通胀环境下汇率的出口价格传递效应——基于平滑转换误差修正模型的研究  

The Effects of Exchange Rate Pass-Through into Export Prices in Inflation Environment——A Research Based on STR-ECM

作　　者：宋金奇[1] 舒晓惠[2] 

机构地区：[1]江西师范大学科技学院,江西南昌330027 [2]怀化学院经济学系,湖南怀化418008

出　　处：《经济经纬》2016年第1期66-71,共6页Economic Survey

基　　金：国家社会科学基金青年项目(11CTJ003)

摘　　要：笔者用新汇改以来的数据研究了汇率传递效应,并重点分析了汇率传递受通胀环境影响发生的非线性变化。利用2005年7月-2014年3月中国对美国出口价格月度数据进行协整分析,结果发现：中国对美出口价格长期受汇率、美国居民收入及竞争对手价格的影响。与其他研究不同,笔者在线性误差修正模型的基础上采用STR非线性检验考察通胀环境对汇率传递的影响,发现短期内汇率传递受通胀环境影响在0-0.354之间发生逻辑斯蒂转换。通货膨胀小于3.985时,汇率传递较小,出现通货紧缩时,几乎不存在汇率传递。通货膨胀大于3.985时,汇率传递较大,通货膨胀超过7之后,汇率传递达到0.354的最大值不再改变。This paper studies exchange rate pass-through（ ERPT） and focuses on ERPT＇s nonlinear change from inflation environment perspective with data of new exchange rate regime reform. With monthly data of Chinese export prices to the U. S from 2005m7 to2014m3,the research with co-integration analysis discovers the exchange rate,income of U. S residents and competitor prices affect export prices in the long-run. Different from other studies,this article tests Smooth transition non-linear effects of inflation environment to the ERPT on the basis of the linear error correction model. There is logistic ERPT change between 0 and 0. 354 subjected to inflation environment in the short run. ERPT is small when inflation is less than 3. 985 and there is almost no ERPT during deflation. ERPT is bigger when inflation is greater than 3. 985. ERPT reaches maximum of 0. 354 and does not change when inflation is greater than 7.

关 键 词：通货膨胀环境 出口价格 汇率传递 非线性 平滑转换误差修正模型 

分 类 号：F830.7[经济管理—金融学]