Please use this identifier to cite or link to this item: https://ah.nccu.edu.tw/handle/140.119/32244


Title: 中國外匯累積與物價膨脹關係之研究
Authors: 葉宗浩
Contributors: 黃仁德
葉宗浩
Keywords: 外匯
沖銷
物價膨脹
共整合
Date: 2007
Issue Date: 2009-09-14 13:29:43 (UTC+8)
Abstract: 中國近年來經常帳與金融帳雙順差,導致國際收支大幅順差,引發貨幣供給增加可能導致物價膨脹的疑慮。本文從貨幣面探討中國發生國際收支失衡時,中國人民銀行所扮演的角色。首先以共整合分析法(co-integration)估計央行的沖銷政策反應函數,並利用向量誤差修正模型(VECM),探討中國國外資產增加對物價變動的影響。實證結果顯示,淨國外資產、淨國內信用、工業生產成長率、物價變動率、與名目匯率存在兩組共整合向量,變數間存在長期均衡關係,淨國外資產與淨國內信用對物價變動均有顯著正向的關係,且由反應函數得到央行的沖銷係數為0.78,屬於高度沖銷,表示中國人民銀行的沖銷措施能夠沖銷大部分國外資產變動所引發的貨幣供給增加,外匯累積對物價變動的影響有限,短期國外資產增加會導致物價上漲,長期則沖銷措施有效。最後以向量自我迴歸分析結果顯示,淨國外資產變動格蘭哲導致(Granger-cause)淨國內信用變動,衝擊反應分析與變異數分解均顯示,沖銷措施能夠抵銷國外資產變動對物價變動的影響,物價變動受到國外資產變動的影響有限。
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Description: 碩士
國立政治大學
經濟研究所
94258025
96
Source URI: http://thesis.lib.nccu.edu.tw/record/#G0094258025
Data Type: thesis
Appears in Collections:[經濟學系] 學位論文

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