【作者】 陈伟；

【导师】 刘思跃；

【作者基本信息】 武汉大学 ， 金融学， 2017， 硕士

【摘要】 随着我国汇率制度改革的逐渐深入,对外汇市场管制的减少,人民币一直处于升值的通道之中且汇率波动逐渐增大。汇率的波动不仅关系到一国的贸易收支平衡情况,而且也通过进口价格影响着国内的物价水平。当前我国面临着严重的国际贸易收支失衡和不断加剧的通货膨胀问题,因此可以通过研究人民币汇率变动的非对称效应,了解汇率波动对进口价格的影响,来窥探对贸易收支和通货膨胀水平的影响程度。本文介绍了目前汇率传递研究领域主要的不完全传递理论,并梳理了国内外汇率不完全传递和非对称传递的相关实证结果。在Campa和Goldberg的成本加成基础上,搭建了实证分析模型,主要通过两个角度进行实证研究:一是进行协整检验并建立误差修正模型,考察汇率变动对进口价格的短期和长期传递效应,然后采用滚动回归分析方法研究汇率传递效应的动态变化;二是通过引入虚拟变量,从汇率变动方向和汇率变动幅度两个方面考察汇率的非对称传递效应。实证结果表明:人民币汇率波动在短期和长期内对进口价格的传递效应都是不完全的,并且人民币汇率对进口价格的传递效应整体上呈下降的态势,本文主要从宏观经济环境、进口产品结构来进行解释。人民币在升值状态下的汇率传递系数小于贬值状态下的汇率传递系数,这与“市场结构”、“约束数量限制”理论分析结果一致。人民币在高波动幅度状态下的汇率传递系数大于低波动幅度状态下的汇率传递系数,主要是由于“菜单成本”的存在导致出口商定价策略的不同。更多还原

【Abstract】 With the further development of China’s exchange regime reform and the reduction of foreign exchange control.Renminbi has been in the appreciation and it’s fluctuations increase gradually.The fluctuations of exchange rate is not only related to a country’s trade balance,but also affects the domestic price through import price.We research the influence of RMB exchange rate fluctuations on import price,investigate the effect of exchange rate on the import price when it changes in different direction and magnitude.It is important to understand the trade imbalances and control the domestic price.This paper reviews the domestic and overseas empirical research results about the incompleteness and asymmetry of exchange rate pass-through.Then introduces the mainstream theories about the incompleteness and asymmetry of exchange rate pass-through.Then establish the empirical model based on Campa and Goldberg’s theory.This paper do the research from two points.One is adopted the JJ co integration test and established error correction model.This paper explores the exchange rate pass-through in the short term and long term.Then research the dynamic trend of RMB exchange rate pass-through by applying rolling regression.One is using quantitative methods including dummy variable to researched the RMB exchange rate pass-through from the direction of the exchange rate movement and the size of the exchange rate movement.The conclusions show that the RMB exchange rate pass-through is incomplete in short term and long term.The RMB exchange rate pass-through to import prices is on declining trend.This paper explains the phenomenon through macro economy situation and structure of the import products.The RMB exchange rate pass-through is bigger when it is in depreciation than in appreciation.The result is consistent with "market structure theory" and "Quantity restriction theory".The RMB exchange rate pass-through has greater effect on import prices when it changes in larger size.更多还原