【摘要】：經(jīng)濟體的匯率傳遞是否存在不完全效應(yīng)一直是國際經(jīng)濟學(xué)研究中的核心問題。一方面經(jīng)濟學(xué)傳統(tǒng)理論認(rèn)為匯率變動與進口商品價格變動應(yīng)該是同比例的，但是現(xiàn)實情況卻與之不符；另一方面，匯率波動引起進口商品價格變動將傳遞到總體價格，影響經(jīng)濟體經(jīng)濟運行，因此研究匯率傳遞具有現(xiàn)實意義�，F(xiàn)有文獻(xiàn)多集中于研究發(fā)達(dá)經(jīng)濟體，忽略了對新興經(jīng)濟體的考察。 本文以理論分析與實證檢驗相結(jié)合的方法對新興經(jīng)濟體的匯率傳遞不完全效應(yīng)進行了研究。首先指出傳統(tǒng)理論假定的完全競爭市場和無成本套利條件在現(xiàn)實中并不成立。接著從微觀層面分析，選取需求和供給兩個角度考察導(dǎo)致匯率不完全傳遞的原因。最后從宏觀角度分析影響匯率傳遞的有關(guān)因素。本文以31個新興經(jīng)濟體為研究對象，，選取1980年至2011年相關(guān)數(shù)據(jù)進行實證研究。通過建立具有微觀基礎(chǔ)的實證模型，利用組群平均（MG）估計和混合組群平均（PMG）估計發(fā)現(xiàn)新興經(jīng)濟體的匯率傳遞存在不完全效應(yīng)，并且不同經(jīng)濟體之間匯率傳遞系數(shù)并不一致。隨后利用完全修正普通最小二乘估計法（FMOLS）和動態(tài)普通最小二乘估計法（DOLS）得到匯率傳遞系數(shù)分別為0.76和0.78。實證還發(fā)現(xiàn)匯率波動程度較低的經(jīng)濟體的匯率傳遞系數(shù)較低，開放程度高的新興經(jīng)濟體其進口商品價格對匯率變動較為不敏感，通貨膨脹率高的經(jīng)濟體的匯率傳遞系數(shù)較高。在實證研究基礎(chǔ)上，本文提出采取減小匯率波動幅度、維持一定經(jīng)濟開放度、穩(wěn)定通貨膨脹預(yù)期、提高自身競爭力這些政策以保證新興經(jīng)濟體平穩(wěn)持續(xù)的發(fā)展。
[Abstract]:Whether there is incomplete effect of exchange rate transmission in economy is always the core problem in international economics. On the one hand, the traditional theory of economics holds that the exchange rate should be in the same proportion with the change of the price of imported commodities, but the actual situation is not consistent with it. On the other hand, the change of import commodity price caused by exchange rate fluctuation will be transmitted to the overall price, which will affect the economic operation of the economy, so it is of practical significance to study the exchange rate transfer. The existing literature focuses on the advanced economies, neglecting the emerging economies. In this paper, the incomplete effect of exchange rate transmission in emerging economies is studied by theoretical analysis and empirical test. Firstly, it is pointed out that the assumption of perfect competition market and cost-free arbitrage condition in traditional theory is not true in reality. Then, from the micro level analysis, we select demand and supply to investigate the causes of incomplete exchange rate transmission. Finally, from a macro point of view to analyze the exchange rate transfer of the relevant factors. In this paper, 31 emerging economies are chosen as the research objects, and the relevant data from 1980 to 2011 are selected for empirical research. Through the establishment of empirical model with microscopic basis, using cluster average (MG) estimation and mixed cluster average (PMG) estimation, it is found that there is incomplete effect of exchange rate transfer in emerging economies. And the exchange rate transfer coefficient between different economies is not consistent. Then the exchange rate transfer coefficients of (FMOLS) and (DOLS) are 0.76 and 0.78 respectively. It is also found that the exchange rate transfer coefficient of the economy with low exchange rate fluctuation is lower, the import commodity price of the emerging economy with high opening degree is less sensitive to the exchange rate fluctuation, and the exchange rate transfer coefficient of the economy with high inflation rate is higher. On the basis of empirical research, this paper proposes to reduce the exchange rate volatility, maintain a certain degree of economic openness, stabilize inflation expectations, and improve their own competitiveness in order to ensure the steady and sustainable development of emerging economies.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F830.7

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