人民币汇率对我国进口价格的传递效应研究——基于拔靴滚动因果方法

The Pass-Through Effect of RMB Exchange Rate on Import Prices of China: Based on the Bootstrap Rolling-Window Approach

人民币汇率变化将会通过汇率传递机制调节国际收支以及影响国内物价水平。使用拔靴滚动因果检验方法对1994年1月至2019年8月的人民币汇率传递问题进行研究。结果表明:在全样本期间,人民币名义有效汇率对中国进口价格呈现出不完全传递效果;在不同子样本期间,人民币汇率的传递具有结构性突变特点。近年来汇率传递系数呈缓慢上升趋势,特别是2005年汇改之后出现了汇率传递系数由负转正现象,这一特殊状况与当时中国国内外经济状况有关。以研究结论为基础得到一些有益启示。

The change of RMB exchange rate can adjust the international balance of payments and influence domestic price level through the exchange rate pass-through mechanism.The paper studies the pass-through of RMB exchange rate from January 1994 to August 2019 by using bootstrap rolling-window approach.The results show that during the whole sample period,RMB nominal effective exchange rate has an incomplete pass-through effect on import prices.In different sub-sample period,the pass-through of RMB exchange rate has the characteristics of structural breaks.In recent years,the exchange rate pass-through coefficient has an upward trend,especially after the exchange rate reform of 2005,with the coefficient changed from negative to positive.It is related to China’s economic situation at home and abroad at that time.These findings provide important implications to the policymakers.