人民币汇率的价格传递效应——基于VAR模型的实证分析被引量：267

The Effect of RMB Exchange Rate Pass-through: An Empirical Analysis Based on VAR

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摘要本文利用VAR模型对人民币有效汇率的价格传递效应进行分析。估计结果显示,人民币有效汇率对我国进口价格和消费者价格的影响虽然具有统计显著性,但影响程度非常低。汇率的价格传递效应在不同的通货膨胀环境中存在显著差异,低通货膨胀时期,汇率对进口价格的传递效应增加,但对消费者价格传递效应则减小了。结论是:汇率调整无法解决外部失衡,稳健的货币政策有利于进一步隔绝来自外部的通货膨胀压力。 This paper investigates RMB nominal exchange rate pass-through by means of Vector Autoregressive Model. The result is that the pass-through of RMB nominal exchange rate into China＇ s import price and consumer price is statistically significant, but the degree is highly incomplete. There is significant difference in the degree of exchange rate pass-through under different inflation environment, the pass-through into import price increased in the period with relative high inflation rate, but in the era with relative high inflation the passthrough into consumer price declined. The conclusion is that exchange rate adjustment is not sufficient to correct the external imbalance, and it is necessary to adopt sound monetary policy to isolate the inflation pressure from outside.

作者陈六傅刘厚俊

机构地区南京大学经济学院

出处《金融研究》 CSSCI 北大核心 2007年第04A期1-13,共13页 Journal of Financial Research

关键词人民币汇率价格传递向量自回归模型 RMB nominal exchange rate, pass-though, Vector Autoregressive Model

分类号 F832.6 [经济管理—金融学] F224 [经济管理—国民经济]

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