我国人民币汇率走势预测研究

首都经济贸易大学硕士学位论文我国人民币汇率走势预测研究第I页共50页首都经济贸易大学硕士研究生学位论文研究生姓名刘杰学号22009030185导师姓名、职称胡晖副教授系所经济学院专业数量经济学研究方向计量经济分析方法论文题目我国人民币汇率影响因素研究首都经济贸易大学硕士学位论文我国人民币汇率走势预测研究第II页共50页摘要人民币汇率在上世纪90年代中期年代经历了第一次市场化改革，伴随着中国经济改革开放的不断深化，经过了数十年的发展，汇率的重要性日益凸显。面对人民币升值的压力，中央政府在2005年7月又进行了一次意义重大的改革，其变化波动情况值得关注。本文运用定性分析和实证分析相结合的方法，首先回顾了传统的汇率决定理论及其经验研究成果，并参考相关文献对传统汇率理论的不足进行了综述性研究。其次，本文研究了我国汇率制度改革后影响我国人民币汇率走势的主要因素。再次，从实证分析角度将国民收入、国际收支状况、外商直接投资、外汇储备、货币供应量、通货膨胀率等作为初始变量，构建VAR（向量自回归模型）结构的汇率影响因素理论模型，此模型不仅说明汇率、外汇储备、货币供给量、国民生产总值、实际利用外商直接投资金额作为内生变量的相互传导关系，还能解释他们作为信息时的同期相互影响关系。根据汇率理论和中国实际情况分析得出影响人民币汇率的重要因素应为国际收支状况、外汇储备、外商直接投资、货币供应量、国民收入。通过建立VAR模型得出，影响我国汇率长期变化昀主要的因素是货币供应量，其次是国内生产总值、外商直接投资和外汇储备。通过方差分解（贡献度分析）得出，我国汇率短期变化昀主要受自身影响较大，其次是国内生产总值、外汇储备和外商直接投资。通过实证分析可以得出以下结论：我国的GDP增长与否与该国的汇率变化呈现反向变动关系；货币供应量、国家外汇储备变化与该国的汇率变化呈现同向变动关系；实际利用外商直接投资金额变化与该国的汇率变化呈现同向变动关系。关键词：人民币汇率；VAR模型；外汇储备；首都经济贸易大学硕士学位论文我国人民币汇率走势预测研究第III页共50页AbstractRMBexchangerateatthemid-1990seraofthelastcenturyexperiencedthefirstmarket-orientedreforms,alongwiththecontinuousdeepeningofChina'seconomicreformandopeningup,afterseveraldecadesofdevelopment,theimportanceoftheexchangeratehasbecomeincreasinglyprominent.ThefaceofthepressureofRMBappreciation,thecentralgovernmentinJuly2005asignificantreform,changesinvolatilitycauseforconcern.Inthispaper,amethodofcombiningqualitativeandempiricalanalysis,beginbyreviewingthetraditionalexchangeratetheoryandempiricalresearch,thelackoftraditionalexchangeratetheoryandrelevantliteraturereviewofresearch.Secondly,westudythemainfactorstoaffectChina'sRMBexchangerateinChina'sexchangeratesystemreform.Again,fromtheperspectiveofempiricalanalysisofnationalincome,theinternationalbalanceofpayments,foreigndirectinvestment,foreignexchangereserves,moneysupply,inflationrateastheinitialvariabletobuildtheVAR(vectorauto-regressionmodel)structureoftheexchangeratefactortheorymodelthismodelnotonlytheexchangerate,foreignexchangereserves,moneysupply,thenationalGDP,theactualutilizationofforeigndirectinvestmentasmutualconductionbetweentheendogenousvariables,butalsotoexplaintheirmutualinfluencerelationshipastheinformationofthesameperiod.AnalysistodrawanimportantfactoraffectingtheRMBexchangerateshouldbefortheinternationalbalanceofpayments,foreignexchangereserves,foreigndirectinvestment,moneysupply,nationalincomeaccordingtotheexchangeratetheoryandtheactualsituationinChina.DrawnbytheVARmodel,theimpactofChina'sexchangeratelong-termchangesinthemostimportantfactoristhemoneysupply,followedbygrossdomesticproduct(GDP),foreigndirectinvestmentandforeignexchangereserves.Drawnthroughthevariancedecomposition(contributionanalysis),China'sexchangerateshort-termchangesinthemainbyitsgreaterimpact,followedbygrossdomesticproduct(GDP),foreignexchangereservesandforeigndirectinvestment.Candrawthefollowingconclusions:EmpiricalAnalysisofChina'sGDPgrowthornotshowingtherelationshipbetweenthereversechangestothecountry'sexchangeratechanges;showingthesamerelationshiptothechangesinthemoneysupply,changesinthecountry'sforeignexchangereservesandthecountry'sexchangeratechanges;actualuseofforeignshowingthesamerelationshiptothechangesintheamountofdirectinvestmentinchangeandthecountry'sexchangeratechanges.Keywords:RMBexchangerate;VARmodel;ForeignExchangeReserves;首都经济贸易大学硕士学位论文我国人民币汇率走势预测研究第4页共50页目录摘要.............................................................................................................................................................IIAbstract.........................................................................................................................................................III目录..............................................................................................................................................................41绪论............................................................................................................................................................61.1选题背景和文献综述......................................................................................................................61.1.1选题背景..............................................................................................................61.1.2国内外文献综述..................................................................................................71.2本文结构安排与研究创新及不足..................................................................................................81.2.1本文结构安排........................................................................................................81.2.2创新与不足..........................................................................................................92汇率影响因素的理论模型.......................................................................................................................102.1购买力平价理论...........................................................................................................................102.1.1购买力平价理论的提出背景............................................................................102.1.2购买力平价理论的内容....................................