本文關(guān)鍵詞： 進口原油價格 人民幣有效匯率 傳導(dǎo)路徑 協(xié)整分析 中介效應(yīng)　出處：《中國礦業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：原油是一種重要的能源資源，被喻為現(xiàn)代工業(yè)的“血液”。作為一種不可再生的能源，原油特殊的生產(chǎn)機制和價格形成機制使原油產(chǎn)量以及原油價格水平時常出現(xiàn)較大的波動。作為重要的生產(chǎn)要素，原油價格波動通過影響投入要素的價格，進而增加生產(chǎn)成本以及產(chǎn)成品的價格，最終影響到一國整體的物價水平，給國民經(jīng)濟帶來一定的影響。作為全球最大的大宗貿(mào)易商品，原油價格波動深刻的影響著不同經(jīng)濟體的貿(mào)易活動以及貨幣政策，對整個世界的經(jīng)濟增長以及經(jīng)濟發(fā)展的質(zhì)量都產(chǎn)生重要的影響。隨著中國經(jīng)濟的快速發(fā)展，我國原油消費量以及石油對外依存度不斷上升，原油價格的劇烈波動對我國宏觀經(jīng)濟發(fā)展產(chǎn)生的影響也愈加明顯。而匯率作為重要的國際經(jīng)濟變量，，在國民經(jīng)濟發(fā)展尤其在對外經(jīng)濟中扮演著極其重要的角色，原油價格是否能通過宏觀經(jīng)濟渠道進而影響到匯率這一研究具有重要的意義。 本文通過定性、定量方法相結(jié)合，從石油的特殊屬性以及原油價格特征入手，運用協(xié)整分析法、中介效應(yīng)分析法，構(gòu)建適當?shù)睦碚撃Ｐ�，對我國進口原油價格對人民幣名義有效匯率的影響進行綜合全面的分析。 首先，本文以匯率的決定理論為基礎(chǔ)，從理論上分析了原油價格對匯率的影響性以及原油價格影響匯率的理論傳導(dǎo)機制，認為原油價格可以從三條渠道路徑對匯率施加影響，分別為國際收支渠道、國內(nèi)經(jīng)濟的物價渠道以及相對經(jīng)濟增長渠道。 其次，在理論分析的基礎(chǔ)之上,以2005年7月匯改后的月度數(shù)據(jù)為研究樣本，運用協(xié)整分析的方法研究了我國進口原油價格與人民幣名義有效匯率之間的關(guān)系。結(jié)果表明上述兩者存在長期的正相關(guān)關(guān)系，我國進口原油價格每上漲1%，人民幣名義有效匯率將隨之升值0.45%。 再次，結(jié)合前文的理論傳導(dǎo)機制，分別從三條傳導(dǎo)渠道中選取我國出口增長速度、外國直接投資額、國內(nèi)消費價格指數(shù)以及我國工業(yè)增加值增長速度四個變量為中間變量，運用調(diào)節(jié)效應(yīng)與中介效應(yīng)的分析方法分別對四個中間變量進行了檢驗。結(jié)果表明這四個中間變量均不是調(diào)節(jié)變量，而都是中介變量。從中介效應(yīng)方向上來看，我國出口增長速度與國內(nèi)消費價格指數(shù)發(fā)揮的是反向的中介作用，而外國直接投資與我國工業(yè)增加值增長速度發(fā)揮的是正向的中介作用。從中介效應(yīng)效果大小上來看，以國內(nèi)消費價格指數(shù)的中介效應(yīng)最為明顯。
[Abstract]:Crude oil is an important energy resource and is regarded as the "blood" of modern industry. The special production mechanism and price formation mechanism of crude oil make the crude oil output and crude oil price level fluctuate frequently. As an important factor of production, the fluctuation of crude oil price affects the price of input elements. And then increase the cost of production and the price of finished products, which will ultimately affect the overall price level of a country and have a certain impact on the national economy. As the largest commodity in the world, Crude oil price fluctuations have a profound impact on the trade activities and monetary policies of different economies, and have an important impact on economic growth and the quality of economic development throughout the world. With the rapid development of China's economy, The consumption of crude oil and the degree of dependence on foreign oil in China have been increasing, and the sharp fluctuation of crude oil price has become more and more obvious to the macroeconomic development of our country. As an important international economic variable, the exchange rate is an important variable in the international economy. It plays an extremely important role in the development of national economy, especially in the foreign economy. The study on whether the crude oil price can influence the exchange rate through macroeconomic channels is of great significance. Through the combination of qualitative and quantitative methods, starting with the special properties of oil and the price characteristics of crude oil, this paper constructs an appropriate theoretical model by using cointegration analysis and intermediary effect analysis. This paper makes a comprehensive and comprehensive analysis of the impact of the import crude oil price on the nominal effective exchange rate of RMB. Firstly, based on the exchange rate decision theory, this paper theoretically analyzes the influence of crude oil price on exchange rate and the theoretical transmission mechanism of crude oil price influencing exchange rate, and concludes that crude oil price can exert influence on exchange rate through three channels. It is the channel of balance of payments, the price channel of domestic economy and the channel of relative economic growth. Secondly, on the basis of theoretical analysis, taking the monthly data after the exchange rate reform in July 2005 as the research sample, The cointegration analysis is used to study the relationship between the price of imported crude oil and the nominal effective exchange rate of RMB. The results show that there is a long-term positive correlation between the two. The nominal effective exchange rate of RMB will rise by 0.45 per cent when the price of imported crude oil rises by 1%. Thirdly, combined with the previous theoretical transmission mechanism, four variables, namely, export growth rate, foreign direct investment, domestic consumer price index and the growth rate of China's industrial added value, are selected as intermediate variables from three transmission channels, respectively. The four intermediate variables are tested by the methods of adjustment effect and intermediary effect respectively. The results show that the four intermediate variables are not adjustment variables, but all intermediate variables. China's export growth rate and domestic consumer price index play a reverse intermediary role, while foreign direct investment and China's industrial value-added growth rate play a positive intermediary role. The intermediary effect of domestic consumer price index is the most obvious.
【學(xué)位授予單位】：中國礦業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F764.1;F832.6

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本文編號：1509110