【作者】 王鑫；

【导师】 朱天星； 王贺峰； 王中原；

【作者基本信息】 沈阳工业大学 ， 金融专硕（专业学位）， 2025， 硕士

【摘要】 随着全球社会的持续进步与蓬勃发展,能源消耗量正以前所未有的速度增长。世界范围内,能源问题往往成为触发政治经济纷争乃至冲突的导火索。人民币汇率作为中国经济与国际经济交往中的重要变量,其波动不仅关系到我国对外贸易的平衡与竞争力,还深刻影响着国内市场的诸多方面,特别是能源价格这一关键经济指标。因此,深入研究人民币汇率的波动对我国能源价格的影响具有重要的理论与现实意义。从理论层面看,有助于丰富汇率与能源价格关系的相关理论体系,为该领域的学术研究提供新的视角和实证依据;从实践角度而言,能为政府制定合理的汇率政策、能源调控政策提供决策参考,帮助能源企业更好地应对汇率风险,优化能源资源配置,保障国家能源安全和经济稳定发展。本文旨在综合运用多种计量经济学方法,深入剖析人民币汇率波动对我国能源价格的具体影响机制、影响程度及影响的时滞效应等,准确揭示二者之间的内在联系。本文从现阶段我国能源生产、消费、对外依存度以及能源消费弹性系数等方面为研究切入点,选取样本期间为2005年1月—2024年9月的人民币兑美元汇率、货币供应量M2以及煤油电价格指数三组变量的月度数据,分别通过平稳性检验、协整检验、格兰杰因果检验对数据进行处理,建立BEKK-GARCH模型,根据BEKK-GARCH模型的实证结果分析人民币汇率与能源价格之间波动溢出效应。随后建立TVP-VAR模型,通过MCMC估计、时变参数特征分析以及等间隔脉冲响应分析等方法,分析基于货币供应量途径下汇率对我国能源价格的影响程度。结果表明:首先,人民币汇率对我国能源价格的影响途径可以分为直接影响与间接影响,直接影响即为人民币汇率影响进口能源的成本导致国内能源价格发生波动,间接影响即为人民币汇率可以作用于货币供给量来影响国内能源价格;其次,人民币汇率的传过程存在不完全性与不对称性,当汇率对货币供给量产生冲击时,能源价格并不会立刻产生反映;最后,货币供应量作为中介变量时,人民币汇率对能源价格产生的影响为负向,且长期作用相比于短期效果更加显著。根据本文的研究结论,提出如下建议:首先对于政府而言:密切关注人民币汇率波动,加强货币政策与能源政策协调。在人民币升值时,合理增加能源进口储备;贬值时,出台补贴或税收优惠政策,缓解能源企业成本压力。同时,强化能源市场监管,防止价格过度波动;其次对于企业而言:建立汇率风险管理体系,运用远期外汇合约等金融工具对冲风险。加强与供应商合作,签订长期供应合同锁定成本。推进能源来源多元化,降低供应风险,增强应对汇率波动的能力;最后对于金融机构而言:开发能源价格与汇率挂钩的金融产品,为企业提供风险管理工具。在人民币贬值时,加大对能源企业的信贷支持,给予低息或优惠贷款,缓解企业资金压力。更多还原

【Abstract】 With the continuous progress and booming development of the global society,energy consumption is growing at an unprecedented rate.Around the world,energy problems often become the trigger for political and economic disputes and even conflicts.As an important variable in China’s economic and international economic exchanges,the fluctuation of RMB exchange rate is not only related to the balance and competitiveness of China’s foreign trade,but also has a profound impact on many aspects of the domestic market,especially the key economic index of energy price.Therefore,it is of great theoretical and practical significance to deeply study the influence of the fluctuation of RMB exchange rate on China’s energy price.From the theoretical perspective,it is helpful to enrich the relevant theoretical system of the relationship between exchange rate and energy price,and provide a new perspective and empirical basis for academic research in this field;from the practical perspective,it can provide reference for the government to formulate reasonable exchange rate policy and energy regulation policy,help energy enterprises to better deal with exchange rate risk,optimize the allocation of energy resources,and guarantee national energy security and economic development.This thesis aims to comprehensively use a variety of econometric methods to deeply analyze the specific influence mechanism,influence degree and time delay effect of RMB exchange rate fluctuations on different kinds of energy prices in China,and accurately reveal the internal link between the two.From the aspects of energy production,consumption,external dependence and energy consumption elasticity coefficient,select the RMB during the sample period from January 2005 to September 2024,the monthly data of the three variables,and process the data,establish the BEKK-GARCH model,and analyze the spillover effect between RMB exchange rate and energy price according to the empirical results of BEKK-GARCH model.Subsequently,TVP-VAR model is established to analyze the influence of exchange rate on China’s energy price based on money supply route through MCMC estimation,time-varying parameter characteristic analysis and equal interval pulse response analysis.The results show that:Firstly,the influence of RMB exchange rate on China’s energy price can be divided into direct effects and indirect effects.The direct impact is that the RMB exchange rate affects the cost of imported energy and leads to the fluctuation of domestic energy prices.The indirect influence is that the RMB exchange rate can act on the money supply to affect the domestic energy price.Next,there are incompleteness and asymmetry in the transmission process of RMB exchange rate.When the exchange rate shocks the money supply,energy prices are not immediately reflected.Last,when the money supply acts as an intermediary variable,the impact of the RMB exchange rate on energy prices is negative,and the long-term effect is more significant than the short-term effect.According to the conclusion of this thesis,the following suggestions are put forward:Firstly,the government should pay close attention to the fluctuation of RMB exchange rate and strengthen the coordination of monetary policy and energy policy.When the RMB appreciates,reasonably increase energy import reserves;when it depreciates,it should introduce subsidies or tax preferential policies to relieve the cost pressure of energy enterprises.At the same time,it should strengthen energy market supervision to prevent excessive price fluctuations.Secondly,enterprises should establish exchange rate risk management system and use financial instruments such as forward foreign exchange contracts to hedge risks,strengthen the cooperation with the suppliers,and sign the long-term supply contracts to lock in the costs,promote the diversification of energy sources,reduce supply risks,and enhance the ability to cope with exchange rate fluctuations.Finally,financial institutions should develop financial products with energy prices linked to the exchange rate,and provide risk management tools for enterprises.In the depreciation of RMB,they should increase credit support for energy enterprises and give low interest or preferential loans to ease the financial pressure of enterprises.更多还原