人民币汇率变动对我国物价影响的实证研究

国内图书分类号：F822.5学校代码：10213国际图书分类号：336密级：公开经济学硕士学位论文人民币汇率变动对我国物价影响的实证研究硕士研究生：王海连导师：惠晓峰教授申请学位：经济学硕士学科：金融学所在单位：管理学院答辩日期：2012年7月授予学位单位：哈尔滨工业大学ClassifiedIndex:F822.5U.D.C:336DissertationfortheMasterDegreeinEconomicsEMPIRICALEMPIRICALEMPIRICALEMPIRICALRESEARCHRESEARCHRESEARCHRESEARCHONONONONTHETHETHETHEINFLUENCEINFLUENCEINFLUENCEINFLUENCEOFOFOFOFRMBRMBRMBRMBEXCHANGEEXCHANGEEXCHANGEEXCHANGERATERATERATERATEALTERATIONALTERATIONALTERATIONALTERATIONTOTOTOTOPRICEPRICEPRICEPRICEOFOFOFOFCHINACHINACHINACHINACandidateCandidateCandidateCandidate：：：：WangHailianSupervisorSupervisorSupervisorSupervisor：：：：Prof.HuiXiaofengAcademicAcademicAcademicAcademicDegreeDegreeDegreeDegreeAppliedAppliedAppliedAppliedforforforfor：：：：MasterofEconomicsSpecialitySpecialitySpecialitySpeciality：：：：FinanceAffiliationAffiliationAffiliationAffiliation：：：：SchoolofManagementDateDateDateDateofofofofDefenceDefenceDefenceDefence：：：：July,2012Degree-Conferring-InstitutionDegree-Conferring-InstitutionDegree-Conferring-InstitutionDegree-Conferring-Institution：：：：HarbinInstituteofTechnology哈尔滨工业大学经济学硕士学位论文-I-摘要布雷顿森林体系崩溃后，固定汇率制逐渐被浮动汇率制所替代，世界主要货币的波动性不断增强，汇率变动对各国经济的影响不断加剧。又因为汇率变动对实体经济的影响主要是通过影响一国物价水平实现的，因此汇率变动对物价的影响成为世界性的研究课题。2005年我国进行汇率制度改革以来，人民币汇率的波动性增强，国际上要求人民币升值的呼声不绝于耳，截至2012年6月12日，人民币相对于美元已升值30.77%，相对于欧元升值26.46%，升值幅度明显。然而伴随着人民币汇率的升值我国的CPI却一直居高不下，究竟人民币汇率升值对我国物价的影响如何，人民币汇率升值能不能有效抑制我国物价的上涨，该问题的研究对于中央银行正确预测我国未来物价水平的变化，以便采取适当的货币政策及汇率政策保持物价水平的稳定具有重要的现实意义。本文首先界定了汇率传递的内涵，接着从理论上分析了汇率对物价的传递机制，总结了目前国内外学者关于汇率不完全传递原因的研究成果，为下文的实证研究奠定了理论基础。在实证研究方面，本文首先运用协整检验及向量误差修正模型分析了人民币汇率波动对我国一般价格水平的长期和短期传递效应。从长期来看，人民币名义有效汇率波动对一般价格水平的传递效应为正，但传递效应不显著。从短期来看，人民币名义有效汇率的冲击对进口价格指数、企业商品价格指数和消费者价格指数的影响都是负向的。接下来本文运用递归最小二乘法研究了人民币汇率传递效果的动态趋势，发现人民币名义有效汇率对消费者价格的传递效果在整个研究期间内都较低，并且在大部分研究期间内传递效果在0.2附近波动，并且有缓慢上升的趋势。后来又研究了人民币汇率传递效果的影响因素，得出汇率波动率及经济规模是影响我国汇率传递效果的主要因素的结论。最后本文从价格传递路径角度对实证结果进行了分析并提出了相关政策建议。关键词：人民币名义有效汇率；汇率传递机制；物价哈尔滨工业大学经济学硕士学位论文-II-AbstractAbstractAbstractAbstractAfterthecollapseoftheBrettonWoods,fixedexchangeratesystemhavebeenreplacedgraduallybyfloatingexchangeratesystem.Thevolatilityoftheworld'smajorcurrenciesareenhancingcontinuously,theimpactofexchangeratemovementsonthenationaleconomyisgrowing.Becausetheinfluenceoftheexchangeratechangesontherealeconomyisachievedmainlybyaffectingacountry'spricelevel,sotheexchangeratechangesonprice'sinfluencehasbecomeaworldwideproject.Since2005,China'sexchangeratesystemreform,thevolatilityofRMBexchangeratehasenhanced.Intheinternational,thecallsforappreciationoftheRMBexchangerateareendless.AsofJune12,2012,theRMBrelativetothedollarhasappreciated30.77%,relativetotheeurohasappreciated26.46%,theappreciationisobvious.However,alongwiththeappreciationoftheRMBexchangerate,China'sCPIishigh.HowdoestheappreciationoftheRMBexchangerateaffectthepriceofourcountry?WhethertheappreciationoftheRMBexchangeratecaninhibitpriceincreasesinChina?Thestudyontheseproblemshasimportantpracticalsignificanceforthecentralbankofourcountrytocorrectlypredictthepricelevelinthefutureandtakeappropriatemonetarypolicyandexchangeratepolicytomaintainthestabilityofpricelevel.Thisarticlefirstdefinedtheconnotationofexchangeratepass-through,andthenanalyzedthetransmissionmechanismofexchangeratesonpricesintheory,summarizedthedomesticandforeignscholars’sresearchonthereasonsthatleadincompleteexchangepass-through,laidthetheoreticalfoundationforthefollowingempiricalstudy.Inempiricalresearch,thispaperusescointegrationtestandvectorerrorcorrectionmodelanalyzedtheinfluenceofRMBexchangerate'sfluctuationonChina'sgeneralpricelevelinthelongtermandshortterm.Inthelongrun,thepass-througheffectofRMBnominaleffectiveexchangerate’sfluctuationtothegenerallevelofpricesispositive,butthetransfereffectisnotsignificant.Intheshortterm,theimpactofRMBnominaleffectiveexchangeratetoimportpriceindex,corporategoodspriceindexandconsumerpriceindexarenegative.Next,thisarticlestudiedthedynamictrendofthepass-througheffectofRMBexchangerateusedthemethodofrecursiveleastsquares,andandfoundthatthepass-througheffectofnominaleffectiveexchangerateislowthroughoutthefullstudyperiod,mostofthetime,thetransfereffectisaround0.2andisrisingslow.Then,this哈尔滨工业大学经济学硕士学位论文-III-articlestudiedthefactorswhichaffectthepass-througheffectofRMBexchangerate.Bystudy,wefoundthatexchangeratevolatilityandeconomicscalearemainfactorsthatcanaffectourcountry’sexchangeratepass-througheffect.Atlastthispaperanalyzedtheempiricalresultsfrompricetransmissionpathandmadesomerelatedpolicysuggestion.Keywords:Keywords:Keywords:Keywords:nominaleffectiveexchangerate,exchangeratepass-through,prices哈尔滨工业大学经济学硕士学位论文-IV-目录摘要...............................................................................................................................IABSTRACT.....................................................................................................................II第1章绪论................................................................................................................11.1研究背景及意义................................................................................................