人民币汇率对国内价格的传导效应研究——基于VAR模型的实证分析  

An Empirical Study on the Result of the Pass-through of Exchange Rate into Domestic Price Based on VAR Model

作　　者：惠晓峰[1] 王玉华[1,2] 张光森[2] 

机构地区：[1]哈尔滨工业大学管理学院,黑龙江哈尔滨150001 [2]中国人民银行淄博市中心支行,山东淄博255046

出　　处：《管理工程学报》2013年第4期67-74,共8页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(7077328);国家社科基金资助项目(10BJL025)

摘　　要：本文通过构建进口价格、消费者价格与各相关因素的长期均衡模型,分析汇率波动、外部价格冲击、国内需求变动和货币冲击等因素对进口价格和消费者价格的影响。研究表明,长期内汇率、国际初级商品价格是影响进口价格指数的显著因素,但对消费者价格波动的影响并不明显;国内需求和货币供应量波动对消费者价格的影响不显著,消费者价格上涨更多来自自身粘性所致。分段分析结果表明,汇改后汇率波动对国内进口价格和消费者价格的传递效率有所提高,汇率工具在宏观经济中的调节作用逐步增强。According to traditional finance theories, a currency＇s appreciation against other currencies can discourage＂ exports and curb domestic inflation but increase imports. The rising price level and trade surplus are associated with the rapid appreciation of Renminhi （RMB）. China has received skepticism about the proper application of traditional finance theories. This paper studies the effectiveness of exchange rate pass-through and the main factors that may influence the consequence. In addition, this paper explores exchange rate pass-through and its tendency and searches the root of the current round of inflation in China in order to formulate an effective macroeconomic policy. A comparative analysis was conducted and found that it is important to understand and assess the impact of related factors on the exchange rate fluctuation over time. Doing so can further improve the understanding of relevant factors when assessing the impact of exchange rates＇ fluctuation on price. This paper has analyzed different channels of price variation. The direct channel is the direct influence of import and export prices which arise from the exchange rate movement. The indirect channel refers to the influence of non-tradable price, which can be reflected through income mechanism, substitution mechanism, monetary supply mechanism and so forth. This paper analyses the influence of exchange rate fluctuation, external shocks, domestic demand change, money supply shocks to the import and export prices, and consumer price via VAR. The research shows that long run exchange rates and commodity prices are the main factors of the import price index, while making less contribution to consumer price. Domestic demand and the increases or decreases in the supply of money also contributes less to consumer price. This paper draws a conclusion that after exchange rate reform the transmission efficiency in exchange rate fluctuation for import price and consumer price has increased. This paper makes some suggestions on macroeeonomic pol

关 键 词：人民币汇率 价格传导 初级商品价格 需求缺口 向量自回归模型 

分 类 号：F830[经济管理—金融学]