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  本文選題：人民幣匯率　切入點：國內物價　出處：《南京財經大學》2012年碩士論文　論文類型：學位論文

【摘要】：穩(wěn)定物價和保持人民幣幣值穩(wěn)定都是我國貨幣當局的政策，二者之間存在緊密聯(lián)系，研究二者關系，已成為應用統(tǒng)計學中的重要課題之一。2007年以來，特別是2010年，我國國內消費品物價不斷攀升，物價問題已經成為政府宏觀調控各項工作中的首要任務，與此同時，我國背負著人民幣升值的壓力。正確運用匯率政策對物價的調控作用，準確分析匯率水平的變動對國內物價的影響，對我國宏觀經濟調控有很重要的理論意義和實踐價值。 本文首先介紹了人民幣不斷升值以及物價不斷攀升的國內背景；其次，從“購買力評價”和“巴拉薩-薩繆爾森”為代表的傳統(tǒng)理論、匯率波動對物價的新傳遞理論以及匯率對物價變動的影響渠道三個方面，對匯率和物價之間的理論關系進行了論述；第三，分析了人民幣匯率制度的歷史變遷、人民幣匯率的現(xiàn)狀、國內物價的現(xiàn)狀，同時對匯率與物價之間趨勢做了對比分析；第四，利用匯率改革（2005年7月開始）至2011年3月的月度數(shù)據，對匯率和物價的格蘭杰因果關系做了研究，然后選取進口物價指數(shù)（IPI）、生產者物價指數(shù)(PPI)和消費者物價指數(shù)(CPI)作為國內物價的衡量指標，綜合人民幣匯率、石油價格、消費者預期指數(shù)、消費者滿意指數(shù)、貨幣供應量和銀行間拆借利率五個影響因素，建立VAR模型、脈沖響應、方差分解、協(xié)整分析和誤差修正模型，針對人民幣匯率對國內物價的影響進行了實證分析。最后，結合實證分析，基于物價上漲的控制、人民幣匯率機制的調整、貨幣政策的制定以及人民預期的管理四個方面，提出相關的政策建議。 由上述研究表明：（1）長期來看，人民幣匯率對國內物價的影響存在協(xié)整關系，且對物價起到抑制作用，匯率升值對進口價格指數(shù)和生產者物價指數(shù)的抑制程度大于對消費者物價指數(shù)的抑制程度。（2）中短期來看，人民幣匯率對進口物價指數(shù)和生產者物價指數(shù)的沖擊大于對消費物價指數(shù)的沖擊，并且人民幣升值對進口物價指數(shù)和生產者物價指數(shù)產生負向沖擊，沖擊在半年左右達到最高，然后回落趨于平穩(wěn)，對消費者物價指數(shù)產生正向沖擊，，沖擊幅度很小。（3）人民幣升值對消費品中的食品、居住以及生活資料中的一般日用品沖擊幅度較高，并且高于對消費物價指數(shù)和生產者物價指數(shù)的沖擊幅度。（4）消費者預期指數(shù)、銀行間拆借利率和人民幣匯率是影響物價的主要因素。實證結論為我國政府制定相關的貨幣和匯率政策、穩(wěn)定物價等方面提供一定的參考。
[Abstract]:It is the policy of the monetary authorities of our country to stabilize the price and maintain the stability of the RMB currency, and there is a close relation between them. The study of the relationship between the two has become one of the important topics in applied statistics. Since 2007, especially in 2010, The domestic consumer prices in China are constantly rising, and the price issue has become the primary task of the government in all aspects of macro-control. At the same time, our country is burdened with the pressure of RMB appreciation and correctly applies the role of exchange rate policy in regulating prices. It is of great theoretical significance and practical value to accurately analyze the influence of exchange rate changes on domestic prices. This paper first introduces the domestic background of RMB appreciation and rising prices; secondly, the traditional theories represented by "Purchasing Power Evaluation" and "Barassa-Samuelson". The new transfer theory of exchange rate fluctuation to price and the influence channel of exchange rate on price change are discussed in three aspects: the theoretical relationship between exchange rate and price. Thirdly, the historical change of RMB exchange rate system is analyzed. The current situation of RMB exchange rate, the present situation of domestic price, and the comparative analysis of the trend between exchange rate and price. 4th, using the monthly data of exchange rate reform (from July 2005 to March 2011), The Granger causality between the exchange rate and the price is studied. Then the import price index (IPI), the producer price index (PPI) and the consumer price index (CPI) are selected as the measure of domestic prices, and the RMB exchange rate and the oil price are synthesized. Five factors, consumer expectation index, consumer satisfaction index, money supply and interbank lending rate, are established to establish VAR model, impulse response, variance decomposition, cointegration analysis and error correction model. Finally, based on the empirical analysis, based on the control of price rise, the adjustment of RMB exchange rate mechanism, the formulation of monetary policy and the management of people's expectations, the paper makes an empirical analysis on the impact of RMB exchange rate on domestic prices. Put forward relevant policy recommendations. From the above study, it is shown that, in the long run, the impact of the RMB exchange rate on domestic prices has a cointegration relationship, and it has a restraining effect on prices. The revaluation of the exchange rate inhibits the import price index and the producer price index more than the consumer price index in the short and medium term. The impact of the RMB exchange rate on the import price index and producer price index is greater than on the consumer price index, and the appreciation of the renminbi has a negative impact on the import price index and producer price index. The impact reached its highest level in about half a year. Then the drop leveled off, which had a positive impact on the consumer price index. The impact range was very small. The impact of RMB appreciation on food, housing and general commodities in consumer goods was relatively high. And higher than the impact on the consumer price index and producer price index. The interbank lending rate and RMB exchange rate are the main factors affecting prices. The empirical conclusions provide some references for our government to formulate relevant monetary and exchange rate policies and to stabilize prices.
【學位授予單位】：南京財經大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.6;F726

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本文編號：1610450