人民币汇率变动对国内物价传递效应的实证分析  

An Empirical Study of Pass-through Effect of RMB Exchange Rate Change on Domestic Prices

作　　者：吕剑[1] 

机构地区：[1]南开大学经济学院金融系

出　　处：《国际金融研究》2007年第8期53-61,共9页Studies of International Finance

摘　　要：本文基于1994-2005年的月度数据，对人民币汇率变动对国内物价的传递效应进行了实证分析。创新之处在于引入了国际石油价格作为外部冲击的代理变量，并以使用消费物价指数（CPI）、生产物价指数（PPI）和零售物价指数（RPI）衡量国内物价的变化，通过运用E-G二步法、误差修正模型、脉冲响应函数和方差分解方法对三个指标受到的传递效应进行了比较分析。结论：长期而言，人民币汇率变动显著地影响了国内物价水平，其中CPI对汇率变动的弹性大于RPI，RPI的弹性大于PPI。而且人民币汇率变动对国内物价的传递效应具有自我修正的动态机制，其中CPI修正功能最强，其次是PPI，再次是RPI。传递效应在4个月之后有显著的负面影响，滞后期持续24个月。短期而言，人民币汇率变动对CPI和RPI是持续增加的传递效应，而对PPI是先增后减的传递效应，发现采用CPI和RPI这两个指标效果更好。This paper, using monthly data from 1994-2005, empirically studies the pass-through of RMB exchange rate changes to domestic prices. We introduce international oil price as an agent variable of external shock, use consumer price index, producer price index and retail price index to measure domestic price changes, and use E-G two-step method, error correction model, impulse response and variance decomposition to analyze the pass-through of these three indicators comparatively. Conclusions are that in the long run, RMB exchange rate changes influence domestic prices remarkably, specially, the elasticity of CPI to exchange rate changes bigger than that of RPI, and RPI bigger than PPI. The pass-through has self-corrected dynamic mechanism, specifically, CPI is the biggest, then PPI, finally RPI. The pass-through has obvious negative impact four month later, and persists 24 months. In the short run, the pass-through of RMB exchange rate changes to domestic prices is permanently increasing to CPI and RPI, however early increasing then decreasing to PPI, so it shows that CPI and RPI are better indicators.

关 键 词：人民币汇率变动 国内物价 传递效应 物价指数 

分 类 号：F831[经济管理—金融学]