人民币汇率传递的物价效应分析--基于引入虚拟变量的ARDL模型的实证研究  

Analysis on the Price Pass-through Effect of Changes in RMB Exchange Rate——based on ARDL Model with Virtual Variables

作　　者：李富有[1] 罗莹[1] 

机构地区：[1]西安交通大学经济与金融学院

出　　处：《国际金融研究》2013年第2期67-73,共7页Studies of International Finance

基　　金：国家软科学研究计划(2011GXQ4D079);教育部一般项目(09XJA790010)的阶段性成果

摘　　要：本文基于汇率传递理论,将价格指数、汇率及相关国内外控制变量联系起来研究人民币汇率传递效应。与其他研究不同,本文在汇率水平基础上增加汇率波动率这一因子,并将汇率制度改革作为虚拟变量引入建立ARDL模型,研究汇率水平及其波动对国内物价水平影响及汇率制度改革对汇率传递效应的影响。1998年至2012年间月度数据实证研究结果显示,人民币实际汇率水平及波动与国内物价水平存在长期协整关系,但是汇率传递效应不完全,影响物价水平的重要因素还包括CPI自身的滞后惯性及货币供应量,汇率制度改革对汇率传递效应有较大影响。Based on the exchange rate pass-through theory, the paper studies the price pass-through effect of RMB exchange rate changes by connecting the price index, exchange rate and foreign and domestic variables. Different from other scholars＇ research, this paper considers exchange rate fluctuations as well as exchange rate level, uses virtual variables indicating exchange rate system reform based on the ARDL model, and analyzes the influence of the exchange rate and its fluctuations on the domestic price level as well as the impact of exchange rate system reform on its price pass-through effect. By using monthly data from 1998 to 2012, the paper finds that there exists a long-term co-integration relationship between the RMB exchange rate level and fluctuation and the domestic price level. However, the pass-through is incomplete. Other key factors that influence CPI are hysteretic CPI and money supply. And the exchange rate system reform has a great influence on exchange rate pass-through effect.

关 键 词：人民币实际有效汇率 汇率传递 ARDL 

分 类 号：F831[经济管理—金融学]