2005——2012年人民币汇率传递效应研究

A study on RMB exchange rate pass-through effect from 2005 to 2012

文中利用VAR模型实证研究人民币名义有效汇率变化对进口商品价格总指数和消费物价指数的影响,并分析在全球金融危机背景下汇率传递效应有无明显的变化。结果表明:人民币名义有效汇率对进口商品价格总指数和消费物价指数的传递效应较低且不完全,用汇率来调整外部失衡的作用有限;全球金融危机背景下,人民币汇率传递的趋势基本没变,但传递效应增大。

This paper studies the influence of nominal effective exchange rates on the price index of imported goods and the consumer price index by using VAR model empirically, and analyzes whether some apparent effects of the exehange rate pass-through would take place in the context of the global financial crisis. The results show that the nominal effective exchange rate pass-through effect on the prices of imported goods index and consumer price index is low and the role of the exchange rate to adjust external imbalances is limited, and the trend of the RMB exchange rate pass-through is unchanged in the context of the global financial crisis, but the pass-through effect has increased.