本文關(guān)鍵詞：人民幣升值對中國國內(nèi)價值的傳遞效應(yīng)研究　出處：《華中科技大學(xué)》2014年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 人民幣升值 匯率傳遞 進口價格 通脹 資產(chǎn)價格 FAVAR模型 UC模型

【摘要】：2005年,中國人民銀行宣布實行有管理的浮動匯率制,至今人民幣已累計升值超過30%。從當前的國內(nèi)外背景看,我國仍然存在巨額的外匯儲備和較大的貿(mào)易順差,金融危機之后各國出于自身目的將本國經(jīng)濟問題歸咎于人民幣幣值。在可預(yù)見的時間內(nèi),人民幣仍然面臨不小的升值壓力。在此背景下,人民幣升值如何影響國內(nèi)重要的宏觀變量,尤其是直接影響到的國內(nèi)價格,值得特別關(guān)注。從既有研究看,人民幣升值對國內(nèi)價格的影響可分為國內(nèi)進口價格、國內(nèi)通脹(總物價)、國內(nèi)資產(chǎn)價格三個層面。近年來,我國不同價格指數(shù)表現(xiàn)得都不穩(wěn)定。以通脹為例,近十年來發(fā)生了多輪通膨和通縮,比如2007年的通脹和2009年的通縮�，F(xiàn)有研究表明,匯率波動會影響國內(nèi)價格,但是影響程度對不同國家有一定差異。因此,在人民幣持續(xù)升值的背景下,研究人民幣升值對中國國內(nèi)價格的影響,無疑具有重要的現(xiàn)實含義。盡管國際上對匯率影響一國價格進行了較深入的研究,但是國際學(xué)者關(guān)注的問題可能不是中國最應(yīng)關(guān)注的。綜觀國內(nèi)研究,目前還缺乏一個關(guān)于匯率對國內(nèi)不同層面價格的較全面系統(tǒng)的研究,而這即是本文研究的基本動機。 從理論上看,本文全面分析了匯率對國內(nèi)價格傳遞的理論和模型,從中挑選重點領(lǐng)域進行深入研究。理論表明,匯率可對一國國內(nèi)不同層面的價格產(chǎn)生影響。匯率波動首先是對進口價格產(chǎn)生影響,然后匯率變化將傳遞至國內(nèi)各類商品的價格,形成對國內(nèi)總物價的影響。金融危機之后,資產(chǎn)價格受到更多重視(物價不包含資產(chǎn)價格)。國際經(jīng)驗表明,資產(chǎn)價格往往會隨匯率變化而波動。綜上,本文挑選的匯率對國內(nèi)價格影響的三個角度是：國內(nèi)進口價格、國內(nèi)總物價、國內(nèi)資產(chǎn)價格。既有研究對上述問題還存在一定的爭議,有些結(jié)論還需提供更多的證據(jù)予以支撐。從實證應(yīng)用上看,本文將根據(jù)具體的研究問題,靈活運用因子增廣的向量自回歸(FAVAR)模型、不可觀測成分(UC)模型等較前沿的計量方法和向量自回歸(VAR)模型、自回歸分布滯后(ADL)模型等傳統(tǒng)方法,以期能夠得到具有一定創(chuàng)新性的研究結(jié)論。盡管追求復(fù)雜計量技術(shù)不是本文的目的,但是在保證計量模型和經(jīng)濟思想適用性的基礎(chǔ)上,更前沿的計量方法可以研究更復(fù)雜的問題、得到更準確的結(jié)論。本文的創(chuàng)新主要體現(xiàn)在數(shù)據(jù)的使用、模型方法、研究的視角、研究的結(jié)論等四方面,具體的研究結(jié)論及其創(chuàng)新含義可以歸納如下： 第一,本文利用中美制造業(yè)進出口數(shù)據(jù),研究人民幣升值對國內(nèi)進口價格和分行業(yè)進口價格的傳遞效應(yīng)及其差異性。本文收集了多達1000多種的中美制造業(yè)對外貿(mào)易品的原始數(shù)據(jù),計算相應(yīng)的進口價格指數(shù)�；谶@一數(shù)據(jù)進行估計的結(jié)果顯示,首先,人民幣升值對中國從美國進口制造業(yè)產(chǎn)品價格的傳遞系數(shù)是0.66。盡管匯率傳遞是不完全的,但是也能有效降低中國進口商購買美國制造業(yè)產(chǎn)品的價格。其次,不同子行業(yè)進口價格的傳遞效應(yīng)具有顯著差異。中國從美國進口紡織類的匯率傳遞系數(shù)為0.95,而電力機械設(shè)備的匯率傳遞系數(shù)是0.47。由此說明,美國不同行業(yè)的出口商在中國市場上的定價能力也不同。最后,人民幣升值對進口價格和對出口價格的傳遞效應(yīng)有一定差異。中國向美國出口制造業(yè)產(chǎn)品價格的傳遞系數(shù)為0.53,低于進口價格的傳遞系數(shù)。尤其是紡織類產(chǎn)品,出口傳遞系數(shù)更低。 第二,本文基于單方程ADL模型和高維模型FAVAR模型,多方法、多角度地研究了人民幣升值對國內(nèi)不同通脹指數(shù)和分類指數(shù)的傳遞效應(yīng)。在FAVAR模型中,本文構(gòu)建了涵蓋82個宏觀經(jīng)濟變量的信息集。本文的結(jié)果顯示,人民幣升值對CPI的抑制作用先加強再逐步減弱,人民幣升值對CPI的長期傳遞系數(shù)為0.22。其次,人民幣升值對CPI和PPI的傳遞效應(yīng)明顯有差異,人民幣升值對PPI的傳遞效應(yīng)程度強于對CPI的傳遞效應(yīng)�？赡艿脑蚴�,人民幣升值首先影響進口商品價格,然后傳導(dǎo)至PPI,最后才是CPI,在中間過程中傳遞效應(yīng)可能存在消減。最后,人民幣升值對CPI分類價格的影響程度有一定規(guī)律性。對食品價格的傳遞效應(yīng)最強,對居住價格的傳遞效應(yīng)次之。人民幣升值對CPI分類價格的影響進程也存在一定差異。 第三,本文基于UC模型和VAR模型研究了人民幣升值和股票市場價格之間的關(guān)系和時變性特征,以及不同行業(yè)匯率傳遞效應(yīng)的異質(zhì)性。UC模型的結(jié)果顯示,人民幣匯率和股票市場價格的周期成分在2008年之前和之后呈現(xiàn)相反的關(guān)系。2008年之前是人民幣升值伴隨股市上漲,2008年之后是人民幣升值伴隨股市下跌。由此說明,人民幣匯率和股票市場價格的關(guān)系在2008年時發(fā)生機制改變。其次,人民幣升值對股票市場價格的傳遞程度表現(xiàn)出增強的趨勢。全樣本期內(nèi),對上證綜指波動的解釋比例為1.13%；2005-2008年,對上證綜指波動的解釋比例是1.1%；而2009-2013年期間,這一比例趨近2.5%。最后,人民幣升值對不同行業(yè)股票指數(shù)的影響程度存在差異性。人民幣升值影響最大的是能源行業(yè)和材料行業(yè),影響最小的是電信服務(wù)行業(yè)、日常消費行業(yè)、信息技術(shù)行業(yè)和醫(yī)療保健行業(yè)。 第四,本文總結(jié)匯率波動和國內(nèi)進口價格、通脹、資產(chǎn)價格的經(jīng)驗事實,從中歸納了一些規(guī)律。從日本和德國的貨幣升值經(jīng)驗看,日元的大幅升值導(dǎo)致日本出現(xiàn)了嚴重的通脹和泡沫。與之相比,德國馬克的升值過程對人民幣匯率改革提供了有益啟示,他們采取主動漸進式改革方式,對國內(nèi)經(jīng)濟沒有造成較大的沖擊。所以,人民幣兌美元匯率應(yīng)采用漸進式升值策略。一方面可降低外部壓力,另一方面可避免國內(nèi)經(jīng)濟的大幅波動。當宏觀經(jīng)濟環(huán)境穩(wěn)定時,應(yīng)適度加快人民幣升值的節(jié)奏；宏觀經(jīng)濟環(huán)境受到?jīng)_擊時,應(yīng)適度放緩人民幣升值的節(jié)奏。 根據(jù)人民幣升值對國內(nèi)價格水平傳遞效應(yīng)的實證研究結(jié)果,本文提供以下幾方面政策建議：其一,自主控制人民幣升值,避免人民幣大幅升值。盡管本文的實證結(jié)論認為,人民幣升值能夠一定程度抑制國內(nèi)通脹壓力。但是日本和德國的正反面經(jīng)驗表明,大幅升值不利于國內(nèi)宏觀經(jīng)濟穩(wěn)定。如果人民幣升值過快,將會嚴重影響中國的出口企業(yè),打擊中國的實體經(jīng)濟,進而引起國際熱錢大量流出。上世紀90年代的日本是經(jīng)典的例子。其二,政策制定需要考慮人民幣匯率傳遞因素。盡管對國內(nèi)不同價格的傳遞效應(yīng)有一定差異,但是總的來看,人民幣升值對國內(nèi)各個層面的價格均有一定影響。所以,我國必須加大對匯率傳遞效應(yīng)的研究和測算,盡早將匯率傳遞效應(yīng)納入政策制定的框架之中。其三,要細化分析匯率傳遞效應(yīng)的差異性。從本文的研究看,人民幣匯率對進口價格和對出口價格的傳遞效應(yīng)不同,對不同行業(yè)的傳遞效應(yīng)不同,對不同通脹指數(shù)和分類指數(shù)的傳遞效應(yīng)不同,對不同行業(yè)股市指數(shù)的傳遞效應(yīng)也不同。這都說明,在分析人民幣升值對國內(nèi)具體價格的影響時,不能一概而論。從調(diào)控的角度看,對匯率傳遞的調(diào)控要有一定針對性。
[Abstract]:In 2005, the people's Bank of Chinese announced the introduction of a managed floating exchange rate system since the RMB has appreciated more than 30%. from the current domestic and international background, our country still has huge foreign exchange reserves and large trade surplus countries for their own purposes, blame their economic problems in the value of the renminbi after the financial crisis in the foreseeable time. In the yuan, still faces no small pressure on the appreciation of RMB appreciation. In this context, how to influence the domestic important macroeconomic variables, especially domestic prices directly affect, deserves special attention. From the existing study, influence of RMB appreciation on domestic prices can be divided into the domestic price of imports, domestic inflation (total price) three, level of domestic asset prices. In recent years, China's different price index have unstable performance. With inflation as an example, during the past ten years many rounds of inflation and deflation, for example In 2007 2009 the inflation and deflation. The existing research shows that exchange rate fluctuations will affect the domestic price, but the degree of influence of different countries are different. Therefore, in the continued appreciation of the RMB under the background of research on the impact of RMB appreciation on domestic prices Chinese, has important realistic meaning. Although the international influence on the exchange rate our price is studied, but the international scholars concern may not be Chinese should be most concerned about. In domestic research, there is a lack of research on a different level of exchange rate on domestic prices over the whole surface of the system, which is the basic motivation of this research.
In theory, this paper makes a comprehensive analysis of the exchange rate on the domestic price transmission theory and model, select the key areas for further research. The theory shows that the exchange rate can affect the price of different levels of domestic country. First is the exchange rate fluctuations on the impact of import prices, and exchange rate changes will be transferred to domestic goods the price formation, the impact on total domestic prices. After the financial crisis, asset prices are more attention (the price does not contain the asset price). International experience shows that asset prices tend to fluctuate with changes in the exchange rate. In conclusion, this paper selected the exchange rate on the three aspects of domestic price impact is: domestic prices of imports, domestic prices and domestic asset prices. The existing research there are still some controversy on the above problems, some conclusions need to provide more evidence to support. From the empirical application, this paper will be based on Specific research questions, flexible use of vector autoregressive augmented factor (FAVAR) model, the unobserved components (UC) measurement method and model of advanced vector autoregressive (VAR) model, autoregressive distributed lag (ADL) model and other traditional methods, in order to get the conclusion of the innovative although the pursuit of complex measurement technology. The purpose of this paper is not, but in the foundation to ensure the measurement model and the applicability of the economic thought, method of measurement frontier can study more complex problems, more accurate conclusions. This innovation is mainly reflected in the use of data, model, research perspective, research four conclusion, the specific conclusions of the study and the meaning of innovation can be summarized as follows:
First, the US manufacturing the import and export data, the appreciation of RMB on the domestic price of imported and import price of industry transfer effect and difference of the original data. US manufacturing this collection of as many as 1000 kinds of foreign trade goods, calculate the corresponding import price index. The data based on the estimated results show that first of all, the appreciation of the renminbi transfer coefficient of the prices of manufactured goods to Chinese imported from the United States is 0.66. although the exchange rate pass is not complete, but also can effectively reduce the China importers to buy U.S. manufacturing product prices. Secondly, the transfer effect of import prices in different sub sectors has significant differences. Chinese textile imports from the United States exchange rate pass the coefficient is 0.95, and the power equipment exchange rate transfer coefficient is 0.47.. This indicates that U.S. exporters in different industries China on the market The pricing capacity is also different. Finally, the appreciation of the RMB on import price and there are some differences on the transfer effect of the export price. The transfer coefficient of China exports to the U.S. manufacturing price is 0.53, lower than the transfer coefficient of import prices. Especially the textile products export, transfer coefficient is lower.
Second, the single equation ADL model and FAVAR model based on high dimension, multi method, multi angle study on the transmission effect of RMB appreciation on domestic inflation index and classification index. In the FAVAR model, this paper constructed 82 macroeconomic variables information set. The results show that the RMB revaluation the role of CPI to strengthen gradually weakened, long-term transfer coefficient of CPI for 0.22. followed by RMB appreciation, RMB appreciation has significantly effect on CPI and PPI transfer, RMB appreciation transfer effect of PPI on the degree of CPI transfer effect. The possible reason is that the RMB appreciation first affects the price of imported goods. Then transfer to PPI, and finally CPI, transfer effect may exist in the middle cut process. Finally, the appreciation of the renminbi has certain regularity on the degree of influence of CPI classification on food prices prices. The transfer effect is the strongest, and the transfer effect to the residential price is the second. The effect of RMB appreciation on the CPI classification price is also different.
Third, the UC model and VAR model based on the study of the relationship between the characteristics and variability of RMB appreciation and the stock market price, and the heterogeneity of the.UC model in different sectors of the exchange rate pass through effect display of the periodic component of the RMB exchange rate and stock market prices in 2008 before and after showing the opposite relationship between.2008 years before the appreciation of the Renminbi with the stock market rose after 2008 is RMB appreciation with stock prices. Therefore, the relationship between RMB exchange rate and stock market price in 2008 when the mechanism change. Secondly, the Renminbi revaluation transfer degree of the stock market price showed increasing trend. The whole sample period, the SSE Composite index fluctuation ratio was 1.13%; 2005-2008, the Shanghai composite index fluctuation ratio is 1.1%; and during the period of 2009-2013, this ratio reaching 2.5%. finally, the yuan rise There are differences in the degree of influence on the stock index of different industries. The most influential factor is the energy industry and material industry, and the least affected ones are the telecommunication service industry, the daily consumption industry, the information technology industry and the healthcare industry.
Fourth, this paper summarizes the fluctuation of exchange rate and domestic import prices, inflation, asset prices from empirical facts, summarizes some rules from Japan and Germany. The currency appreciation experience, a sharp appreciation of the yen in Japan appeared serious inflation and bubbles. Compared with Germany's Mark appreciation process provides beneficial enlightenment on the reform of the RMB exchange rate, they take the initiative to gradual reform, did not cause a greater impact on the domestic economy. So, the RMB exchange rate against the dollar should adopt a gradual appreciation strategy. On the one hand can reduce the external pressure, on the other hand can avoid sharp fluctuations in the domestic economy. When a stable macroeconomic environment, should be appropriate to speed up RMB the pace of appreciation; macroeconomic impact to the environment, should be the rhythm of a modest slowdown in RMB appreciation.
According to the results of empirical research of RMB appreciation on domestic price transfer effect, provide the following policy suggestions: first, autonomous control of the appreciation of the renminbi, to avoid the sharp appreciation of the RMB. Although the empirical conclusions of this paper believes that the RMB appreciation can be a certain degree of inhibition of domestic inflation. But Japan and Germany both positive and negative experience shows that a the appreciation is not conducive to domestic macroeconomic stability. If the rapid appreciation of the renminbi, will seriously affect the China export enterprises, China against the real economy, which caused large amounts of hot money outflows. The last century Japan in 90s is the classic example. Secondly, policy makers need to consider the factors of the RMB exchange rate pass. Although there are some differences on the domestic transfer the effect of different price but overall, the appreciation of the RMB on the domestic price level all has certain influence. In our country, must strengthen the research and calculation on the effect of exchange rate pass as soon as possible, will pass through effect of exchange rate policy into the framework. Third, the difference to detailed analysis of the exchange rate pass through effect. From this research, the RMB exchange rate on import price and export price transfer effect of different, different pass effect on different industries the transfer effect of different inflation index and the index of different transfer effect in different industries stock market index is different. This shows that, in the analysis of the impact of RMB appreciation on domestic prices of specific, can not be generalized. From the perspective of regulation, regulation of exchange rate pass should be targeted.

【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832.6;F752.61;F822.5;F832.51

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