金融工程专业 疫情下人民币汇率的波动及其对国内物价水平的影响分析研究VIP专享VIP免费

疫情下人民币汇率的波动以及其对国内物价水平的影响分析摘要自从2020年初直到现在，人民币的汇率依旧在宽幅震荡中出现了小幅度的贬值，全球范围内的新冠疫情对各国经济造成的影响变成了引导人民币的汇率供求面与情绪面的不可或缺的因素之一。而汇率水平对一个国家的经济与进出口企业等诸多方面都有着重要的影响，在当前复杂的国际形势与新冠疫情的影响下，中国的经济发展状况也越来越受到世界各国的重视，同时人民币汇率的波动也受到各个国家和投资者的广泛关注。而且汇率作为货币对外价值的象征，汇率波动也会对国内价格产生影响。有经济学理论表明，当一个国家的货币升值时，该国的价格水平应该会下降。基于上述情况，本文做了对当今新冠疫情背景下的汇率的相应波动与预测和人民币汇率的波动幅度对CPI的影响的相关研究。最先是绪论里阐述了本文的具体思路和内容的创新点，然后查找并使用各国学者的文献资料并做相关研究，从而得到并讲述其理论基础与研究现状。另外介绍了实证部分所用的一些相关的模型。在本文中，实验和论证相关部分用了GARCH模型和VAR模型并得到了相应的结论：GARCH(1，1)模型在较好的拟合了人民币汇率的时间序列，同时疫情下的人民币汇率变化的单边趋势明显，波幅不断加大，波动率序列呈现右尖峰厚尾特征和非对称性，汇率波动存在明显的集群性。分析了中国物价水平受到汇率的波动的影响大小之后得出：中国的物价水平受到汇率的波动的影响在短时间里的影响是比较显著的，在长期不会产生明显的影响。最后利用实证结论，提出相应的建议。关键词：GARCH模型；汇率波动；VAR模型；物价水平AnalysisonthefluctuationofRMBexchangerateanditsimpactondomesticpricelevelundertheepidemicsituationAbstractSincethebeginningof2020,theRMBexchangeratehasdepreciatedinawiderangeofvolatility.TheimpactofCOVID-19ontheeconomicfundamentalsathomeandabroadhasbecomeanimportantfactoringuidingthesupplyanddemandsideandemotionalaspectoftheRMBexchangerate.Theexchangeratehasanimportantimpactonmanyaspectsofacountry'seconomyandimportandexportenterprises.UnderthecurrentcomplicatedinternationalsituationandtheinfluenceofCOVID-19,China'seconomicdevelopmenthasattractedmoreandmoreattentionfromallovertheworld.Meanwhile,thefluctuationofRMBexchangeratehasalsoattractedwideattentionofvariouscountriesandinvestors.Moreover,asasymboloftheexternalvalueofcurrency,exchangeratefluctuationswillalsohaveanimpactondomesticprices.Someeconomictheoriesshowthatwhenacountry'scurrencyappreciates,thecountry'spricelevelshouldfall.Underthisbackground,thispaperdiscussesthefluctuationandpredictionofexchangerateunderCOVID-19,andstudiestheinfluenceofRMBexchangeratefluctuationonCPI.Firstly,theintroductionsummarizestheresearchideasandinnovationofthispaper,andthenexpoundstherelevanttheoreticalbasisandresearchstatusthroughtheliteratureresearchofscholarsathomeandabroad.Furthermore,itintroducesthemodelusedintheempiricalpart.TheempiricalpartofthispaperdrawsanempiricalconclusionbyusingGARCHmodelandVARmodel:GARCH(1,1)modelbetterfitsthetimeseriesofRMBexchangerate.Atthesametime,theunilateraltrendofRMBexchangeratechangeundertheepidemicisobvious,theamplitudeisincreasing,thevolatilityseriesshowsthecharacteristicsofleftpeak,thicktailandasymmetry,andtheexchangeratefluctuationhasobviousclustering.Fortheanalysisoftheimpactofexchangeratefluctuationondomesticpricelevel,China'spricelevelisaffectedbyexchangeratefluctuation,whichhasasignificantimpactinashorttimeandwillnothaveasignificantimpactinalongtime.Finally,usingtheempiricalconclusions,thispaperputsforwardcorrespondingsuggestions.Keywords:GARCHmodel;Exchangeratefluctuations;VARmodel;pricelevel目录一、绪论........