本文選題：通貨膨脹預(yù)期 + 匯率��； 參考：《中國科學(xué)技術(shù)大學(xué)》2017年碩士論文

【摘要】：通貨膨脹預(yù)期與通貨膨脹率不同的地方在于,通貨膨脹預(yù)期是一種非客觀存在的公眾對(duì)通貨膨脹率的心理預(yù)期值。作為心理預(yù)期數(shù)據(jù)由此帶來的不可觀測性使得通貨膨脹預(yù)期的形成過程有四種假說,本文比較了四種假說的預(yù)期形成機(jī)理,并選擇了理性預(yù)期假說作為預(yù)測通貨膨脹預(yù)期數(shù)據(jù)的基礎(chǔ)。狀態(tài)空間模型則以理性預(yù)期預(yù)期假說為基礎(chǔ),本文在其基礎(chǔ)上得出了我國的通貨膨脹預(yù)期數(shù)據(jù)。隨著全球經(jīng)濟(jì)環(huán)境和各國貨幣政策分化的加劇,人民幣匯率的波動(dòng)驟然加劇,并且由以前的單邊走勢轉(zhuǎn)變?yōu)殡p向波動(dòng),匯率走勢的不可預(yù)測性增加了我國實(shí)體經(jīng)濟(jì)穩(wěn)定發(fā)展的風(fēng)險(xiǎn)。值得注意的是,對(duì)于開放經(jīng)濟(jì)體而言,無論是在新型的通貨膨脹目標(biāo)制下還是在傳統(tǒng)的貨幣供應(yīng)量中介目標(biāo)制下,物價(jià)穩(wěn)定的目標(biāo)都很難與匯率穩(wěn)定的目標(biāo)相協(xié)調(diào)。因?yàn)樵谪泿殴⿷?yīng)量作為中介目標(biāo)的貨幣政策框架下,物價(jià)水平的調(diào)控依靠的是貨幣供應(yīng)量,且購買力平價(jià)理論證實(shí)了,現(xiàn)行紙幣流通環(huán)境下,通貨膨脹率可以通過影響貨幣的價(jià)值量而影響匯率。因此,在傳統(tǒng)的貨幣供應(yīng)量貨幣政策框架下,貨幣政策會(huì)通過事后調(diào)控通貨膨脹率進(jìn)而影響匯率的走勢。此外,在通貨膨脹目標(biāo)制下,政策工具和最終目標(biāo)之間并沒有其他的中介目標(biāo),貨幣當(dāng)局通過管理通貨膨脹預(yù)期并調(diào)整目標(biāo)通貨膨脹率和實(shí)際通貨膨脹率的差距來管理物價(jià)水平,管理物價(jià)水平的最終結(jié)果是實(shí)際通貨膨脹率與目標(biāo)通貨膨脹率的持平,而研究表明通貨膨脹預(yù)期的調(diào)整同樣影響匯率的變動(dòng),也即通脹目標(biāo)制下貨幣當(dāng)局事前管理通貨膨脹預(yù)期同樣會(huì)引起匯率波動(dòng)。考慮到兩種政策框架下匯率的穩(wěn)定與物價(jià)的穩(wěn)定的協(xié)調(diào)性問題并沒有解決,因此,本文在"物價(jià)穩(wěn)定與匯率相對(duì)穩(wěn)定"雙目標(biāo)下,通過構(gòu)建向量自回歸模型實(shí)證研究并比較了我國的通貨膨脹率和通貨膨脹預(yù)期的變動(dòng)帶來的人民幣匯率波動(dòng)效應(yīng)。結(jié)果表明,通貨膨脹預(yù)期變動(dòng)帶來的匯率波動(dòng)遠(yuǎn)遠(yuǎn)小于通貨膨脹率變動(dòng)帶來的匯率波動(dòng)。因此,從維護(hù)物價(jià)穩(wěn)定和匯率相對(duì)穩(wěn)定的角度,以通貨膨脹預(yù)期為目標(biāo)的通脹目標(biāo)制貨幣政策框架要優(yōu)于貨幣供應(yīng)量為中介目標(biāo)的貨幣政策框架。
[Abstract]:The difference between inflation expectation and inflation rate lies in the fact that inflation expectation is a kind of non-objective public psychological expectation of inflation rate. As a result of the unobservability of psychological expectation data, there are four hypotheses about the formation of inflation expectations. This paper compares the formation mechanism of the four hypotheses. The rational expectation hypothesis is chosen as the basis of predicting inflation expectation data. The state space model is based on the hypothesis of rational expectation, based on which the inflation expectation data of our country are obtained. With the intensification of the global economic environment and the polarization of monetary policies in various countries, the volatility of the RMB exchange rate has suddenly increased, and has changed from a unilateral trend to a two-way fluctuation. The unpredictable trend of exchange rate increases the risk of stable development of our real economy. It is worth noting that, for open economies, whether under the new inflation target system or the traditional money supply intermediary target system, the price stability target is difficult to coordinate with the exchange rate stability target. Because within the framework of monetary policy, where money supply is the intermediate target, the regulation of price levels depends on money supply, and the theory of purchasing power parity confirms that in the current currency circulation environment, Inflation can affect exchange rates by influencing the value of money. Therefore, under the framework of traditional monetary policy of money supply, monetary policy will influence the trend of exchange rate by controlling inflation rate afterwards. In addition, under the inflation targeting system, there is no other intermediate target between the policy instruments and the final target. Monetary authorities manage price levels by managing inflation expectations and adjusting the gap between target and real inflation rates, the ultimate result of which is that the real inflation rate is equal to the target inflation rate. The study shows that the adjustment of inflation expectation also affects the change of exchange rate, that is, under the inflation target system, the monetary authorities manage inflation expectation in advance will also cause exchange rate fluctuations. Considering that the coordination between exchange rate stability and price stability has not been solved under the two policy frameworks, this paper aims at "price stability and relative stability of exchange rate". By constructing a vector autoregressive model, this paper studies and compares the fluctuation effect of RMB exchange rate caused by inflation rate and inflation expectation in China. The results show that the exchange rate fluctuation caused by the change of inflation expectation is much smaller than that caused by the change of inflation rate. Therefore, from the point of view of maintaining price stability and relative stability of exchange rate, the inflation target monetary policy framework with inflation expectation as the target is better than the monetary policy framework with money supply as the intermediate target.
【學(xué)位授予單位】：中國科學(xué)技術(shù)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F822.5;F832.6

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 何國華;吳金鑫;;金融市場開放下中國最優(yōu)貨幣政策規(guī)則選擇[J];國際金融研究;2016年08期

2 連飛;;基于開放經(jīng)濟(jì)DSGE模型的匯率沖擊對(duì)宏觀經(jīng)濟(jì)的影響——兼議轉(zhuǎn)型時(shí)期不同貨幣政策規(guī)則的有效性[J];投資研究;2016年04期

3 譚余夏;潘明清;張典;;國際貨幣博弈視角的人民幣匯率變動(dòng)研究——基于雙邊隨機(jī)邊界模型的實(shí)證分析[J];宏觀經(jīng)濟(jì)研究;2016年03期

4 黃繼煒;;匯率穩(wěn)定性、資本項(xiàng)目開放度與貨幣政策獨(dú)立性的測度——以東亞國家為例[J];投資研究;2014年11期

5 馬文濤;;全球視角的通貨膨脹預(yù)期管理:歷史經(jīng)驗(yàn)與現(xiàn)實(shí)啟示[J];數(shù)量經(jīng)濟(jì)技術(shù)經(jīng)濟(jì)研究;2014年11期

6 蔡彤娟;張曉延;楊崇兵;;利率市場化改革背景下我國貨幣政策中介目標(biāo)的選擇——基于SVAR模型的實(shí)證分析[J];宏觀經(jīng)濟(jì)研究;2014年10期

7 趙華春;Jeffrey Forrest;;通貨膨脹與匯率相互作用的內(nèi)在機(jī)制——來自中國的實(shí)證[J];管理評(píng)論;2013年04期

8 奚君羊;賀云松;;中國貨幣政策的福利損失及中介目標(biāo)的選擇——基于新凱恩斯DSGE模型的分析[J];財(cái)經(jīng)研究;2010年02期

9 張蓓;;我國居民通貨膨脹預(yù)期的性質(zhì)及對(duì)通貨膨脹的影響[J];金融研究;2009年09期

10 藍(lán)樂琴;仇喜雪;;匯率、貨幣政策變動(dòng)對(duì)我國通貨膨脹的影響分析——基于協(xié)整和狀態(tài)空間模型的實(shí)證研究[J];財(cái)經(jīng)論叢;2009年05期

，

本文編號(hào)：2118556