人民币汇率与通货膨胀之间的溢出效应及动态相关性

Spillover Effect and Dynamic Correlation between RMB Exchange Rate and Inflation

文章综合运用VAR模型、GARCH-BEEK模型和DCC-GARCH模型,对中国人民币汇率与通货膨胀以及不同类型通货膨胀之间的均值溢出效应、波动溢出效应以及动态相关性进行了实证检验与分析。结果表明,在均值溢出方面,仅存在人民币汇率对PPI通胀的单向溢出效应;在波动溢出方面,汇率与PPI通胀之间存在双向的ARCH型溢出效应,同时汇率对CPI通胀和PPI通胀、CPI通胀对PPI通胀存在单向的GARCH型溢出效应;在动态相关性方面,人民币汇率、CPI通胀与PPI通胀之间的相关性具有时变特征,但多数时期是正相关关系。为此,政策当局要进一步稳扎稳打地推进人民币汇率改革,采取各种措施避免人民币汇率的过度波动以维护汇率稳定,实现抑制通货膨胀、保持物价稳定的政策目标。

Based on VAR model,GARCH-BEEK model and DCC-GARCH model,this paper analyzes the average spillover effect,volatility spillover effect and dynamic correlation between RMB exchange rate and different types of inflation in China.The results show:(1)There is only a unidirectional spillover effect of RMB exchange rate on PPI inflation in the aspect of average spillover effect;(2)For volatility spillover effect,there is a bidirectional ARCH type spillover effect between exchange rate and PPI inflation,the exchange rate has a unidirectional GARCH type spillover effect on CPI inflation and PPI inflation,and CPI inflation also has a unidirectional GARCH type spillover effect on PPI inflation;(3)For dynamic correlation,the correlation between RMB exchange rate,CPI inflation and PPI inflation has time-varying characteristics,but it is positively correlated in most periods.Therefore,the policy authorities should steadily promote the RMB exchange rate reform further and take some measures to prevent excessive fluctuations in the RMB exchange rate,which is to realize the policy goal of curb inflation and maintain price stability by maintaining the stability of the exchange rate.