本文選題：人民幣實(shí)際有效匯率 + 美元指數(shù)��； 參考：《中國科學(xué)技術(shù)大學(xué)》2012年博士論文

【摘要】：中國經(jīng)濟(jì)的再次崛起被普遍視為21世紀(jì)世界地緣經(jīng)濟(jì)格局變遷的重大事件,中國加入WTO以后加速了參與國際分工的步伐,并迅速成為世界制造業(yè)的中心。但隨之而來的全球國際收支失衡問題加劇,也給中國政府的匯率政策和貨幣政策的相機(jī)抉擇造成困難。在以全球賬戶的再平衡和維護(hù)宏觀經(jīng)濟(jì)和金融穩(wěn)定發(fā)展為匯率政策主要決策目標(biāo)的大背景下,對(duì)匯率水平及其波動(dòng)率對(duì)貿(mào)易的真實(shí)影響的深入研究就顯得尤為重要了。此外,中國國際貿(mào)易結(jié)算主要以美元為主,人民幣的名義匯率也主要盯住美元。美元本身的匯率水平及其波動(dòng)對(duì)于中國對(duì)外貿(mào)貿(mào)易是否有影響,同時(shí)美元波動(dòng)與人民幣本身的實(shí)際有效匯率水平是否相關(guān)都是值得探討和研究的命題,而由此又會(huì)衍生出匯率水平及其波動(dòng)對(duì)不同國家的貿(mào)易量影響是否會(huì)不同,對(duì)于不同行業(yè)又會(huì)有怎樣的影響,全球金融危機(jī)對(duì)我國進(jìn)出口的沖擊有多大等等一系列問題。我們將在本文嘗試對(duì)以上問題做出分析,并通過相關(guān)數(shù)學(xué)模型定量分析勾勒出問題答案的輪廓。 本文首先研究了人民幣實(shí)際有效匯率、美元指數(shù)及二者波動(dòng)率和我國進(jìn)出口貿(mào)易總量的關(guān)系。對(duì)人民幣實(shí)際有效匯率和美元指數(shù)利用廣義自回歸條件異方差(GARCH)模型進(jìn)行擬合,計(jì)算出人民幣有效匯率及美元指數(shù)的波動(dòng)率；進(jìn)一步分別建立進(jìn)出口貿(mào)易數(shù)據(jù)和人民幣實(shí)際有效匯率及其波動(dòng)率,進(jìn)出口貿(mào)易數(shù)據(jù)和美元指數(shù)的模型,利用向量自回歸(VAR)模型,協(xié)整關(guān)系檢驗(yàn),誤差修正模型,GRANGER因果關(guān)系檢驗(yàn)等一系列實(shí)證方法,研究了中國加入WTO以來的人民幣實(shí)際有效匯率,美元指數(shù)及二者的波動(dòng)率對(duì)我國進(jìn)出口貿(mào)易總量的長短期影響；對(duì)美元指數(shù)和人民幣實(shí)際有效匯率之間的數(shù)量關(guān)系進(jìn)行了Copula建模和GRANGER因果關(guān)系檢驗(yàn),結(jié)果更進(jìn)一步確認(rèn)了我國進(jìn)出口貿(mào)易實(shí)際所受影響中的美元匯率因素。基于我國復(fù)雜的對(duì)外貿(mào)易結(jié)構(gòu)背景,為有效評(píng)估過去十年的匯率政策對(duì)貿(mào)易的微觀結(jié)構(gòu)影響,以及下一步人民幣匯率形成機(jī)制改革的路徑選擇提供決策依據(jù)。對(duì)我國前20大貿(mào)易伙伴按貿(mào)易不平衡度分類并采用向量自回歸(VAR)模型,協(xié)整關(guān)系檢驗(yàn),誤差修正模型等研究方法分別研究了我國對(duì)這20大貿(mào)易伙伴貿(mào)易與人民幣實(shí)際有效匯率和美元指數(shù)等因素的長短期關(guān)系,并對(duì)所得結(jié)果做了初步的歸納總結(jié)。對(duì)我國加入WTO到2010年6月整體外貿(mào)平衡度進(jìn)行測算,結(jié)果顯示加入WTO以來,我國對(duì)外貿(mào)易總體雖有順差但仍處于貿(mào)易平衡區(qū)域。我們還研究比較了同時(shí)期幾個(gè)重要行業(yè)進(jìn)出口貿(mào)易和人民幣實(shí)際有效匯率和美元指數(shù)模型,得到了一些有意義的結(jié)果,特別是對(duì)進(jìn)出口貿(mào)易總額的GRANGER因果關(guān)系檢驗(yàn)結(jié)果顯示我國進(jìn)口是出口的GRANGER原因,反之不是,這與我國經(jīng)濟(jì)結(jié)構(gòu)和參與國際分工的產(chǎn)業(yè) 結(jié)構(gòu)有關(guān)。在本文的后半部分,通過對(duì)進(jìn)出口數(shù)據(jù)進(jìn)行分段趨勢(shì)模型擬合,我們從較為直觀的角度定量地研究了2008年發(fā)生的全球金融危機(jī)對(duì)我國進(jìn)出口總量以及我國對(duì)20大主要貿(mào)易伙伴進(jìn)出口額度的沖擊影響和累積影響,揭示了我國對(duì)外貿(mào)易所受外在因素影響的一個(gè)重要方面。 匯率政策是實(shí)現(xiàn)我國經(jīng)濟(jì)發(fā)展內(nèi)部均衡和外部平衡的基礎(chǔ)和核心,匯率政策目標(biāo)和貿(mào)易政策目標(biāo)也是在我國經(jīng)濟(jì)融入世界經(jīng)濟(jì)過程中維護(hù)好金融穩(wěn)定的重要指標(biāo)。本文的研究成果為決策層在金融穩(wěn)定約束下進(jìn)行貿(mào)易政策和匯率政策的相機(jī)抉擇提供了依據(jù)。
[Abstract]:The re emergence of China's economy is generally regarded as a major event in the change of the geo economic pattern of the world in twenty-first Century. After China's entry into the WTO, China has accelerated the pace of participation in the international division of labor and rapidly became the center of the world's manufacturing industry. However, the consequent global balance of payments imbalance has intensified, and it also gives the Chinese government exchange rate policy and monetary policy. In the context of the rebalance of the global account and the maintenance of the macroeconomic and financial stability as the main target for the policy decision of the exchange rate policy, it is particularly important to study the real impact of the exchange rate and its volatility on trade. In addition, China's international trade settlement is mainly based on US dollars. The nominal exchange rate of the civil currency is also mainly focused on the dollar. The exchange rate level and its fluctuation in the US dollar have an impact on China's foreign trade and trade, and whether the fluctuation of the dollar and the actual effective exchange rate of the RMB itself is a proposition worthy of discussion and study, and thus the exchange rate level and its fluctuation will be derived from different countries. Whether the impact of the trade volume of the family will be different, how the different industries will have the impact, the impact of the global financial crisis on China's import and export, and so on a series of problems. We will try to analyze the above problems in this paper, and through quantitative analysis of relevant mathematical models to outline the outline of the answer.
This paper first studies the real effective exchange rate of RMB, the dollar index and the relationship between the volatility of the two parties and the total amount of China's import and export trade. Do not establish import and export trade data and RMB real effective exchange rate and its volatility, import and export trade data and the model of dollar index, use vector autoregression (VAR) model, cointegration test, error correction model, GRANGER causality test and so on, to study the actual effectiveness of RMB since China's entry into WTO. The impact of the exchange rate, the dollar index and the volatility of the two parties on the total amount of China's import and export trade; the Copula modeling and the GRANGER causality test on the relationship between the dollar index and the real effective exchange rate of the RMB. The results further confirm the dollar exchange rate factors in the actual impact of China's import and export trade. Based on the complex background of China's foreign trade structure, it provides a decision basis for the effective assessment of the impact of the exchange rate policy on trade in the past ten years and the path selection of the RMB exchange rate formation mechanism in the next step. The first 20 trade partners of our country are classified according to the trade imbalances and adopt the vector autoregression (VAR) model and co integration. The relationship test, error correction model and other research methods respectively study the long term relations between the 20 trade partners' trade with the RMB real effective exchange rate and the dollar index, and make a preliminary summary of the results. Since WTO, our foreign trade generally has a surplus but still in a trade balance area. We also compare the import and export trade of several important industries in the same period, the real effective exchange rate of RMB and the dollar index model, and get some meaningful results, especially the result of the GRANGER causality test of the total import and export trade. It shows that China's imports are the cause of GRANGER export, and vice versa, which is related to China's economic structure and participation in international division of labor.
In the second half of this paper, through the piecewise trend model fitting of the import and export data, we quantitatively study the impact of the global financial crisis on China's import and export volume and the impact of China's impact on the import and export of the 20 major trading partners in 2008 from a more intuitive perspective, and reveal the impact of China's impact on the import and export of the 20 major trading partners. An important aspect of external trade is external factors.
Exchange rate policy is the basis and core of realizing the internal and external balance of China's economic development. The target of exchange rate policy and the target of trade policy are also important indicators to maintain financial stability in the process of China's economic integration into the world economy. The research results of this paper are the trade policy and exchange rate policy under the constraints of financial stability. The choice of camera provides a basis.

【學(xué)位授予單位】：中國科學(xué)技術(shù)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.6;F752;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 余嶺;;國際金融危機(jī)的傳導(dǎo)機(jī)制及對(duì)中國經(jīng)濟(jì)影響和對(duì)策分析[J];財(cái)貿(mào)經(jīng)濟(jì);2009年06期

2 沈國兵;美中貿(mào)易收支與人民幣匯率關(guān)系:實(shí)證分析[J];當(dāng)代財(cái)經(jīng);2005年01期

3 盧盛榮;;國際金融危機(jī)對(duì)中國經(jīng)濟(jì)的影響及其傳導(dǎo)機(jī)制[J];東南學(xué)術(shù);2009年01期

4 賀小勇;;IMF《對(duì)成員國匯率政策監(jiān)督的決定》對(duì)中國匯率主權(quán)的影響[J];法學(xué);2008年10期

5 陳平,熊欣;進(jìn)口國匯率波動(dòng)影響中國出口的實(shí)證分析[J];國際金融研究;2002年06期

6 巴曙松;吳博;朱元倩;;匯率制度改革后人民幣有效匯率測算及對(duì)國際貿(mào)易、外匯儲(chǔ)備的影響分析[J];國際金融研究;2007年04期

7 馮蕾;陳柳欽;金永軍;;美國經(jīng)常賬戶逆差可持續(xù)性問題的另類思考[J];國際金融研究;2008年07期

8 羅納德·麥金農(nóng);岡瑟·施納布爾;霍叢叢;洪鄭沖;宋曉丹;;中國的金融謎題和全球失衡[J];國際金融研究;2009年02期

9 潘紅宇;;匯率風(fēng)險(xiǎn)如何影響中國對(duì)日本的出口[J];國際貿(mào)易問題;2006年07期

10 劉光溪;;機(jī)制完善而非幣值調(diào)整——人民幣匯率制度改革的核心[J];國際貿(mào)易;2005年10期

，

本文編號(hào)：1870968