文档介绍：对外经济贸易大学
硕士学位论文
汇率的货币模型人民币适用性分析
姓名:宋丽娜
申请学位级别:硕士
专业:金融学
指导教师:潘红宇
20080401
摘要

货币主义汇率理论是现代汇率决定理论的基石,在金融学领域具有重要意
义和崇高的地位,之后的各种货币理论和资产结构平衡理论等均是建立在货币
主义汇率理论基础之上,它不但继承了购买力平价和利率平价的主要优点,而
且把货币因素和实际收入增加到模型中,揭示了汇率与相对货币供应量、相对
产出、相对利率等经济要素之间的数量关系在此基础上形成了多种模型,如弹
性价格模型、粘性价格模型等。
本文基于弹性价格货币模型,以年至年中国的季度汇率数据作
为样本,利用协整和误差修正模型的计量经济学方法研究了弹性价格货币理论
对人民币汇率的适用性问题。研究结果表明:总体上弹性价格货币模型对人民
币汇率的决定具有较好的解释力,人民币兑换美元名义汇率与中美利率、中美
实际收入和中美货币供应量之间存在协整关系。从人民币汇率的长期均衡关系
式中我们可以得出以下结论:我国利率与人民币汇率(直接标价法汇率,下
同)正相关,即:我国利率上升,人民币贬值。但是利率对人民币汇率的影响
不大;我国货币供给量与人民币汇率正相关,即:货币供给量增加,人民币
贬值。货币供给量作为货币政策的中介目标是有效的,但是其有效性有待提高;
我国国内生产总值与人民币汇率正相关,即:国内生产总值增加,人民币贬
值。这与货币理论的内容不相吻合,但是这种现象的产生主要是由于资本外逃
以及总需求增加是我国国民收入增加的主要原因所导致的。

关键词:货币理论,人民币汇率,协整

1
Abstract

ary model of exchange rate is the cornerstone of modern theory of exchange
rate determination. It has important Significance and high position in the finance
domain. It is also the basis of all kinds of ary theory and the asset structure
balancing theory. It not only inherits the advantages of PPP and IRP, but also adds
money and e into the model. It has revealed the quantitative relations among
the exchange rate, relative money supplies, relative outputs and relative interest rates.
There are many models on this basis, such as the sticky and the flexible price
ary model.
Basing on the flexible price ary model, this paper analyses the empirical
evidence from RMB using the quarterly data from 1987 to 2007 of China by
applying several recent developments in the econometrics of cointegration and Error
Correction Mode. Several interesting and important results are found. Generally the
flexible price ary model is applicable to RMB. A single cointegration equation
is identified among the several variables. And the long run balance relationship
reveals the following result: first, the domestic interest rate has a positive sign;
second, American’s money supply is negative sign; t