人民币汇率波动对通货膨胀影响实证研究

云南财经大学硕士学位论文人民币汇率波动对通货膨胀影响实证研究姓名：郑智斌申请学位级别：硕士专业：国际金融指导教师：张玉琴2011-04I20052005200620078.07.576.5CPIIIABSTRACTAlongwithourcountryeconomythedeepeningofthelevelofopeningininternationaltrade,exchangerateisplayingmoreandmoreimportantregulatoryleverage,RMBinvolvementintheinternationaleconomyingraduallyexpandtherange.China'sexchangeratemarkethasexperiencedthreemajorreforms,until2005establishbasicperfectreactiontothemarketcomparisonofimportandexportwithreferencetoabasketofcurrencies,singlemanagedfloatingexchangeratesystem.2005to2006,theRMBexchangeratevolatilityandyuanreformbegantoappearbeforemoreobviouscomparedthefluctuationoffluctuationcontinuestoincreasespeed.In2007,theRMBexchangeratefluctuationsaftermoresignificant,andmainlywithappreciation,fluctuationdirectionsuccessionbreakthrough8.0,7.5,7etcandenter6.5timesrepeatedChinapassandintegerrecordhighsinceexecutefloatingrate.Exchangerateonimportandexporttradebalance,domesticpricelevel,effectsofinternationalcapitalflows,foreigncurrencyreserves,influenceofdomesticemploymentofacountry,andthenationalincomeandresourceallocationaresignificantimpactonexistingcomparison,whichiscloselyrelatedwithpeople'slivinglevelofdomesticpricelevelistheinfluenceofthatinflationrate.Chinacurrencyvolatilityincreasesinrecentyearswhilethedomesticpricelevelthefluctuationsignificantlyincreased,butalsobecauseofcurrencyfluctuationsthroughavarietyofapproachestotransfertothedomesticmarket,andtherebycausethepricelevelbetweenthepossiblechanges,somecorrelations.ThisarticlethroughtoexchangerateathomeandabroadwithinflationresearchoutcomeandtherelationshipbetweentheexchangetransfereffecttheoryofRMBexchangerateandinflationofmorecloselywithcointegrationtestprimarilyempiricalanalysis,anddrawtheconclusionis:RMBexchangerateinstatisticalsignificanceinChinaconstitutesinflationoccursfactor,butCPIandbecauseofthefluctuationofIIIexchangeratebythemselvestheeffectsofthelarger,thiskindofinfluenceastimeincreasesinthelongtermstable,explainourcountryoftheyuanagainstthedollarexchangerateofinflationhasweakunidirectionalleadrole.Finally,accordingtotheexchangerateandinflationrelationshipisconcludedtopolicySuggestions:thefourstrengthentocontrolinflation,reduceinflationexpectations;Tospeedupfinancialcapitalaccountliberalization,andactivelydevelopingforeignexchangemarket;Positivereformpriceadjustmentmechanism;Strengthenindependentmonetarypolicy.KeyWords:RMBexchangerate;inflation;transfereffect;cointegrationtest-1-20052003(1916)-2-(1989)199715(2002)Kim1998Leith19911Krugman(1999)John.Taylor(2000)Goldberg(2004)2119752003,151975198919902003NathanSheets(2005),1995-200421Alessandmini.InflationTargetingandexchangeRatePassThrough[J].JournalofInternationalMoneyandFinance,2007,26,1113-1150.2CampaJ.M.GoldbergL.5.ExehangeRatePassThroughintoImportPrices[J].ReviewofeconomiesandStatistics200587PP.679690.-3-(1992)3200120062003(2004)207024OECD(2005)31992,P36-41-4-CPI420051993-20035200519912004CPI20052006VARCPI20064[J]2006(2)P4-15.5[J]2008(7):23-29.-5-2006(2007)20071994200512(2008)(ARDL)CPICPI;CPI616.[J].2005(5)P132-135.-6-2345OLSADF6CPIEviews6.020051200912CPINEER-7--8-5%20%200%-9-=-/CPIPPIGDPdeflator-10-(1)ADAS7(2)8(3)(4)72006,,82006,,-11-()4911009.[M].1992-12--13-1979-1993301993300199410:()10.[J].2004(4)27-32-14-()()19962005721()()0.3%-15-3%11()200572%3.1200512006614187.99978.75%11.2003-16-7.57.0200720082008200920103.212198019806%1984-1985-17-1987-1989198719881993-19951992----198010%198830030%80%-18-1200720082010200720072007-19-12Pi=ePi*i=1,2,n(4-1)PiPi*i12(1)13ABABPPPt=PaPb(4-2)PaPbABtABBABAB(2)13,.2002(3):13-18-21-191814PPPt=PaPb0(4-3)Pa,Pb,PPPtPa14..2007(10)45-52-22-()()15()152006P37-42-23-116162006458-72-24-1717:,200629-48-25-1818,..,2002(3):13-18-26-1919.2005(5):132-135.-27-(1)(2)(3)CPI-28-CPICPI-29-EXREviews6.02006120091248EXRCPICPIOLSOLSOLSOLS(1)(2)(3)CPIYXCY=C+ßXßEVIEWS6OLS-30-5.1OLSEstimationCommand:=========================LSCPIHLCEstimationEquation:=========================CPI=C(1)*HL+C(2)SubstitutedCoefficients:=========================CPI=-0.759325472904*HL+108.360589135DependentVariable:CPIMethod:LeastSquaresDate:02/30/11Time:10:41Sample:2006M012009M12Includedobservations:48VariableCoefficientStd.Errort-StatisticProb.HL-0.7593250.878670-0.8641760.3920C108.36066.39250016.951210.0000R-squared0.015975Meandependentvar102.8508AdjustedR-squared-0.005416S.D.dependentvar3.197176S.E.ofregression3.205822Akaikeinfocriterion5.208588Sumsquaredresid472.7557Schwarzcriterion5.286555Loglikelihood-123.0061Hannan-Quinncriter.5.238052F-statistic0.746801Durbin-Watsonstat0.059284Prob(F-statistic)0.391975t2Durbin-WatsonstatCPI=-0.759325472904*HL+108.3605891350ADF-31-Xt=a0+a1t+a2xt1+∑i=1ka3jxt-i+u5-1:H0:a2=0,H1:a20a20I(1)a20I(0)d,I(d)ADF5.2ADFNullHypothesis:D(CPI)hasaunitrootExogenous:NoneLagLength:0(AutomaticbasedonSIC,MAXLAG=9)t-StatisticProb.*AugmentedDickey-Fullerteststatistic-4.1103060.0001Testcriticalvalues:1%level-2.6162035%level-1.94814010%level-1.612320*MacKinnon(1996)one-sidedp-values.AugmentedDickey-Fulle