汇率变动影响价格的实证分析
毕业论文关键词：人民币汇率；VAR模型；汇率—价格传导机制
Empirical Analysis of Impact of Exchange RateFluctuation on Price
Abstract The influence of exchange rate on price has snowballed, with the increasingopening up of economy. Since the implementation of currency reform in the year of2005, RMB has shown a steady tendency of appreciation, while inflation zoomed.And expectation of the RMB gaining in value is intensive. Prices of domestic assethave soared up. The research on how the exchange rate influences domestic economyhas become a hot topic because of this. This article focuses on discussing the way thatexchange rate influence domestic price. Exchange rate is usually considered as aindicator of external economic condition of a country, while price can react domesticeconomic development. This article mainly focuses on discussing the way thatexchange rate exert an influences on domestic price and whether there is interrelationbetween them. Through research on the related literature, this article constructed VARmodel which includes three variables: exchange rate, price and asset price. At thesame time, through research on the results of impulse response function, we found outthat there is no instant relationship between exchange rate and asset price, andtransmission from exchange rate to price is incomplete, which means that exchangerate has a lag effect on price. It is also found that exchange rate has a significant effecton price in a long term, while it influences real estate price and share price in adifferent way.
Key Words: RMB exchange rate; VAR model ； exchange rate transmissionmechanism
目 录
摘 要 I
Abstract....II
目 录.III
一、 引言....1
二、 汇率变动影响价格的传导机制...4
（一）直接传导机制....4
（二）间接传导机制....5
三、 变量设置与数据描述6
（一）指标选取. 6
（二）变量描述. 7
四、 汇率变动影响价格的脉冲响应分析.... 8
（一）ADF 检验.. 8
（二）AR 根图检验.9
（三）脉冲响应分析...9
五、 结论与启示.... 12
参考文献....14
一、 引言（一）现实背景在全球经济一体化加强的背景下，各国经济联系愈加紧密，汇率作为连接两国货币价格的桥梁显得越发重要。自布雷顿森林体系解体后，主要发达国家纷纷实行了浮动汇率制，国际货币体系步入了浮动汇率时代。汇率波动是否会对本国价格水平的稳定造成影响，以及产生什么样的影响，成为学者们关注的问题。与此同时，汇率与物价关系着一国经济对内和对外的均衡，研究汇率——价格内在运行机制和影响对政府、企业等也有着极为重要的理论与现实意义，因而成为各界广泛关注的问题。其中，国内价格水品一般受物价和资产价格影响较大，故本文拟着重研究汇率变动对物价和资产价格的影响机制， 梳理出汇率变动对国内价格的影响途径和影响程度，以期对该问题进行全面把握。（二）理论背景汇率传递的研究起源于传统的开放经济。 购买力平价理论首次系统地对汇率和物价二者关系研究探讨。 卡塞尔认为在一定条件下汇率对物价的传导是完全的，同时该理论的一个重要贡献在于揭示了一价定律。20 世纪70 年开始，汇率波动变得频繁， 此时许多的西方发达国经济运行出现滞胀问题， 内外经济失衡。 至此，人们开始广泛关注汇率变动对价格影响的问题，到了 80 年代中期，美元价格变得极不稳定，经济运行大滞胀，以及一些国家出现的债务危机和经济危机，成为购买力平价理论和利率平价说无力解释的现象， 从而促使了学者们对汇率与价格二者间的关系更深入的研究。