不同经济阶段人民币汇率对通货膨胀的非对称传递效应——基于NARDL两步估计模型  

The Asymmetric Transfer Effect of RMB Exchange Rate on Inflation in Different Economic Stages:Based on NARDL Two-step Estimation Model

作　　者：刘悦[1] 刘金全[1] LIU Yue;LIU Jinquan(School of Business and Management,Jilin University,Changchun 130021,China)

机构地区：[1]吉林大学商学与管理学院,吉林长春130021

出　　处：《东北大学学报（社会科学版）》2023年第1期25-34,共10页Journal of Northeastern University(Social Science)

基　　金：国家社会科学基金重点资助项目(19AJY005);国家社会科学基金重大资助项目(21ZDA042)。

摘　　要：通过构建NARDL两步估计框架,实证研究了经济周期的不同阶段中人民币汇率对通货膨胀传递的非对称性。研究结果表明:在模型优化方面,NARDL两步估计突破了单步估计的渐进奇异性问题,估计的精确性更高;在汇率非对称传递规律方面,整个样本期内汇率波动对通货膨胀水平的总体传递效应的非对称性主要集中在长期,人民币不管是升值还是贬值都会加剧中国的通货膨胀,且通货膨胀对汇率的贬值更为敏感;在经济周期的不同阶段,汇率贬值的影响仍然强于升值,但汇率升值传递效应在不同的宏观经济状况下表现出较大的波动幅度,且汇率变动在经济收缩阶段对通货膨胀呈现出更为强烈的传递效应。In this paper,we study the asymmetry of RMB exchange rate transmission to inflation in different stages of the economic cycle by constructing two-step NARDL estimation framework.The conclusions are as follows:In terms of model optimization,two-step NARDL estimation breaks through the gradual singularity problem of the single-step NARDL,and the estimation is more accurate.In terms of the asymmetric of the exchange rate pass-through,the asymmetric overall transfer effect of exchange rate fluctuations on inflation during the sample period is mainly concentrated in the long term.Both the appreciation and depreciation of RMB will aggravate China s inflation.Meanwhile,inflation is more sensitive to the depreciation of the exchange rate.In different stages of the economic cycle,the impact of exchange rate depreciation is still stronger than the appreciation,but the transmission effect of exchange rate appreciation shows great changes in different macroeconomic conditions,and the exchange rate changes show a stronger transmission effect on inflation in the stage of economic contraction.

关 键 词：人民币汇率 汇率传递 通货膨胀 NARDL两步估计 非对称性 

分 类 号：F832.6[经济管理—金融学]