本文關(guān)鍵詞：基于門限回歸的人民幣匯率波動對物價影響的研究　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 匯率波動 門限面板回歸模型 不對稱性 非線性性

【摘要】：隨著固定匯率制度逐漸被浮動匯率制度取代，世界各主要貨幣的波動幅度不斷增大，其影響逐漸傳導(dǎo)至實體經(jīng)濟領(lǐng)域，對許多國家的物價水平產(chǎn)生了較大的影響，所以分析人民幣匯率波動對我國整體及不同行業(yè)的消費者價格指數(shù)的影響存在非常重要的意義。大量學(xué)者采用了線性的分析方法對這一問題進行了討論，而本文選取了我國2001年1月至2011年6月的月度宏觀經(jīng)濟數(shù)據(jù)并采用非線性的門限回歸分析方法研究了人民幣匯率波動對我國物價的影響，得出了一些重要結(jié)論，并據(jù)此提出了進一步推進人民幣國際化、進一步完善我國的匯率形成機制等政策建議。 本文得出的結(jié)論為：（1）不同的匯率波動方向和波動幅度下匯率波動對國內(nèi)整體物價的影響是非線性的，貨幣升值對物價的影響遠(yuǎn)大于貨幣貶值對物價的影響，匯率波動幅度大于0.0048時對物價的影響小于匯率波動幅度不超過0.0048時對物價的影響。（2）在不同的匯率波動方向下匯率波動對不同行業(yè)的消費物價指數(shù)的影響不相同。人民幣升值引起家庭設(shè)備物價指數(shù)下降，貶值對該行業(yè)物價指數(shù)的影響不明顯；人民幣升值對交通通信價格指數(shù)和食品價格指數(shù)的影響不顯著，貶值對這兩個指數(shù)的影響卻是顯著的；人民幣不論升值還是貶值對娛樂教育文化行業(yè)的價格的影響都是顯著的，升貶值時彈性分別為-0.2259，0.2380；不論人民幣升值還是貶值對居住、煙酒、衣著和醫(yī)療保健行業(yè)價格指數(shù)的影響都不顯著。（3）不同匯率波動幅度下匯率波動對不同行業(yè)消費價格指數(shù)的影響不同。匯率波動對交通通信、食品、衣著行業(yè)的物價的影響存在門限值，，分別為0.0084、0.0180、0.0013.在人民幣匯率波動幅度小于等于門限值和大于門限值的兩種情況下匯率波動對這三個行業(yè)的消費者價格指數(shù)的影響都是不相同的，即存在著非線性性。而對于家庭設(shè)備、居住、煙酒、醫(yī)療保健和娛樂教育文化行業(yè)來說，匯率波動幅度的大小不會改變匯率波動對其物價的影響。
[Abstract]:With the fixed exchange rate system gradually replaced by the floating exchange rate system, the volatility of the major currencies in the world is increasing, and its impact is gradually transmitted to the real economy. It has had a great impact on the price level in many countries. Therefore, it is very important to analyze the impact of RMB exchange rate fluctuations on the consumer price index in China as a whole and in different industries. A large number of scholars have used linear analysis method to discuss this problem. This paper selects the monthly macroeconomic data from January 2001 to June 2011 and studies the impact of RMB exchange rate fluctuations on prices in China by nonlinear threshold regression analysis. Some important conclusions are drawn and some policy suggestions are put forward to further promote the internationalization of RMB and further improve the exchange rate formation mechanism in China. The conclusion of this paper is that the influence of exchange rate fluctuation on the whole domestic price is nonlinear under different exchange rate fluctuation direction and fluctuation range. The impact of currency appreciation on prices is much greater than the impact of currency depreciation on prices. The effect of exchange rate fluctuations greater than 0.0048 on prices is less than that on prices when exchange rate fluctuations do not exceed 0.0048). Under the different exchange rate fluctuation direction, the exchange rate fluctuation has different influence on the consumer price index in different industries. The appreciation of RMB causes the household equipment price index to fall. The impact of depreciation on the price index of the industry is not obvious; The appreciation of RMB has no significant effect on the transportation and communication price index and the food price index, but the depreciation has a significant effect on these two indices. The impact of RMB appreciation or depreciation on the price of entertainment, education and culture industry is significant, and the elasticity of rising and devaluing is -0.2259 / 0.2380; Whether RMB appreciation or depreciation on residential, alcohol and tobacco. The influence of the clothing and health care industry price index is not significant. (3) under the different exchange rate fluctuation range, the exchange rate fluctuation has different influence on the different industry consumer price index, the exchange rate fluctuation to the transportation communication, the food. There is a threshold value for the influence of prices in the clothing industry, which is 0.0084 / 0.0180, respectively. 0.0013. The impact of exchange rate fluctuations on consumer price indices in these three industries is different in cases where the range of fluctuations in the RMB exchange rate is less than or above the threshold. For household equipment, housing, alcohol and tobacco, health care, and entertainment, education and culture, the magnitude of exchange rate fluctuations will not change the impact of exchange rate fluctuations on prices.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.6;F726

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