人民币汇率与资产价格、物价的关联机制研究—基于货币视角的考察

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1、物价的推动作用更大，货币供应机制是人民币汇率预期影响资产价格、物价的主要机制。最后对我国的货币政策和汇率政策提出相应的建议。论文主要在以下几个方面进行了创新性探讨：1．修正资产组合模型，构建人民币汇率预期波动、股价、房价、物价和货币供给的指标体系，其中用人民币汇率NDF数据代表人民币汇率预期，考察预期背景下汇率波动与资产价格、物价之间的关系。2．从货币视角进行考察，拓展了研究范围。本文在研究人民币汇率变动与资产价格、物价的关系时，并没有考察国际资本流动、工资水平、利率等途径，主要考虑货币因素，并且通过实证分析得出结论货币供给机制是人民币汇率预期变动对资产价格、物价影响的主要途径。关键词：

2、人民币汇率预期;资产价格;物价;修正资产组合模型IIAnStudyoftheRelationMechanismBetweenRMBExchangeRateandAssetPrice,Commodityprice—FromMoneyPerspectiveAbstractIn1970s，BrettonWoodsSystemendedandtheexchangerateregimeofthewholeworldhaschangedbasely,floatingexchangeratereplacingfixedone,whichmadeworld’sdominantcurrencyfluctu

3、atefrequently.Sincereformandopening-up,exchangerateregimeinChinahasexperiencedthedualexchangerate.In1994,Chinaimplementedthefloatingexchangeratesystemthatisbasedonthedemand-supplyrelationshipinthemarket.AfterthedayofJuly21sto,2005,ChinadeclaredtheRMBexchangerateappreciatedagainstUSDollarby2%andfl

4、oatingexchangeratetooktheplaceofpeggedexchangerate.Therefore，theRMBexchangerateregimeismoreflexibleandtheproblemofRMBexchangeratePass-throughhasattractedmoreandmoredomesticresearchers’attention.Fromtheinternationalexperiencewecanseethatthecourseofcurrencyappreciationisusuallyaccompaniedbytherocke

5、tingofassetprices.Infact,sincetheRMBexchangeratereformed,stockpriceandhousepricehaveincreasedsubstantially,andtheCPIalsohasrisencontinuously.Inaddition,thedoublesurplusofinternationalbalanceofpaymentshassustainedovermanyyearsandthepressureontheincreaseinRMBvaluewouldnotbedecreased.Japanandthecoun

6、triesinEuropeandNorthAmericaaretryingtointerferetheRMBexchangeratepolicy.Itisofgreatimportancetoformulatetherightandeffectivemonetarypolicyandexchangeratepolicyforpolicymakers.Sostudyingtherelationshipamongtheexchangerate,assetpriceandpricelevelisofgreatsignificancetous.Firstly,thepaperintroduces

7、thebasictheoryandtransmissionmechanismofoftherelationshipofexchangerateandassetprice,commodityprice,anddeterminesthemainresearchmethods.Onthatbasis,thispapermakesarevisiononthePBMmodelinordertoanalyzetheinteractionbetw