摘 要:在开放经济条件下,汇率是连接着国内外经济的纽带和桥梁,决定着对外贸易和国际资本流动。本文主要研究的是汇率波动对消费者价格指数、生产者物价指数、进出口价格指数的影响。以人民币兑美元的汇率为例,通过对数据的收集,建立模型,采用向量自回归(VAR)模型来估计人民币汇率波动对消费者价格指数、生产者物价指数、进出口价格指数的影响。检验结果显示,消费者物价指数与生产者物价指数相互影响,进口物价与出口物价之间也是相互影响,汇率对消费者物价指数,生产者物价指数,进出口物价指数的影响并不明显。本文的创新之处在于从汇率的角度出发,系统地研究汇率与消费、物价、进出口之间的关系,有助于对汇率制度及效果做出判断和总结。84837

毕业论文关键词:人民币汇率;动态传导机制;VAR模型

Dynamic Transmission Mechanism of the RMB Exchange Rate

Abstract: In an open economy, the exchange rate is connected to the domestic and foreign economic ties and bridges, it determines the foreign trade and international capital flows。 This paper mainly discusses the exchange rate fluctuations in the consumer price index, producer price index, import and export price index affected。 RMB against the US dollar, for example, by collecting the data, model building, using vector autoregression (VAR) model to estimate the RMB exchange rate fluctuations on the consumer price index, producer price index, the impact of import and export price indices the tests revealed the consumer price index and producer price index mutual influence, but also the interaction between the import price and the export price, the exchange rate of the consumer price index, producer price index, the impact of import and export price index is not obvious。 the innovation lies in the exchange rate from the perspective of a systematic study of the relationship between the exchange rate and consumption, prices, import and export between the exchange rate regime and contribute to the effectiveness and summary judgment。

Key words: RMB Exchange Rate; Dynamic Transmission Mechanism; VAR Model

目    录

摘 要 1

引言 2

1。汇率理论及与宏观变量的关系 3

1。1 汇率理论 3

1。1。1汇率 3

1。1。2名义汇率和实际汇率 3

1。2 汇率与宏观变量的关系 3

1。2。1汇率和居民消费 3

1。2。2汇率和物价指数的关系 4

1。2。3汇率和贸易条件 4

2。模型的理论概述 4

2。1 序列相关及其产生的后果 4

2。2 非平稳序列的单位根检验(ADF检验) 5

2。3 Johansen协整检验 6

2。4 向量自回归(VAR) 7

2。5 VAR模型的检验 9

3。汇率传导机制的实证研究证 10

3。1 时序图检验 10

3。2 ADF平稳性检验 11

3。3 协整检验 11

3。4 VAR模型估计 12

3。5 格兰杰因果关系检验 13

4。结论