本文關(guān)鍵詞：人民幣匯率變動(dòng)對(duì)我國(guó)物價(jià)影響的實(shí)證研究　出處：《哈爾濱工業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 人民幣名義有效匯率 匯率傳遞機(jī)制 物價(jià)

【摘要】：布雷頓森林體系崩潰后，固定匯率制逐漸被浮動(dòng)匯率制所替代，世界主要貨幣的波動(dòng)性不斷增強(qiáng)，匯率變動(dòng)對(duì)各國(guó)經(jīng)濟(jì)的影響不斷加劇。又因?yàn)閰R率變動(dòng)對(duì)實(shí)體經(jīng)濟(jì)的影響主要是通過影響一國(guó)物價(jià)水平實(shí)現(xiàn)的，因此匯率變動(dòng)對(duì)物價(jià)的影響成為世界性的研究課題。 2005年我國(guó)進(jìn)行匯率制度改革以來，人民幣匯率的波動(dòng)性增強(qiáng)，，國(guó)際上要求人民幣升值的呼聲不絕于耳，截至2012年6月12日，人民幣相對(duì)于美元已升值30.77%，相對(duì)于歐元升值26.46%，升值幅度明顯。然而伴隨著人民幣匯率的升值我國(guó)的CPI卻一直居高不下，究竟人民幣匯率升值對(duì)我國(guó)物價(jià)的影響如何，人民幣匯率升值能不能有效抑制我國(guó)物價(jià)的上漲，該問題的研究對(duì)于中央銀行正確預(yù)測(cè)我國(guó)未來物價(jià)水平的變化，以便采取適當(dāng)?shù)呢泿耪呒皡R率政策保持物價(jià)水平的穩(wěn)定具有重要的現(xiàn)實(shí)意義。 本文首先界定了匯率傳遞的內(nèi)涵，接著從理論上分析了匯率對(duì)物價(jià)的傳遞機(jī)制，總結(jié)了目前國(guó)內(nèi)外學(xué)者關(guān)于匯率不完全傳遞原因的研究成果，為下文的實(shí)證研究奠定了理論基礎(chǔ)。 在實(shí)證研究方面，本文首先運(yùn)用協(xié)整檢驗(yàn)及向量誤差修正模型分析了人民幣匯率波動(dòng)對(duì)我國(guó)一般價(jià)格水平的長(zhǎng)期和短期傳遞效應(yīng)。從長(zhǎng)期來看，人民幣名義有效匯率波動(dòng)對(duì)一般價(jià)格水平的傳遞效應(yīng)為正，但傳遞效應(yīng)不顯著。從短期來看，人民幣名義有效匯率的沖擊對(duì)進(jìn)口價(jià)格指數(shù)、企業(yè)商品價(jià)格指數(shù)和消費(fèi)者價(jià)格指數(shù)的影響都是負(fù)向的。接下來本文運(yùn)用遞歸最小二乘法研究了人民幣匯率傳遞效果的動(dòng)態(tài)趨勢(shì)，發(fā)現(xiàn)人民幣名義有效匯率對(duì)消費(fèi)者價(jià)格的傳遞效果在整個(gè)研究期間內(nèi)都較低，并且在大部分研究期間內(nèi)傳遞效果在0.2附近波動(dòng)，并且有緩慢上升的趨勢(shì)。后來又研究了人民幣匯率傳遞效果的影響因素，得出匯率波動(dòng)率及經(jīng)濟(jì)規(guī)模是影響我國(guó)匯率傳遞效果的主要因素的結(jié)論。最后本文從價(jià)格傳遞路徑角度對(duì)實(shí)證結(jié)果進(jìn)行了分析并提出了相關(guān)政策建議。
[Abstract]:After the collapse of the Bretton Woods system, the fixed exchange rate system was gradually replaced by the floating exchange rate system, and the volatility of the world's main currencies increased. The impact of exchange rate changes on the economy of various countries is increasing. Also, the impact of exchange rate changes on the real economy is mainly realized by influencing the price level of a country. Therefore, the effect of exchange rate changes on prices has become a worldwide research topic. Since the exchange rate system reform in China in 2005, the volatility of RMB exchange rate has increased, and the international demand for RMB appreciation has been heard, until June 12th 2012. The RMB has appreciated 30.77% against the US dollar and 26.46% relative to the euro. However, with the appreciation of the RMB exchange rate, the CPI of our country has been very high. Whether the appreciation of RMB exchange rate can effectively restrain the rise of prices in China, the research of this question has correctly predicted the change of price level in the future for the central bank. In order to adopt appropriate monetary policy and exchange rate policy to maintain the stability of price level has important practical significance. This paper first defines the connotation of exchange rate transmission, then theoretically analyzes the mechanism of exchange rate transfer to prices, and summarizes the current research results of domestic and foreign scholars on the causes of incomplete exchange rate transmission. It lays a theoretical foundation for the empirical research below. In the empirical research, this paper first uses cointegration test and vector error correction model to analyze the long-term and short-term transfer effects of RMB exchange rate fluctuations on the general price level in China. The transfer effect of RMB nominal effective exchange rate fluctuation on general price level is positive, but the transfer effect is not significant. In the short term, the impact of RMB nominal effective exchange rate on import price index. The influence of enterprise commodity price index and consumer price index is negative. Then this paper studies the dynamic trend of RMB exchange rate transfer effect by using recursive least square method. It is found that the transmission effect of RMB nominal effective exchange rate to consumer price is low during the whole study period and fluctuates around 0.2 during most of the study period. And there is a tendency to rise slowly. Later, the influence factors of the transmission effect of RMB exchange rate are studied. It is concluded that exchange rate volatility and economic scale are the main factors that affect the effect of exchange rate transmission in China. Finally, this paper analyzes the empirical results from the point of view of price transfer path and puts forward relevant policy recommendations.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.6;F726

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本文編號(hào)：1393819