【作者】 王媛；

【导师】 于震；

【作者基本信息】 吉林大学 ， 世界经济， 2012， 硕士

【摘要】 汇率传递一直是国际经济学研究中的重要领域。近年来随着新开放宏观经济学体系融入汇率传递研究中，汇率传递理论与实证研究进一步发展，汇率传递的非对称效应逐渐成为新兴的热点方向。本文在以往研究的基础上进一步考察人民币汇率传递根据通货膨胀、产出缺口和宏观经济稳定性的不同所呈现出的非对称性特征。自2007年起，在人民币稳步升值的过程中通货膨胀日益加剧，该现象引发了国内学术界对于汇率变动与通货膨胀之间关系的重新思考。本文将从人民币汇率传递的非对称效应角度分析人民币汇率变动如何影响国内的通货膨胀水平，并提供相关政策建议。因此，从非对称视角研究人民币汇率传递效应具有重要的理论与现实意义。汇率传递具有不完全性和非对称性两大特征，本文首先从这两方面对汇率传递理论进行梳理，并归结了相关的实证方法，较为清晰地阐述了汇率传递理论与实证研究的阶段特征、突出成果以及未来研究方向。其次，借鉴Goldberg和Knetter(1997)的进口价格利润模型作为汇率传递非对称效应研究的基本理论分析框架，并将其扩展为适用于计量检验的实证模型—平滑转移模型(SmoothTransition Regression, STR)。STR模型的建立分为三个部分：模型设定、参数估计和模型评估。其中，模型设定重点是捕捉人民币汇率传递是否根据不同的通货膨胀水平、产出缺口水平、宏观经济稳定性水平和汇率变化幅度呈现非线性。通过非线性检验结果发现，人民币汇率传递除在汇率变化幅度上无非线性反应外，在通货膨胀、产出缺口以及宏观经济稳定性上均有非线性反应。接下来本文分别对三种具体非线性模型设定进行了参数估计和分析。实证结果表明，人民币升值在一定程度上加剧了国内通胀压力，经济过热和宏观经济不稳定会导致汇率传递率的上升。由此得到的启示是，维持一个较低并且稳定的通货膨胀水平会降低汇率传递率，这在一定程度上提高了货币政策的有效性；保持与潜在产出一致的实际产出水平，有助于减少国内经济波动和降低汇率传递率；保持宏观经济稳定有利于减少外部汇率冲击对国内价格的影响。更多还原

【Abstract】 Exchange rate pass-through has been an important area of the study ofinternational economic theory. In recent years, with the New Open Macroeconomicssystem into the study of Exchange Rate pass-through, the exchange rate pass-throughtheoretical and empirical research has been greatly enriched and developed. Theasymmetric effect of exchange rate pass-through has gradually become a hot spot athome and abroad. On the basis of previous studies, the paper further investigated theasymmetric response of ERPT with respect to inflation, output gap, andmacroeconomic stability. Since2007, in the steady appreciation of the Yuan, inflationhas been intensified. This phenomenon made domestic academia rethink therelationship between exchange rate movements and inflation. This article analyzedhow the Yuan exchange rate changes affected the level of domestic inflation from theperspective of asymmetric effect of ERPT, then provided relevant policyrecommendations. Therefore, the RMB exchange rate pass-through effect from theperspective of asymmetric has important theoretical and practical significance.ERPT is with incomplete and asymmetric two features. First, this paper describedthe theory of exchange rate pass from these two areas and summarizes the empiricalmethod; this article has clearly described the stage characteristics, highlightingachievements and future research directions of the exchange rate pass-through theoryand empirical research. Second, this paper used the Import price model of Goldbergand Knitter (1997) as the basic theoretical framework and it has been expanded in theempirical analysis. And it has been extended to the empirical model for metrology andinspection-smooth transition regression (STR). STR modeling process is divided intothree parts, namely the model specification, parameter estimation and modelevaluation. Among them, the model setting focused to capture nonlinear effects of theRMB exchange rate pass-through according to the different levels of inflation, level ofoutput gap, level of macroeconomic stability and exchange rate changes in amplitude.Then analyzed and found that the RMB exchange rate pass-through was no nonlinearresponse on the magnitude of exchange rate changes, but was non-linear response in inflation, output gap, as well as macroeconomic stability. Next, this paper estimatedparameters and analyzed results for the three specific nonlinear models. The estimatedresults showed that the appreciation of exchange rate appreciation increased domesticinflationary pressures. The economy from overheating and macroeconomic instabilitywould lead to the rise of ERPT. The resulting lesson is to maintain a low and stablelevel of inflation will reduce the exchange rate pass-rate, and improve the effectivenessof monetary policy; to make the level of actual output and potential output consistenthelps to reduce the fluctuations in the domestic economy and lower exchange ratepass-rate; to maintain macroeconomic stability helps to reduce the impact of theexternal exchange rate shocks on domestic prices.更多还原