發(fā)布時間：2018-07-28 14:14

【摘要】：我國的改革開放已經(jīng)進(jìn)行了三十多年,對外貿(mào)易開放程度日益增強(qiáng),經(jīng)濟(jì)總量躍居全球第二,我國對全球經(jīng)濟(jì)的貢獻(xiàn)越來越大,其國際影響力也進(jìn)一步增強(qiáng)。人民幣匯率的波動與匯率波動對宏觀經(jīng)濟(jì)的影響成為國際金融領(lǐng)域研究的熱點(diǎn)問題,人民幣的匯率水平也然已成為國內(nèi)外關(guān)注的一個核心經(jīng)濟(jì)變量。自2005年7月21日,我國啟動人民幣匯率形成機(jī)制改革以來,我國開始實(shí)行以市場供求為基礎(chǔ)、參考一籃子貨幣進(jìn)行有調(diào)節(jié)、有管理的浮動匯率制度,在此期間人民幣對美元的匯價一直保持小幅,平穩(wěn),漸進(jìn)的升值過程。在當(dāng)前全球經(jīng)濟(jì)復(fù)蘇乏力以及我國經(jīng)濟(jì)面臨下行壓力的背景下,2015年三季度,外匯市場上人民幣匯率出現(xiàn)較大幅度的貶值,引起了全球股市和大宗商品價格的大幅下跌,導(dǎo)致了人民幣匯率雙向波動幅度擴(kuò)大,匯率彈性增強(qiáng)。人民幣匯率的雙向波動必然會影響著我國的宏觀經(jīng)濟(jì)。因此,有必要研究影響匯率波動的因素,以及研究匯率的波動會對我國經(jīng)濟(jì)產(chǎn)生什么樣的影響,以及衡量影響的程度顯得非常重要。本文基于經(jīng)濟(jì)學(xué)理論和計量經(jīng)濟(jì)學(xué)方法,使用1997年1月～2015年12月的宏觀經(jīng)濟(jì)數(shù)據(jù),分析人民幣匯率對我國主要宏觀經(jīng)濟(jì)變量的傳導(dǎo)機(jī)制和傳導(dǎo)效應(yīng),利用EGARCH模型度量了人民幣實(shí)際有效匯率的波動率,構(gòu)建了在開放經(jīng)濟(jì)條件下包含人民幣實(shí)際有效匯率與匯率波動率、進(jìn)出口、國內(nèi)外產(chǎn)出、固定資產(chǎn)投資、外商直接投資額、貿(mào)易條件、開放度、居民消費(fèi)、物價水平、貨幣供給量、利率、外匯儲備、財政支出、國際大宗商品價格等變量的小型月度宏觀經(jīng)濟(jì)聯(lián)立方程組模型,利用三階段最小二乘法對模型進(jìn)行估計,衡量人民幣實(shí)際有效匯率的波動對我國經(jīng)濟(jì)的影響程度。本文的結(jié)論如下:(1)當(dāng)前人民幣的實(shí)際有效匯率沒有出現(xiàn)過度波動,波動幅度仍在央行可容忍的范圍內(nèi);(2)人民幣實(shí)際有效匯率的雙向波動幅度的增加會抑制我國的進(jìn)出口;(3)人民幣實(shí)際有效匯率的升值對我國的進(jìn)出口貿(mào)易的影響滿足馬歇爾-勒納條件;(4)人民幣實(shí)際有效匯率升值會減緩我國產(chǎn)生通貨膨脹的壓力;(5)國際大宗商品價格的波動對我國宏觀經(jīng)濟(jì)的影響是顯著的。最后,本文的創(chuàng)新之處在于:(1)分析了人民幣的實(shí)際有效匯率對宏觀經(jīng)濟(jì)的傳導(dǎo)機(jī)制和傳導(dǎo)效應(yīng),建立了匯率波動性的EGARCH模型,通過對EGARCH模型的估計,度量了人民幣實(shí)際有效匯率的波動率。(2)將匯率的波動率與人民幣匯率一起放到聯(lián)立方程組模型中,建立了開放經(jīng)濟(jì)條件下的宏觀經(jīng)濟(jì)月度聯(lián)立方程組模型,可以更全面地衡量人民幣實(shí)際有效匯率波動對我國宏觀經(jīng)濟(jì)的影響。(3)引入結(jié)構(gòu)性變化的虛擬變量�？疾靺R改和金融危機(jī)沖擊前后對我國宏觀經(jīng)濟(jì)產(chǎn)生的非對稱效應(yīng)。在聯(lián)立方程組模型中,采用兩個虛擬變量分別考慮了國際大宗商品價格對進(jìn)出口,貨幣供給對價格水平的非對稱效應(yīng)。(4)考慮了匯率通過國外價格水平變動對我國宏觀經(jīng)濟(jì)產(chǎn)生影響,選取國際大宗商品價格指數(shù)表示國際大宗商品價格,分析大宗商品價格的變動對我國的國際貿(mào)易以及國內(nèi)價格水平的影響,可以更加全面了解國外的價格波動因素對我國宏觀經(jīng)濟(jì)的影響。
[Abstract]:China's reform and opening up has been carried out for more than thirty years, the openness of foreign trade is increasing, the total economic total is second in the world. Our country has more and more contribution to the global economy and its international influence is further strengthened. The fluctuation of the RMB exchange rate and the impact of exchange rate fluctuations on the macro-economy have become a hot topic in the international financial field. Problem, the exchange rate of RMB has become a core economic variable at home and abroad. Since July 21, 2005, since China started the reform of the RMB exchange rate formation mechanism, China began to carry out a regulated and managed floating exchange rate system based on market supply and demand and a basket of currencies. During this period, the RMB is to the United States. In the three quarter of 2015, the RMB exchange rate in the foreign exchange market fell considerably in the three quarter of 2015, causing a sharp fall in the global stock market and the price of large commodities, leading to the RMB exchange rate. The two-way fluctuation of the exchange rate increases and the exchange rate elasticity increases. The two-way fluctuation of the RMB exchange rate will inevitably affect the macro-economy of our country. Therefore, it is necessary to study the factors affecting the exchange rate fluctuations and how the fluctuation of the exchange rate will affect the economy of our country and the extent of the impact. This article is based on the economy. The theoretical and econometric methods, using macro economic data from January 1997 to December 2015, analyze the transmission mechanism and conduction effect of RMB exchange rate on the main macroeconomic variables in China, use the EGARCH model to measure the fluctuation rate of the actual effective exchange rate of RMB, and build the actual existence of RMB under the conditions of open economy. Effect exchange rate and exchange rate volatility, import and export, domestic and foreign output, fixed assets investment, foreign direct investment, trade conditions, openness, consumption, price level, money supply, interest rate, foreign exchange reserve, fiscal expenditure, international commodity price and other variables, small monthly macroeconomic simultaneous equations model, using the three stage of the smallest two. The results are as follows: (1) there is no excessive fluctuation in the actual effective exchange rate of RMB, and the amplitude of the fluctuation is still within the range of the central bank. (2) the increase of the two-way fluctuation range of the real effective exchange rate of the people's money will be suppressed. The import and export of China is made; (3) the appreciation of the real effective exchange rate of RMB will affect the Marshall Lerner condition in China's import and export trade; (4) the appreciation of the real effective exchange rate of RMB will slow down the pressure of inflation in our country; (5) the impact of the fluctuation of international commodity prices on China's macro-economy is significant. Finally, this paper The innovation lies in: (1) analyzing the transmission mechanism and conduction effect of the real effective exchange rate of RMB on the macro-economy, establishing the EGARCH model of exchange rate volatility, measuring the fluctuation rate of the actual effective exchange rate of RMB by estimating the EGARCH model. (2) putting the volatility of the remittance rate and the RMB exchange rate into the simultaneous equation group. In the model, the macro economic monthly simultaneous equations model under the open economy is set up, which can more comprehensively measure the impact of the RMB real effective exchange rate fluctuation on China's macro-economy. (3) introducing the virtual variables of structural changes, and investigating the asymmetric effect of the exchange reform and the financial crisis before the impact of the financial crisis on China's macro-economy. In the simultaneous equations model, two virtual variables are used to consider the asymmetric effect of international commodity price on import and export and money supply to the price level. (4) considering the influence of the exchange rate on the macro-economy of our country through the change of foreign price level, the international commodity price index is selected to express the price of international commodities. The influence of the change of commodity price on China's international trade and domestic price level can make a more comprehensive understanding of the influence of the foreign price fluctuation on our macro-economy.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.6

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