本文選題：匯率政策 + 貨幣政策��； 參考：《吉林大學(xué)》2014年博士論文

【摘要】：人民幣匯率政策效應(yīng)機(jī)制直接關(guān)系到我國(guó)宏觀經(jīng)濟(jì)調(diào)控體系的完善，完善宏觀調(diào)控體系和人民幣匯率制度改革是中國(guó)經(jīng)濟(jì)長(zhǎng)河中兩個(gè)長(zhǎng)期的熱點(diǎn)問(wèn)題，隨著經(jīng)濟(jì)總量的顯著提升和宏觀經(jīng)濟(jì)對(duì)外依存度的增強(qiáng)，我國(guó)宏觀經(jīng)濟(jì)調(diào)控目標(biāo)逐步確立為保持經(jīng)濟(jì)增長(zhǎng)穩(wěn)定和幣值穩(wěn)定，這既是經(jīng)濟(jì)處于調(diào)整期的基本保障，又是我國(guó)當(dāng)前及今后時(shí)期發(fā)展的核心策略。匯率是聯(lián)結(jié)一國(guó)經(jīng)濟(jì)內(nèi)部與外部的重要樞紐，人民幣匯率政策效應(yīng)作為貨幣政策效應(yīng)的重要組成部分共同促進(jìn)我國(guó)貨幣政策最終目標(biāo)的順利實(shí)現(xiàn)。與西方發(fā)達(dá)國(guó)家浮動(dòng)匯率制下市場(chǎng)化匯率政策不同，人民幣匯率政策一直以來(lái)被我國(guó)央行所控制，根據(jù)相關(guān)理論，此匯率制度下二者在實(shí)現(xiàn)政策目標(biāo)的過(guò)程中不可避免會(huì)相互影響、相互制約，因此本文重在分析貨幣政策與匯率政策同時(shí)對(duì)國(guó)內(nèi)經(jīng)濟(jì)產(chǎn)生影響的情況下，人民幣匯率政策效應(yīng)的具體表現(xiàn)和貨幣政策對(duì)匯率政策經(jīng)濟(jì)效應(yīng)機(jī)制的影響情況，以及人民幣匯率政策與貨幣政策的沖突與協(xié)調(diào)性。 貨幣政策與匯率政策通過(guò)各自政策效應(yīng)預(yù)期搭配以實(shí)現(xiàn)宏觀調(diào)控目標(biāo)，但是這種搭配在我國(guó)長(zhǎng)久以來(lái)匯率制度限制的作用下往往效率一般，宏觀經(jīng)濟(jì)環(huán)境又可能對(duì)二者的效應(yīng)產(chǎn)生影響，因此，本文希望通過(guò)對(duì)人民幣匯率政策效應(yīng)進(jìn)行實(shí)證檢驗(yàn)的方式探尋人民幣匯率政策對(duì)貨幣政策效應(yīng)的影響程度，，以及人民幣匯率政策受貨幣政策的影響程度，以此對(duì)人民幣匯率政策效應(yīng)的有效性以及貨幣政策的獨(dú)立性進(jìn)行客觀的分析與評(píng)價(jià)，最后對(duì)央行匯率政策以及貨幣政策的制定給予建設(shè)性意見(jiàn)和建議。 “Meade沖突”開(kāi)啟了理論界對(duì)匯率政策與貨幣政策相互關(guān)系研究的大門(mén)，本文以經(jīng)典的M-F模型入手，分析了貨幣當(dāng)局選擇不同匯率政策與資本流動(dòng)情況下的貨幣政策有效性，在此基礎(chǔ)上以人民幣匯率政策實(shí)際出發(fā)，對(duì)模型進(jìn)行擴(kuò)展，研究人民幣匯率政策下貨幣政策調(diào)控機(jī)制。之后，借助四象限模型洞察了Dornbusch模型中商品價(jià)格與資產(chǎn)價(jià)格變量動(dòng)態(tài)調(diào)整的過(guò)程，和匯率水平調(diào)整的幅度以及利率與匯率聯(lián)動(dòng)的特征，并以Redux為樣板介紹了NOEM分析政策效應(yīng)的基本框架。由此對(duì)匯率政策和貨幣政策相互問(wèn)題從根源到發(fā)展都進(jìn)行了詳細(xì)的介紹，并針對(duì)人民幣匯率政策進(jìn)行了擴(kuò)展分析。 實(shí)證部分，首先基于通貨膨脹環(huán)境變化視角對(duì)人民幣匯率政策的通貨膨脹傳遞效應(yīng)進(jìn)行了實(shí)證檢驗(yàn)，通過(guò)ARDL模型對(duì)我國(guó)的“Taylor效應(yīng)”進(jìn)行了驗(yàn)證，無(wú)論是長(zhǎng)期還是短期，人民幣匯率的CPI傳遞效應(yīng)均較低，而且低通脹環(huán)境下匯率傳遞效應(yīng)顯著低于總樣本期的傳遞效應(yīng)。匯率傳導(dǎo)渠道效應(yīng)檢驗(yàn)對(duì)通貨膨脹環(huán)境影響匯率傳遞效應(yīng)進(jìn)行了合理的解釋?zhuān)屯ㄘ浥蛎洯h(huán)境下直接渠道和貨幣渠道均受到阻礙；高通貨膨脹環(huán)境下，直接渠道的傳遞效應(yīng)通暢，但是貨幣渠道的反向作用對(duì)傳遞效應(yīng)的低效率起到了決定性作用。 其次，基于貿(mào)易商品定價(jià)貨幣選擇視角對(duì)人民幣匯率政策支出轉(zhuǎn)換效應(yīng)進(jìn)行了研究，從出口廠商利潤(rùn)最大化模型入手導(dǎo)出了本章的實(shí)證計(jì)量模型，以NOEM模型為基礎(chǔ)，在前人的思路下對(duì)貿(mào)易商品定價(jià)貨幣內(nèi)生性進(jìn)行了模型分析。通過(guò)Wald系數(shù)檢驗(yàn)和基于時(shí)變參數(shù)狀態(tài)空間模型的分析發(fā)現(xiàn)，人民幣匯率政策的支出轉(zhuǎn)換效應(yīng)在一定程度上受制于人民幣貨幣政策，但是貨幣政策對(duì)其影響程度有限。因此，要提高人民幣匯率政策的支出轉(zhuǎn)換政策效應(yīng)，需要戰(zhàn)略性的將貿(mào)易商品的定價(jià)貨幣選擇權(quán)與人民幣貨幣政策實(shí)施情況相互配合，在不使人民幣供給波動(dòng)過(guò)大的情況下提高人民幣匯率政策的支出轉(zhuǎn)換效應(yīng)。 再次，對(duì)人民幣匯率—利率聯(lián)動(dòng)效應(yīng)的實(shí)證檢驗(yàn)，兼論了我國(guó)金融狀況指數(shù)的構(gòu)建�；诶势絻r(jià)模型和粘性貨幣模型在我國(guó)的適用性，對(duì)人民幣匯率—利率聯(lián)動(dòng)效應(yīng)進(jìn)行了實(shí)證檢驗(yàn)，在此基礎(chǔ)上運(yùn)用多變量VAR模型脈沖響應(yīng)分析，對(duì)人民幣匯率—利率的影響方向及程度和對(duì)人民幣匯率、利率對(duì)其他價(jià)格變量的沖擊響應(yīng)進(jìn)行了更加細(xì)致的分析。在此基礎(chǔ)上構(gòu)建了我國(guó)的FCI，并分析了其作為央行應(yīng)對(duì)匯率市場(chǎng)沖擊和金融市場(chǎng)沖擊的重要政策工具的可行性。實(shí)證結(jié)果表明，人民幣匯率—利率聯(lián)動(dòng)效應(yīng)的貨幣渠道比較通暢，匯率可以通過(guò)影響利率水平來(lái)對(duì)國(guó)內(nèi)經(jīng)濟(jì)產(chǎn)生影響，因此我國(guó)貨幣政策利率工具和人民幣匯率政策的搭配對(duì)整體經(jīng)濟(jì)價(jià)格的影響是比較顯著的。加入真實(shí)匯率、真實(shí)利率、股票價(jià)格和房地產(chǎn)價(jià)格的我國(guó)FCI，對(duì)CPI的解釋能力較強(qiáng)，可以作為我國(guó)央行應(yīng)對(duì)匯率市場(chǎng)沖擊和金融市場(chǎng)沖擊的重要政策工具。 最后，是基于MS-VAR非對(duì)稱(chēng)性模型對(duì)人民幣匯率政策與貨幣政策沖突效應(yīng)實(shí)證檢驗(yàn)，分析了1994年人民幣匯率制度改革至今，人民幣匯率政策與貨幣政策沖突表現(xiàn)形式和原因，發(fā)現(xiàn)人民幣匯率政策與貨幣政策的沖突在于對(duì)市場(chǎng)流動(dòng)性的控制上，匯率政策通過(guò)外匯儲(chǔ)備對(duì)流動(dòng)性進(jìn)行控制，貨幣政策通過(guò)公開(kāi)市場(chǎng)操作以沖銷(xiāo)匯率政策對(duì)流動(dòng)性的影響，盡可能維持其獨(dú)立性。在對(duì)MS-VAR模型進(jìn)行簡(jiǎn)要介紹的基礎(chǔ)上，選取MSIH(3)-VAR(2)模型對(duì)我國(guó)實(shí)際情況進(jìn)行檢驗(yàn)，通過(guò)模型估算和分區(qū)制的脈沖響應(yīng)分析，根據(jù)模型估算結(jié)果和分區(qū)制脈沖響應(yīng)圖分析人民幣匯率政策與貨幣政策的沖突性與協(xié)調(diào)性。實(shí)證結(jié)果表明，高通貨膨脹區(qū)制下，我國(guó)外匯儲(chǔ)備的增加會(huì)導(dǎo)致市場(chǎng)流動(dòng)性迅速增加，通貨膨脹相對(duì)平穩(wěn)的區(qū)制下，雖然外匯儲(chǔ)備量的增加導(dǎo)致市場(chǎng)流動(dòng)性的增加不是特別顯著，但是由于通暢的傳導(dǎo)機(jī)制，物價(jià)水平的上升幅度比預(yù)期的快；在高通貨膨脹區(qū)制下外匯儲(chǔ)備的上升會(huì)制約我國(guó)宏觀經(jīng)濟(jì)的增長(zhǎng)，而且此區(qū)制下外匯儲(chǔ)備的增加會(huì)對(duì)金融市場(chǎng)造成泡沫化程度增加的危險(xiǎn)。人民幣匯率的升值會(huì)在一定程度上減少外匯儲(chǔ)備，央行在制定匯率政策的時(shí)候必須對(duì)這兩者進(jìn)行權(quán)衡。 本文在研究人民幣匯率政策幾個(gè)重要效應(yīng)的文章主線基礎(chǔ)上，側(cè)重研究了人民幣貨幣政策對(duì)匯率政策效應(yīng)的影響程度，以及現(xiàn)行匯率政策對(duì)貨幣政策效應(yīng)的沖擊。通過(guò)實(shí)證分析可以充分了解人民幣匯率政策的各種宏觀經(jīng)濟(jì)效應(yīng)有效性，以及匯率政策與貨幣政策相互影響的作用機(jī)制，為我國(guó)央行今后制定貨幣政策操作目標(biāo)和最終目標(biāo)、人民幣匯率政策的調(diào)整方向給出了中肯的建議和意見(jiàn)。
[Abstract]:The effect mechanism of the RMB exchange rate policy is directly related to the perfection of our macroeconomic regulation and control system. The improvement of the macroeconomic regulation and control system and the reform of the RMB exchange rate system are two long-term hot issues in the long river of China's economy. With the significant improvement of the economic total and the enhancement of the macro economy, the macroeconomic regulation and control target of our country It is gradually established to maintain the stability of economic growth and the stability of the currency value, which is not only the basic guarantee of the period of economic adjustment, but also the core strategy for the development of China's current and future periods. The exchange rate is an important hub for the internal and external economy of a country, and the effect of the RMB exchange rate policy is promoted together as an important part of the monetary policy effect. The final goal of China's monetary policy is successfully realized. Different from the market-oriented exchange rate policy under the floating exchange rate system in the western developed countries, the RMB exchange rate policy has been controlled by the Central Bank of China. According to the relevant theories, the two parties will inevitably interact and restrict each other in the process of realizing the policy goal. The article focuses on the analysis of the impact of monetary policy and exchange rate policy on domestic economy, the specific performance of the effect of RMB exchange rate policy and the influence of monetary policy on the economic effect mechanism of exchange rate policy, as well as the conflict and coordination of the RMB exchange rate policy and monetary policy.
Monetary policy and exchange rate policy are expected to achieve macro regulation goals through their respective policy effects. But this kind of collocation is often efficient under the effect of China's long term exchange rate system, and the macroeconomic environment may affect the effect of the two. Therefore, this article hopes to carry out the effect of the RMB exchange rate policy. The effect of the RMB exchange rate policy on the monetary policy effect and the influence of the RMB exchange rate policy on the monetary policy are explored, in order to make an objective analysis and evaluation on the effectiveness of the RMB exchange rate policy effect and the independence of the monetary policy. Finally, the exchange rate policy and monetary policy of the central bank are made. Constructive suggestions and suggestions are given.
The "Meade conflict" opens the door to the study of the relationship between the exchange rate policy and the monetary policy in the theoretical circle. This paper, starting with the classic M-F model, analyzes the monetary policy effectiveness of the monetary authorities in choosing different exchange rate policies and capital flows. On this basis, the model is expanded and studied on the basis of the actual situation of RMB exchange rate policy. After studying the regulation mechanism of monetary policy under RMB exchange rate policy, the four quadrant model is used to examine the process of dynamic adjustment of commodity price and asset price in Dornbusch model, the range of exchange rate adjustment and the characteristics of linkage between interest rate and exchange rate, and the basic framework of the policy effect of NOEM analysis is introduced with Redux as a sample. This article gives a detailed introduction to the exchange rate policy and monetary policy problems from the root to the development, and expands the analysis of the RMB exchange rate policy.
In the empirical part, we first empirically test the inflation transfer effect of RMB exchange rate policy based on the perspective of the inflationary environment change, and verify the "Taylor effect" of China through the ARDL model. Both long-term and short-term, the CPI transfer effect of the RMB exchange rate is low and the exchange rate transfer under the low inflation environment. The effect of the exchange rate transmission channel effect is reasonably explained by the effect of the exchange rate channel effect on the exchange rate effect on the inflation environment, the direct channel and the monetary channel are obstructed in the low inflation environment; the transfer effect of direct channel is smooth under the high inflation environment, but the counter of the monetary channel is counter. Direction plays a decisive role in the low efficiency of transfer effect.
Secondly, this paper studies the effect of the exchange rate conversion of RMB exchange rate policy based on the perspective of the currency choice of trade commodity pricing. The empirical measurement model of this chapter is derived from the model of the maximization of the exporters' profit. Based on the NOEM model, the model analysis of the intrinsic property of the trade commodity pricing is carried out under the ideas of the predecessors. Wald The coefficient test and the analysis based on the time-varying parameter state space model find that the conversion effect of the RMB exchange rate policy is subject to the monetary policy of RMB to some extent, but the influence degree of the monetary policy is limited. Therefore, to improve the policy effect of the exchange rate policy of RMB exchange rate, it is necessary to strategically deal with the trade goods. The choice of pricing money and the implementation of the RMB monetary policy are complementary to each other. In the case of not making the RMB supply fluctuating too large, the effect of the exchange rate conversion of RMB exchange rate policy is improved.
Thirdly, the empirical test of the interaction effect of RMB exchange rate and interest rate and the construction of China's financial situation index are also discussed. Based on the applicability of the interest rate parity model and the sticky currency model in our country, the interaction effect of RMB exchange rate and interest rate is empirically tested. On this basis, the multivariable VAR model impulse response analysis is applied to the people. The direction and degree of the influence of the currency exchange rate and interest rate and the impact of the RMB exchange rate and the interest rate on the impact of other price variables are more carefully analyzed. On this basis, the FCI of our country is constructed and the feasibility of its important policy tool as the central bank to deal with the shock of exchange market and the impact of the financial market is analyzed. It is clear that the monetary channel of the interaction effect of RMB exchange rate and interest rate is more smooth, and the exchange rate can affect the domestic economy by affecting the interest rate level. Therefore, the effect of the combination of monetary policy interest rate tools and RMB exchange rate policy on the overall economic price is more significant. China's FCI and real estate prices have strong explanatory power for CPI, which can serve as an important policy tool for our central bank to deal with the impact of the exchange rate market and financial market shocks.
Finally, it is based on the empirical test of the conflict effect between RMB exchange rate policy and monetary policy based on the MS-VAR asymmetric model. It analyses the forms and reasons of the conflict between RMB exchange rate policy and monetary policy in 1994, and finds that the conflict between RMB exchange rate policy and monetary policy lies in the control of market liquidity. On the system, exchange rate policy controls liquidity through foreign exchange reserve. Monetary policy can maintain its independence by selling the exchange rate policy through open market operation to maintain its independence. On the basis of a brief introduction to the MS-VAR model, MSIH (3) -VAR (2) model is selected to test the actual situation in China, and the model is estimated by the model and The impulse response analysis of the zoning system is used to analyze the conflict and coordination between the RMB exchange rate policy and the monetary policy according to the model estimation results and the zoning impulse response diagram. The empirical results show that the increase of China's foreign exchange reserve will lead to the rapid increase in the liquidity of the market and the relatively stable inflation under the system of high inflation. But the increase of foreign exchange reserves leads to the increase of market liquidity is not particularly significant, but because of the smooth transmission mechanism, the price level rises faster than expected; the rise of foreign exchange reserves under the high inflation region will restrict the growth of China's macro-economy, and the increase of foreign exchange reserves under this region will be on the financial market. The appreciation of the RMB exchange rate will reduce the foreign exchange reserves to a certain extent, and the central bank must weigh the two in the formulation of the exchange rate policy.
This paper, based on the main lines of several important effects of RMB exchange rate policy, focuses on the impact of RMB monetary policy on the effect of exchange rate policy and the impact of current exchange rate policy on the effect of monetary policy. Through empirical analysis, we can fully understand the effectiveness of the macroeconomic effects of the exchange rate policy of the people's currency. As well as the interaction mechanism of exchange rate policy and monetary policy, it gives our central bank suggestions and suggestions on the direction and ultimate goal of monetary policy and the adjustment direction of RMB exchange rate policy in the future.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.6;F224;F822.0

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