本文選題：“金磚四國” + 匯率制度�。� 參考：《上海社會科學院》2012年碩士論文

【摘要】：布雷頓森林體系崩潰后，世界各國的匯率制度進入了一個多元化的時代。但大體可以分為兩類，固定匯率制和自由浮動匯率制度組成的兩極制度以及由多種匯率制度組成的中間匯率制度。匯率制度選擇的不當會直接影響到國家的整個宏觀經(jīng)濟，甚至引發(fā)更深層次的金融危機。因此對于匯率制度選擇的研究具有重要的意義。近些年來新興市場國家例如墨西哥、俄羅斯、東亞以及巴西等，頻繁發(fā)生各種金融危機，這些金融危機與匯率制度都存在著一定的聯(lián)系。本文從新興市場國家中選卻一組具有代表性的國家，即“金磚四國”作為研究對象。采用橫向縱向比較的方式對四國的匯率制度進行深入地研究，探索“金磚四國”匯率制度以及匯率變動的異同性。并采用GARCH模型對里爾、盧比、人民幣和盧布2000年1月3日至2011年12月31日這一時間段的日匯率進行實證分析，探究其匯率所具有的波動特征。以此對四國匯率制度的發(fā)展趨向進行預測，并為我國人民幣匯率制度的進一步改革提出政策建議。 第一章為導論，主要介紹了文章的研究背景，具體的研究思路和方法，，并在最后提出了本文的創(chuàng)新點。第二章為文獻綜述.首先是匯率制度選擇方面的理論研究，主要有經(jīng)濟結(jié)構(gòu)論、退出時機論、經(jīng)濟沖擊論等。之后具體細化到針對發(fā)展中國家的匯率制度選擇方面的研究理論，主要是名義錨理論、原罪論以及兩極化和反兩極化理論。最后為本文研究的“金磚四國”方面的研究文獻綜述。第三章具體分析了巴西、印度、俄羅斯以及中國四個國家匯率制度的具體變遷過程，并進行了橫向比較。第四章則是在第三章的基礎(chǔ)上對四種貨幣的匯率變動進行了分析和比較，并且主要是集中在貨幣的名義及實際有效匯率的變動。第三章和第四章的分析將“金磚四國”匯率制度的大體框架列出，并從中可以研究出其中的異同性。第五章為“金磚四國”匯率波動特征的實證研究，通過GARCH模型的建立，發(fā)掘出匯率序列所存在的集聚性、尖峰厚尾性、自相關(guān)性、外部沖擊性、記憶性、長期影響性以及杠桿效應等波動特征。第六章根據(jù)數(shù)據(jù)建模的結(jié)果進行比較分析，并結(jié)合第三、四章中的研究內(nèi)容進行綜合性的分析。第七章為結(jié)論，根據(jù)之前的研究分析，對“金磚四國”匯率制度存在的共性以及發(fā)展方向作出了大體的判斷，并對人民幣匯率制度的選擇以及今后的改革提出了一些政策意見。
[Abstract]:After the collapse of Bretton Woods system, the exchange rate system of the world entered a pluralistic era. But it can be divided into two types: the two-pole system of fixed exchange rate system and the free floating exchange rate system and the intermediate exchange rate system composed of various exchange rate regimes. The improper choice of exchange rate system will directly affect the whole macroeconomic of the country and even lead to a deeper financial crisis. Therefore, it is of great significance to study the choice of exchange rate regime. In recent years, emerging market countries, such as Mexico, Russia, East Asia and Brazil, frequently occur various financial crises, these financial crises and exchange rate regimes have a certain relationship. In this paper, a group of representative countries, the BRIC countries, is chosen from emerging market countries as the research object. This paper makes an in-depth study of the exchange rate regime of the four countries by means of horizontal and vertical comparison, and explores the similarities and differences of the exchange rate regime and the exchange rate changes of the "BRIC" countries. The daily exchange rate of Lille, rupee, RMB and rouble from January 3, 2000 to December 31, 2011 is analyzed by using GARCH model, and the fluctuation characteristics of exchange rate are explored. This paper forecasts the development trend of the four countries' exchange rate system and puts forward some policy suggestions for the further reform of the RMB exchange rate system in China. The first chapter is the introduction, mainly introduces the research background, the concrete research thought and the method, and finally puts forward the innovation of this paper. The second chapter is a literature review. The first part is the theoretical research on the choice of exchange rate system, including economic structure theory, exit opportunity theory, economic shock theory and so on. After that, the theory of exchange rate regime selection for developing countries is elaborated, including nominal anchor theory, original sin theory and polarization and anti-polarization theory. The last part is the literature review of the BRIC countries. The third chapter analyzes the change process of exchange rate regime in Brazil, India, Russia and China, and makes a horizontal comparison. The fourth chapter analyzes and compares the exchange rate changes of the four currencies on the basis of the third chapter, and mainly focuses on the nominal and actual effective exchange rate changes of the currencies. The third and fourth chapters list the general framework of the BRICs exchange rate regime, from which we can find out the similarities and differences. The fifth chapter is the empirical study of the exchange rate fluctuation characteristics of the "BRICs". Through the establishment of the GARCH model, we find out the agglomeration, the peak and the thick tail, the autocorrelation, the external impact, the memory of the exchange rate sequence. Long-term effects and leverage effects and other characteristics of volatility. The sixth chapter is based on the results of data modeling, and combined with the third and fourth chapters of the research content of a comprehensive analysis. The seventh chapter is the conclusion, according to the previous research and analysis, this paper makes a general judgment on the generality and development direction of the "BRIC" exchange rate system, and puts forward some policy suggestions on the choice of the RMB exchange rate regime and the future reform.
【學位授予單位】：上海社會科學院
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F831.52

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