【作者】 林相发；

【导师】 伍??胡燕京；

【作者基本信息】 青岛大学 ， 金融学， 2002， 硕士

【摘要】 自1973年浮动汇率制度实施以来，汇率波动问题就成为国际金融理论的核心问题之一。从理论上讲，汇率决定理论是研究汇率波动问题的基础，主要有传统的汇率决定理论和现代货币主义汇率决定模型之分。汇率波动对于一国的经济有各种的影响，其效应分析也极富有现实意义。此外，汇率波动不可避免地引出汇率调整问题，既有经济政策之调整，也包括了中央银行的直接干预。研究汇率波动还要利用计量经济学的手段来建立汇率波动预测模型。而且，一些前沿研究方法对于研究汇率波动问题也极有借鉴意义。系统地研究汇率波动问题有利于我们充分理解外汇市场的变化及其对经济之冲击，便于制定合理的政策来限制汇率波动带来的负面效应。 本文视汇率波动问题为研究主题，在简要评述主要汇率决定理论基础上，不仅分析了以购买力平价理论、利率平价理论为代表的传统汇率决定理论，而且讨论了以粘性价格模型、灵活价格货币模型、实际利差货币模型等现代汇率决定模型。认为汇率决定理论和模型是研究汇率波动问题之基础。在方法上，本文介绍了目前适合建立汇率波动预测模型的两种时间序列模型—ARMA模型和ARCH模型。继之，本文将博弈论、混沌理论等理论引入汇率波动问题研究之中，研究了资本流动和汇率波动的博弈问题和汇率决定之混沌模型。在此基础上，本文分析了汇率波动的效应，包括汇率波动对于经常项目的效应、汇率波动对于实际国民收入的效应以及汇率波动对于资本流动的影响、汇率波动对于物价的影响以及汇率波动对一国产业结构的影响效应。就汇率调整而言，本文首先以蒙代尔—伏莱明模 内容提要型为基础分析了不同的货币政策和财政政策对于汇率波动的调整作用，再对中央银行的直接干预对于汇率波动的调整进行了分析。文章的最后，分析了历史上美元和日元汇率波动对于日本经济的影响，针对中国加入WTO 后的经济形势同日本以前的经济环境做了比较，并根据日本的教训以及相关汇率波动理论对于中国在当前经济建设中金融领域的改革提出了建议。 本文较系统地研究了汇率波动的关键问题，对于我国加入WTO 以后的宏观金融政策之制订与实施具有一定的理论价值与现实指导意义。更多还原

【Abstract】 After the flexible exchange rate system performed in 1973, the question of exchange rate fluctuation has become the focus in the international finance. The exchange fluctuation involves many questions. The theory of exchange rate determination is the foundation of it. There have been many research results in exchange rate determination, including traditional theories and modern monetarist models. The exchange rate fluctuation has many effects on the economy. The analysis to such effects is quite valuable. The exchange rate fluctuation will of course relate to the exchange rate adjustment, which roots in economic policy or governmental intervention. To study exchange rate fluctuation, we should construct exchange rate forecasting model by econometrics techniques. Some forward research methods and models are helpful in this study. The systemic study to the exchange rate fluctuation is favor of the understanding to the change of foreign exchange market, and its impact to the economy.This paper takes the exchange rate fluctuation in the international finance as the main object of study, introducing and appraising various theories of the exchange rate determination, which have theoretical influence and practical significance heretofore in the field of international finance firstly. These theories include traditional exchange ratedetermination theories and modern monetarist models. Such theories and models provide the base of the analysis to the exchange rate fluctuation. This paper introduces two time-series models-ARMA model and ARCH model, which are adapt to the fluctuation forecast. I utilize the game theory and the chaos theory in the study of exchange rate fluctuation. I make the analysis to the effect of the fluctuation, including four parts. To understand the exchange adjustment, I use the IS-LM-FE model to analyze the adjustment effect by the different monetary policy and fiscal policy, still including the direct governmental intervention. At last, I compare the economy situation between present China and Japan several years ago. According to the lessons from Japan, I make some suggestions to the financial innovation in China.This paper roundly studies various questions about exchange rate fluctuation. It is quite consultable for China to understand and deal with the fluctuation in the international foreign exchange market, especially after China entering into WTO.Linxiangfa (Finance) Directed by Pro Wuhaihua and Pro Huyanjing更多还原