發(fā)布時間：2018-10-09 07:36

【摘要】：由國際經濟學理論可知,一國貨幣的升值將會導致進口減少或者出口增加,并且會影響到該國國內的物價水平。自2007年我國匯率體制改革以后,匯率呈現(xiàn)穩(wěn)步上升的現(xiàn)象,但貿易順差額依舊在平穩(wěn)增加,人民幣面對著巨大的升值壓力�；谖覈洕F(xiàn)狀,我們將人民幣匯率不完全傳遞的效應大小及變化趨勢作為本文研究的主題,試圖在研究的過程中對我國的匯率傳遞效應做出解釋。雖然國內關于人民幣匯率傳遞的問題研究很多,不過匯率傳遞的多層面角度來研究人民幣匯率傳遞效應大小及趨勢變化卻在少數(shù)。本文結合國內外匯率傳遞相關研究理論,借助多種計量方法來對我國人民幣不完全傳遞效應的大小及趨勢變化進行了較為全面的分析。 本文首先對匯率傳遞問題相關研究文獻進行了較為全面地回顧,并在此基礎上通過理論分析與實證分析相結合的方法,來重點分析了人民幣名義有效匯率對我國進口價格的傳遞效應及變動趨勢。在國內外相關文獻的基礎上,本文建立了匯率傳遞的理論分析框架,通過廠商出口利潤最大化的經濟原理來構建了理論模型,進一步以此理論模型為基礎,推導了多種實證計量模型。 在實證研究部分,本文首先通過計量回歸估計了人民幣匯率傳遞系數(shù)以及變動趨勢。而后通過人民幣匯率傳遞的商品結構效應、國別效應、滯后效應以及非對稱性等方面來較為詳細的分析了人民幣匯率的傳遞效應。主要實證結果如下：我國匯率對進口價格的傳遞效應整體上較低,存在不完全傳遞性,但相對于發(fā)達國家而言仍然較高：我國匯率傳遞效應在整體呈現(xiàn)一定的下降趨勢,但是傳遞效應變化幅度較大；從國別因素來看,我國匯率對進口價格的傳遞相對其它國家而言波動較大；另外,人民幣匯率傳遞呈現(xiàn)一定滯后效應,滯后期較短,因此說明人民幣匯率的波動往往帶來價格水平的快速變動；最后,人民幣匯率傳遞存在非對稱性特征,匯率升值對進口價格的傳遞要高于匯率貶值對進口價格的傳遞,另外匯率波動幅度較大時匯率傳遞效應也較大,當匯率波動幅度較小時匯率是幾乎不傳遞的。
[Abstract]:From the international economic theory, the appreciation of a country's currency will lead to a decrease in imports or an increase in exports, and will affect the domestic price level of that country. Since the reform of China's exchange rate system in 2007, the exchange rate has been rising steadily, but the balance of trade is still increasing steadily, and the RMB is facing great pressure of appreciation. Based on the present economic situation of our country, we take the magnitude and trend of the incomplete transmission of RMB exchange rate as the subject of this paper, and try to explain the effect of exchange rate transmission in the course of the research. Although there are a lot of domestic studies on RMB exchange rate transmission, there are few studies on the magnitude and trend of RMB exchange rate transfer effect from the multi-level perspective of exchange rate transmission. Based on the theory of exchange rate transfer at home and abroad, this paper makes a comprehensive analysis of the magnitude and trend of the incomplete transfer effect of RMB in China with the help of various econometric methods. Firstly, this paper reviews the relevant literatures on exchange rate transmission, and then combines theoretical analysis with empirical analysis. The transfer effect and trend of nominal effective exchange rate of RMB on China's import price are analyzed. On the basis of domestic and foreign literature, this paper establishes the theoretical analysis framework of exchange rate transmission, constructs the theoretical model through the economic principle of maximizing the export profit of the manufacturer, and takes the theoretical model as the basis. Several empirical econometric models are derived. In the part of empirical research, this paper estimates the transfer coefficient of RMB exchange rate and the trend of change by econometric regression. Then the transfer effect of RMB exchange rate is analyzed in detail from commodity structure effect, country effect, lag effect and asymmetry of RMB exchange rate. The main empirical results are as follows: the transfer effect of exchange rate on import price in China is relatively low, but it is still relatively high compared with developed countries. However, the transfer effect varies greatly; from the point of view of country factors, the exchange rate of our country fluctuates more than that of other countries. In addition, RMB exchange rate transmission shows a certain lag effect, and the lag period is relatively short. Therefore, the fluctuation of RMB exchange rate often brings rapid change of price level. Finally, the transmission of RMB exchange rate is asymmetric, and the transfer of exchange rate appreciation to import price is higher than that of exchange rate depreciation to import price. In addition, the exchange rate transfer effect is also larger when the exchange rate fluctuation range is large, when the exchange rate fluctuation range is small, the exchange rate is almost not transmitted.
【學位授予單位】：鄭州大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.6;F752.61

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本文編號：2258509