本文關(guān)鍵詞：人民幣匯率波動對國內(nèi)物價和利率的傳導(dǎo)效應(yīng)研究　出處：《哈爾濱工業(yè)大學(xué)》2014年博士論文　論文類型：學(xué)位論文

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【摘要】：20世紀(jì)90年代以來，局部和全球性的金融危機(jī)和經(jīng)濟(jì)波動引起了研究人員的廣泛關(guān)注。無論是1992-1993年的歐洲匯率體系危機(jī)、1994-1995年的巴西金融危機(jī)、1997-1998年的東南亞金融危機(jī)、2007年以來美國次貸危機(jī)引發(fā)的全球性金融危機(jī)，都表現(xiàn)出極強(qiáng)的傳染性。而傳染的重要途徑除了傳統(tǒng)的貿(mào)易途徑外，通過匯率渠道的傳染程度不斷加深。在全球經(jīng)濟(jì)一體化、金融自由化的背景下，通過對匯率波動的關(guān)聯(lián)研究，有助于有效地分析和判斷外部匯率沖擊的影響，并針對性地制定防范對策，維持一國國內(nèi)金融體系和市場體系的穩(wěn)定。 從我國的情況看，中國的浮動匯率制度從1994年1月1日開始實(shí)行的,2005年7月21日，中國的人民幣匯率形成機(jī)制開始實(shí)行以市場供求為基礎(chǔ)的有管理的浮動匯率制度,改變以往單一盯住美元的做法，而是參考一籃子貨幣進(jìn)行調(diào)節(jié)。又分別在2010年6月19日、2011年4月16日先后兩次推進(jìn)了改革，使人民幣匯率彈性得到了增強(qiáng)。從歷史數(shù)據(jù)看，自2005年人民幣匯率形成機(jī)制改革以來，人民幣持續(xù)升值、國內(nèi)通脹水平屢創(chuàng)新高等現(xiàn)象更是引起社會各界的強(qiáng)烈關(guān)注。 本文即針對上述熱點(diǎn)問題，嘗試通過理論分析和實(shí)證研究的方法，全面探討人民幣匯率波動與我國國內(nèi)價格，包括進(jìn)出口商品價格、國內(nèi)消費(fèi)者價格、國內(nèi)資金價格─利率等的關(guān)系。 首先，本文對2000年以來我國國內(nèi)進(jìn)口價格、消費(fèi)者價格、人民幣名義有效匯率、國內(nèi)產(chǎn)出缺口、國際初級商品價格、貨幣供應(yīng)量等進(jìn)行月度數(shù)據(jù)采樣和整理，并在此基礎(chǔ)上構(gòu)建我國進(jìn)口價格、消費(fèi)者價格與各相關(guān)因素的長期均衡模型，分析匯率波動、外部價格沖擊、國內(nèi)需求變動和貨幣沖擊等因素對我國國內(nèi)進(jìn)口價格和消費(fèi)者價格的實(shí)際影響。研究結(jié)論為：長期內(nèi)匯率、國際初級商品價格波動是影響我國進(jìn)口價格指數(shù)的顯著因素，但其對國內(nèi)消費(fèi)者價格波動的影響并不明顯；同時國內(nèi)需求和貨幣供應(yīng)量波動對消費(fèi)者價格的影響也不顯著。樣本期內(nèi)，國內(nèi)消費(fèi)者價格的上漲更多來自CPI自身的粘性所致，可能源于國內(nèi)通脹預(yù)期的不斷強(qiáng)化。分階段分析的結(jié)果表明，匯改后人民幣有效匯率波動對國內(nèi)進(jìn)口價格和消費(fèi)者價格的傳遞效率有所提高，匯率在宏觀經(jīng)濟(jì)中的調(diào)節(jié)作用將逐步增強(qiáng)。 其次，本文應(yīng)用非線性平滑轉(zhuǎn)換模型研究了我國與美國、歐元區(qū)、日本、韓國等有效匯率指數(shù)、綜合利差之間的關(guān)系。實(shí)證分析表明，匯率對利率的影響具有明顯的非對稱性，具有較強(qiáng)的非線性動態(tài)特征。分國別看，四個國家或地區(qū)之間的上期利差均是影響本期利差的重要因素；在短期內(nèi)匯率對利率影響較大。因此，短期內(nèi)人民幣匯率彈性的擴(kuò)大應(yīng)該主動、逐步、穩(wěn)定進(jìn)行，防止人民幣匯率彈性的急劇擴(kuò)大導(dǎo)致利率的過度波動。其次，逐步有序加快利率市場化進(jìn)程并加強(qiáng)與匯率市場化的配合，構(gòu)建高效的匯率-利率聯(lián)動機(jī)制。 在前述研究的基礎(chǔ)上，本文又展開了對利率到物價環(huán)節(jié)的實(shí)證研究。通過選擇國內(nèi)市場化程度較高、能夠有效反映國內(nèi)資金供需的SHIBOR利率，構(gòu)建國內(nèi)利率與物價間的關(guān)系模型，實(shí)證研究結(jié)論認(rèn)為：國內(nèi)利率與物價隨著我國經(jīng)濟(jì)狀態(tài)的變化呈現(xiàn)非線性的變化。當(dāng)經(jīng)濟(jì)發(fā)展相對適度、通脹水平較為溫和時，提高利率能夠有效抑制需求。但是經(jīng)濟(jì)過熱、需求旺盛時，，國內(nèi)高物價往往倒逼高利率的出現(xiàn)，此時提高利率對需求的抑制作用減弱，而受制于我國企業(yè)的融資模式，將會把高利率通過生產(chǎn)渠道轉(zhuǎn)嫁到成本中，進(jìn)而對通脹產(chǎn)生正向沖擊。 通過對匯率、利率、物價三要素之間兩兩關(guān)系的研究，本文認(rèn)為在開放經(jīng)濟(jì)環(huán)境下，匯率、利率和物價三者關(guān)系緊密、相互影響，分析和確定這些經(jīng)濟(jì)指標(biāo)的關(guān)系，對實(shí)現(xiàn)開放經(jīng)濟(jì)的一般均衡（即商品市場、貨幣市場、外匯市場同時平衡）具有重要的意義。因此本文從微觀視角出發(fā)，嘗試構(gòu)建了匯率、利率和物價等相關(guān)指標(biāo)的理論模型，并進(jìn)行了實(shí)證分析。實(shí)證結(jié)果顯示：匯率、利率、價格均是影響自身變動的最主要的因素，三者之間通聯(lián)渠道并不十分順暢；匯率與價格之間的相互影響程度要高于利率與價格、匯率與利率相互影響的程度。因此，通過利率政策來治理通貨膨脹效果并不如匯率政策和貨幣供應(yīng)量政策配合有效。下一步在堅(jiān)持人民幣匯率改革的市場化方向前提下，逐步有序加快利率市場化進(jìn)程并加強(qiáng)與匯率市場化、價格市場化的配合，構(gòu)建高效的價格聯(lián)動機(jī)制。
[Abstract]:Since 1990s, local and global financial crisis and economic fluctuations attracted the attention of researchers. It is the crisis of the European exchange rate system in 1992-1993, Brazil's 1994-1995 financial crisis, the Asian financial crisis in 1997-1998, since 2007 the U.S. subprime mortgage crisis triggered a global financial crisis, showed strong contagion. An important way to infection in addition to trade the traditional approach, deepening the degree of infection through the exchange rate channel. In the global economic integration, financial liberalization background, through to study the correlation between the exchange rate volatility, helps to effectively analyze and judge the impact of the external impact of exchange rate, and to formulate preventive measures, maintain a country's financial system and market system.
In China, the floating exchange rate system China started in January 1, 1994, July 21, 2005, the RMB exchange rate formation mechanism China began to implement based on market supply and demand a managed floating exchange rate system, change the previous single peg, but with reference to a basket of currencies. And in June 19, 2010, April 16, 2011 two to promote the reform, the RMB exchange rate flexibility has been enhanced. From the historical data, since 2005, the RMB exchange rate formation mechanism reform, the continued appreciation of the renminbi, the domestic inflation record higher phenomenon is caused by a strong concern in the community.
Aiming at the above hot issues, this paper attempts to explore the relationship between RMB exchange rate volatility and domestic prices, including import and export commodity prices, domestic consumer prices, domestic capital prices and interest rates through theoretical analysis and empirical research.
First of all, this paper in China since 2000 domestic import prices and consumer prices, the nominal effective exchange rate, domestic output gap, international commodity prices, money supply by sampling and consolidation of monthly data, and on the basis of China's import prices, a long-term equilibrium model of consumer price and relative factors, analysis of exchange rate volatility and external price shocks, the actual impact of domestic demand fluctuation and monetary factors such as the impact on China's domestic import prices and consumer prices. The research conclusions are as follows: the long term exchange rate, the international price of primary commodities are significant factors affecting China's import price index, but its impact on the domestic consumer price volatility is not obvious; at the same time the impact of domestic demand and money supply fluctuation on consumer prices is not significant. The sample period, the domestic consumer price rose more from CPI Due to the viscous body, may be due to domestic inflation expectations continue to strengthen. Phase analysis results show that, after the exchange rate reform of RMB effective exchange rate fluctuations on the domestic transfer efficiency of import prices and consumer prices increased, effect of exchange rate adjustment in the macroscopic economy will gradually increase.
Secondly, this paper applies the nonlinear smooth transition model of China and the United States, the euro area, Japan, South Korea and other effective exchange rate index, the relationship between comprehensive spreads. The empirical analysis shows that the impact of exchange rate on interest rate is obviously asymmetric, with strong nonlinear dynamic characteristics. Different countries, or between the four countries the area spreads are important factors that influence the spread of the exchange rate in the short term; a greater impact on the interest rate. Therefore, expanding the flexibility of the RMB exchange rate in the short term should be active, gradually stable, prevent the rapid expansion of the RMB exchange rate flexibility leads to excessive volatility of the interest rate. Secondly, we should gradually speed up the process of marketization of interest rates and strengthen with the exchange rate market, build efficient linkage mechanism between interest rate and exchange rate.
On the basis of previous research, this paper carried out empirical research on the link to price interest rate. By choosing the domestic market degree is high, can effectively reflect the domestic supply and demand of funds SHIBOR interest rates, domestic interest rates and prices to build the relationship model between the empirical study concluded that: the domestic interest rate and price change with China's economic status the present nonlinear changes. When the economic development is relatively moderate, moderate inflation, raising interest rates to curb demand. But the overheated economy, strong demand, high domestic prices tend to appear forced interest rates, this time to improve the suppression rate on demand, and subject to our country enterprise financing mode will the high interest rates through production channels onto the cost, and have positive impact on inflation.
Based on the exchange rate, interest rate, 22 of the three elements of the relationship between prices, the exchange rate in the open economic environment, interest rates and prices, the relationship between the three closely, mutual influence, and analysis to determine the relationship between these economic indicators, on the implementation of general equilibrium open economy (i.e. the commodity market, money market, foreign exchange market and balance) is of great significance. This paper starts from the micro perspective, attempts to construct a theoretical model of exchange rate, interest rate and price index, and the empirical analysis. The empirical results show that the exchange rate, interest rate, prices are the main influencing factors for the change, between the three communications channel is not very smooth with each other; the influence degree between the exchange rate and the price is higher than the interest rate and price, exchange rate and interest rate affect each other. Therefore, the interest rate policy to control inflation and exchange rate policy as The policy is effective with the money supply policy. Next, under the premise of adhering to the market orientation of RMB exchange rate reform, we should speed up the process of interest rate marketization step by step, strengthen the cooperation with exchange rate marketization and price marketization, and establish an effective price linkage mechanism.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832.6;F726;F822.0

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