汇率对CPI传递的非线性效应——来自新兴市场和发达市场的经验  

Nonlinear Transmission Effect of Exchange Rate on CPI Based on the Data from Emerging Markets and Developed Markets

作　　者：王晓永 张旭峰 WANG Xiao-yong;ZHANG Xu-feng

机构地区：[1]河南工业大学经济贸易学院,河南郑州450001 [2]中共云南省昭通市委党校,云南昭通657000

出　　处：《华侨大学学报（哲学社会科学版）》2022年第2期70-82,共13页Journal of Huaqiao University(Philosophy & Social Sciences)

基　　金：国家社会科学基金青年项目:宏观审慎政策与货币政策渠道共享的研究(17CYJ058);国家社会科学基金项目:基于区块链的农业供应链信用管理体系研究(20BJY157)。

摘　　要：以金砖五国和G7为研究对象,利用STAR模型考察2001年1月至2020年8月期间名义汇率波动对CPI的非线性传递效应。研究发现:因汇率制度不同,新兴市场国家的名义汇率对CPI的影响不存在明显的直接传递效应,但以进口渠道对CPI的影响存在非线性特征。发达市场的情况与之相反,表明其相较新兴市场的名义汇率波动会直接引致其国内CPI的逆向调整,以烫平由名义汇率变化对进口商品和国内同质商品的替代效应。而新兴市场的汇率传递渠道较为复杂,其名义汇率对国内CPI的影响通过进口渠道产生非线性传递效应。在汇率双向浮动时期,由于汇率波动引致通胀风险的传递过程较为复杂,新兴市场国家的政策当局拥有一定调整时间以稳定宏观经济。Taking BRIC and G7 countries as research objects, the STAR model is used to examine non-linear transmission effect of nominal exchange rate on CPI from January 2001 to August 2020. It is found that due to the different regulations of exchange rate, the impact of nominal exchange rate on CPI in emerging market countries does not have obvious direct transmission effect, but the impact of import channels on CPI has nonlinear characteristics. On the contrary, the situation in developed markets shows that the fluctuation of nominal exchange rate compared with emerging markets will directly lead to the reverse adjustment of domestic CPI, so as to smooth out the substitution effect of changes in nominal exchange rate on imported goods and domestic homogeneous goods. The channels of exchange rate transmission in emerging markets are more complicated, and the impact of the nominal exchange rate on domestic CPI has a nonlinear transmission effect through the import channel. During the two-way floating exchange rate period, the transmission process of inflation risk caused by exchange rate fluctuation is more complicated, and the authorities of emerging market countries have certain time to stabilize the macro economy.

关 键 词：名义汇率 CPI 非线性传递效应 新兴市场 发达市场 

分 类 号：F830.7[经济管理—金融学] F726