【摘要】：匯率和國內(nèi)價格水平，分別作為一國貨幣的對外價值和對內(nèi)價值，，是一國經(jīng)濟體系中重要的兩個價格指標(biāo)。根據(jù)國際經(jīng)濟學(xué)一般理論，匯率和國內(nèi)價格水平存在非常密切的正相關(guān)關(guān)系，當(dāng)一國貨幣的對外價值上升時其對內(nèi)價值也應(yīng)該上升，即匯率升值時，國內(nèi)物價水平下降。然而，自2005年7月匯率制度改革以來，伴隨著人民幣匯率的升值，國內(nèi)物價水平并沒有出現(xiàn)明顯下降，反而在2011年出現(xiàn)高通貨膨脹。本文從人民幣匯率傳遞效應(yīng)及其影響因素的角度對這種現(xiàn)象進(jìn)行解釋。 本文采用規(guī)范分析和實證研究相結(jié)合的方法，從規(guī)范角度對匯率傳遞效應(yīng)的理論基礎(chǔ)及其影響因素進(jìn)行介紹，并利用我國匯改以來的季度數(shù)據(jù)對人民幣匯率變動對CPI的影響進(jìn)行實證研究，建立VAR模型和狀態(tài)空間模型估計人民幣匯率傳遞效應(yīng)的大小、變化趨勢和影響因素。本文還采用了定性分析和定量分析相結(jié)合的研究方法，對匯改以來人民幣匯率和CPI變動情況進(jìn)行定性分析，并利用ARCH模型對人民幣匯率的波動特性進(jìn)行分析。 在采用上述方法的基礎(chǔ)上，本文首先在第一章規(guī)范介紹了匯率傳遞的理論基礎(chǔ)，包括反映物價對匯率影響關(guān)系的一價定律、匯率傳遞路徑和反映匯率對物價影響關(guān)系的因市定價理論。在第二章對匯改以來人民幣匯率和CPI的變動情況進(jìn)行定性和定量分析。匯改以來，人民幣匯率不斷升值，匯率波動浮動有所增大且呈現(xiàn)雙向波動趨勢；國內(nèi)物價水平出現(xiàn)兩次通脹現(xiàn)象，且表現(xiàn)出明顯的輸入性特征；人民幣匯率升值對抑制國內(nèi)通脹作用有限。 接下來第三章，本文首先通過建立VAR模型利用2005年9月至2013年12月的季度數(shù)據(jù)對人民幣匯率變化與CPI的關(guān)系進(jìn)行實證研究，結(jié)果表明人民幣匯率變化是CPI變動的格蘭杰原因，CPI與人民幣名義有效匯率之間存在長期均衡關(guān)系，誤差修正模型結(jié)果表明當(dāng)CPI偏離了長期均衡水平時，其具有自動收斂的自我修正機制。在此基礎(chǔ)上，通過建立人民幣匯率傳遞效應(yīng)的狀態(tài)空間模型，對人民幣匯率傳遞效應(yīng)的變化趨勢進(jìn)行估計，結(jié)果表明人民幣匯率傳遞效應(yīng)在樣本期間呈現(xiàn)上升趨勢。第四章對人民幣匯率傳遞效應(yīng)的影響因素進(jìn)行規(guī)范和實證分析，以對上述研究結(jié)論進(jìn)行解釋。本文的創(chuàng)新之處即將投資開放度納入模型，檢驗資本賬戶開放對人民幣匯率傳遞效應(yīng)的影響。實證結(jié)果表明，匯率波動率、宏觀經(jīng)濟穩(wěn)定性和對外開放度都是影響人民幣匯率傳遞效應(yīng)的重要因素。 通過分析，本文得出以下主要結(jié)論，人民幣升值不僅不能抑制國內(nèi)通貨膨脹，反而會帶來CPI的上漲，人民幣名義有效匯率每變動1%，將帶動CPI變動0.2249%，人民幣匯率傳遞效應(yīng)呈現(xiàn)增大趨勢，在諸多影響因素中，反映資本開放度的投資對外開放度指標(biāo)對人民幣匯率傳遞效應(yīng)的影響最大。 基于以上研究結(jié)果，本文最后提出了具體的政策建議。
[Abstract]:Exchange rate and domestic price level, as the external value and internal value of a country's currency, are two important price indicators in a country's economic system. According to the general theory of international economics, there is a very close positive correlation between the exchange rate and the domestic price level. When the external value of a country's currency rises, its internal value should also rise, that is, when the exchange rate appreciates, the domestic price level drops. However, since the exchange rate system reform in July 2005, with the appreciation of the RMB exchange rate, the domestic price level has not decreased significantly, but in 2011 there was high inflation. This paper explains this phenomenon from the point of view of RMB exchange rate transfer effect and its influencing factors. In this paper, the theoretical basis of exchange rate transfer effect and its influencing factors are introduced from the normative point of view by combining normative analysis with empirical research. Using the quarterly data since China's exchange rate reform, this paper makes an empirical study on the impact of RMB exchange rate changes on CPI, and establishes VAR model and state-space model to estimate the magnitude, trend and influencing factors of RMB exchange rate transfer effect. This paper also adopts qualitative analysis and quantitative analysis to analyze the changes of RMB exchange rate and CPI since the exchange rate reform, and uses ARCH model to analyze the fluctuation characteristics of RMB exchange rate. On the basis of the above methods, the first chapter introduces the theoretical basis of exchange rate transfer, including the one-price law, which reflects the influence of price on the exchange rate. Exchange rate transfer path and market pricing theory reflecting the influence of exchange rate on prices. In the second chapter, the change of RMB exchange rate and CPI is analyzed qualitatively and quantitatively. Since the exchange rate reform, the RMB exchange rate has continuously appreciated, the fluctuation of exchange rate has increased and the trend of two-way fluctuation has been shown, the domestic price level has been inflated twice, and has shown obvious input characteristics. The appreciation of the RMB exchange rate has limited effect on curbing domestic inflation. In the third chapter, this paper first makes an empirical study on the relationship between RMB exchange rate and CPI by establishing VAR model from September 2005 to December 2013. The results show that the change of RMB exchange rate is the Granger cause of CPI change. There is a long-term equilibrium relationship between CPI and RMB nominal effective exchange rate. The result of error correction model shows that when CPI deviates from the long-term equilibrium level, it has a self-correction mechanism of automatic convergence. On this basis, by establishing the state space model of RMB exchange rate transfer effect, the change trend of RMB exchange rate transfer effect is estimated. The result shows that RMB exchange rate transfer effect shows an upward trend during the sample period. The fourth chapter normalizes and empirically analyzes the influencing factors of RMB exchange rate transfer effect to explain the above conclusions. The innovation of this paper is to introduce the investment openness into the model to test the effect of capital account opening on RMB exchange rate transmission. The empirical results show that the exchange rate volatility, macroeconomic stability and the degree of opening to the outside world are all important factors affecting the exchange rate transfer effect of RMB. Through analysis, this paper draws the following main conclusions: RMB appreciation not only can not restrain domestic inflation, but will bring about the rise of CPI. Each change of nominal effective exchange rate of RMB will lead to 0.2249 change of CPI. The transfer effect of RMB exchange rate shows an increasing trend. Among the many influencing factors, the degree of investment openness that reflects the degree of capital openness has the greatest influence on the transmission effect of RMB exchange rate. Based on the above research results, this paper finally put forward specific policy recommendations.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.6

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