汇率—物价传导效应的实证分析

华中科技大学硕士学位论文汇率—物价传导效应的实证分析姓名：尤阳春申请学位级别：硕士专业：金融学指导教师：刘方池20090501I1994~2008(CPI)(RPI)(PPI)CPIRPIPPINEERPIVAM1RSNEER,CPIRPI,PPICPI,RPICPIPPI,CPIRPIPPICPIRPIIIAbstractBasedonthemonthlydatafrom1994to2008,thisthesispresentsanempiricalanalysisofthetransitiveeffectvariationinRMBexchangerateimposingonthedomesticprices.Thebreakthroughofthisthesisliesinthefollowingaspects.Firstofall,itistheintroductionoftheinternationaloilpriceasitsreplacementoftheexternalimpact.Second,thetreatisemeasuresthepricevariationbymeansofexploitingtheCPI,RPIandPPI.Andthen,acomparativeanalysisofthetransitiveeffectontheabovementionedthreeindexesiscarriedoutthroughcointegration,unitroottest,errorcorrectionandimpulsesresponses.Conclusions:Inthelongrun,RMBexchangeratechangesinfluencedomesticpricesremarkably,specially,theelasticityofCPItoexchangeratechangesbiggerthanthatofRPI,andPPIisbiggerthanCPI.Intheshortrun,thepass-throughofRMBexchangeratechangestodomesticpricesispermanentlyincreasingtoCPIandRPI,howeverearlyincreasingthendecreasingtoPPI.ItshowsthatCPIandRPIarebetterindicators.Keywords:PriceindexNEERCointegrationanalysis_____“√”111.119949720057210621.2Krugman1989McCarthy2000Goldfajn&Werlang2000VAR6PPICPIPPIZsoltDarvas2001ElkeHahn2003FaruqeeHamid2004VARTakatoshiItoYuriN.Sasaki&KiyotakaSato20054VARCPISammoKang&YunjongWang200344BursteinEichenbaum&Rebelo200293CPIZulfiqarHyderSardarShah20049803RPICPINkundeMwase2006VAR2001RPIPPIPPIRPI200620067103GDP200020063200785054PPICPINEER200719942005CPIPPIRPICPIRPIRPIPPICPIPPIRPI1.31CPIRPIPPI2E-G522.12.1.1thetheoryofpurchasepowerparityPPP1919221914123lawofprice10125absolutePPPrelativePPPABPAPBRR=PAPB2.162.1.2R1=R0P1AP0AP1BP0B2.2R0R1P0AAP1AAP0BBP1BBABABAB2.2R1R0R0=[P1AP1BP0AP0B]P0AP0B=P1AP0BP1BP0AP1BP0A=P*AP*BP*BP*AP*B=AB2.3P*AAP*BBAABB712342.1.3-----8-PdPfeTGNTGPTd=ePTfpdpfα,1−αPd=PTdα(PTdpd)1−α2.4Pf=PTfα(PTfpf)1−α2.52.42.5Pd=ePfpdpf1−α2.6WTdPTd=MPLTdWTfPTf=MPLTfWNTdPNTd=MPLNTdWNTfPNTf=MPLNTfWMPLWTd=WNTdWTf=WNTfPTdMPLTd=PNTdMPLNTd2.7PTfMPLTf=PNTfMPLNTf2.82.72.8pd=PNTdPTd=MPLTdMPLNTd2.99pf=PNTfPTf=MPLTfMPLNTf2.102.92.10pdpf=MPLTdMPLNTdMPLNTfMPLTf2.11-2.22.2.110IMF19722freefloatingmanagedfloating2.2.2IMF112.2.31233.1199415.818.718.272005719941997199711199619972001IMF2001200572005692.122001111120057211318.1220065151820071017.469218.118.6%1120061110.016810.31373.219921992619941025%199495961996125%1997199819992.63199911262344311999112.80.94.12.43.52.82.20.910.74.16.92.41444.14.1.119941~200810CPIRPIPPINEERPM1RSGDPIVA1994199720032005721NEER200519941~200810CPI15RPIPPICPIRPIPPICCERBIS=FNEERPXRLPM4.1PNEERPXRLPMTakatoshiItoYuriN.Sasaki&KiyotakaSato2005NEERNEER/1PPWTIWTIWestTexasIntermediate16GDPGDPIVAindustrialaddedvalueM17R000001S9610010410811211612012412819941996199820002002200420062008CPI9610010410811211612012412819941996199820002002200420062008RPI17929610010410811219941996199820002002200420062008PPI70809010011012013019941996199820002002200420062008NEER02040608010012014019941996199820002002200420062008P1,0002,0003,0004,0005,0006,0007,0008,00019941996199820002002200420062008IVA020,00040,00060,00080,000100,000120,000140,000160,000180,00019941996199820002002200420062008M10246810121419941996199820002002200420062008R1801,0002,0003,0004,0005,0006,00019941996199820002002200420062008S4-11994~2008CPIRPIPPICCER://://://(CPI)(RPI)(PPI)123456****1**tCPINEERpIVAMRSααααααε=++++++4.219123456****1**tRPINEERpIVAMRSββββββε=++++++4.3123456****1**tPPINEERpIVAMRSγγγγγγε=++++++4.4CPIRPIPPINEERPIVAM1R7S123456123456123456,,,,,,,,,,,,,,,,,ααααααββββββγγγγγγtε4.24.2.1OLS2RtADFAugmentedDickeyFullerTestDFDavidDickeyWayneFullerunitroottest—DF20DF1tttYYuρ−=+4.5tu11(1)tttttYYuYuρδ−−∆=−+=+4.61tttYYY−∆=−,H00δ=H0ttYu∆=tY(integratedoforder1)I(1)I(1)I(0)DF11(1)ttttttYYuYYuδδ−−=++∆=+4.71111(1)ttttttYYuYYuβδβδ−−=+++∆=++4.8121121(1)ttttttYtYuYtYuββδββδ−−=++++∆=+++4.9tH01ρ=H00δ=4.74.84.91211mttititiYtYYββδαε−−=∆=+++∆+∑4.10tY∆DFDFaugmentedDickey-FullerADFADFDF21ADFAICctLctLAICct14-1ctlADF5%10%CPIctl-2.336932-3.4359-3.1417H0CPIctl-6.468521-3.4360-3.1418H0RPIctl-2.390001-3.4359-3.1417H0RPIctl-6.693656-3.4360-3.1418H0PPIctl-2.697914-3.4413-3.1449H0PPIctl-4.681204-3.4415-3.1451H0NEERctl-2.372767-3.4359-3.1417H0NEERctl-10.41688-3.4360-3.1418H0Pctl-3.141770-3.4359-3.1417H0Pctl-4.242703-3.4360-3.1418H0IVActl-0.810011-3.4398-3.1440H0IVActl-15.20082-3.4399-3.1441H0M1ctl0.497419-3.4359-3.1417H0M1ctl-10.81717-3.4360-3.1418H0Rctl-1.766885-3.4396-3.1439H0Rctl-10.31887-3.4398-3.1440H0Sctl-1.731784-3.4359-3.1417H0224-1CPIRPIPPINEERPIVAM1RS5%10%H0CPIPPIRPINERRPIVAM1RS5%10%I(1)4.2.2EngleandGranger1987EGJohansen1995I(d)E-GE-GCPIRPIPPI4.14.24.34.44-2CPINEERTNEER-0.2366350.033218-7.1236440.0000P0.0572010.0252762.2630300.025423IVA-0.0016380.000378-4.3293120.0000M10.0001052.62E-053.9976280.0001R0.7741530.0870628.8919870.0000S0.0009420.0005541.7003060.0916R20.736358101.593