmission channels in accordance with Taylor's rule, the response degree of the intermediate target and the final goal, and to determine the transmission efficiency, process efficiency and overall efficiency of exchange rate changes to monetary policy. Finally, it is concluded that exchange rate change can significantly reduce the efficiency of monetary policy, and the severe exchange rate impact has a serious destructive effect on the economic system, so in order to ensure the efficiency of monetary policy, it is necessary to formulate the corresponding exchange rate policy to iron out the exchange rate impact caused by monetary policy.
【學(xué)位授予單位】：廣東商學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F822.0;F832.6

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