人民币汇率波动与物价水平的传递效应研究——基于大宗商品价格指数等8种相关价格指数的实证检验

The Pass-through Effect of RMB Exchange Rate and Price Level——Based on Empirical Test by Introducing 8 Price Indexes Including Commodity Price Index

开放条件下人民币汇率波动会引起大宗进口商品价格变化,进而影响国内消费品价格,最终对国内物价水平产生影响。本文首先从影响机制上分析汇率波动对物价水平影响的非线性原因,然后运用NARDL模型实证检验人民币汇率与8种价格指数所代表的物价水平之间的非线性动态传递效应。本文认为从长期来看,人民币汇率对物价水平的传递效应总体呈负相关关系,人民币汇率的传递效应存在异质性,与货币供应量相比人民币汇率升值所产生的传递效应更大;从短期来看,人民币汇率对物价的传递存在明显时滞效应,人民币汇率对物价水平的传递效应存在非线性特点。基于研究结论,本文提出如下建议:保持人民币汇率合理、均衡、稳定以稳定国内物价;实施稳健的宏观经济政策以稳定宏观经济;加强中国与其他国家间的政策协调以维护经济金融稳定。

Under opening up condition,the fluctuation of RMB exchange rate will cause the change of imported commodities price,and then affect price of domestic consumer goods,finally have an impact on the domestic price level.At first the nonlinear mechanism of exchange rate fluctuations on the price level is analyzed,then nonlinear and dynamic empirically tests on the pass-through effect of RMB exchange rate and price level represented by eight price indexes have been done by using NARDL model.The paper considers that in the long run,the pass-through effect of RMB exchange rate on the price level is generally negatively correlated,and the pass-through effect of RMB exchange rate is heterogeneous,the pass-through effect of RMB exchange rate is greater than that of money supply when RMB is appreciated.In the short term,the pass-through effect of RMB exchange rate on price level has obvious time lag,and the pass-through effect of RMB exchange rate on price level has nonlinear characteristics.Based on the empirical conclusions,the paper puts forward the following suggestions:Keeping the RMB exchange rate in a reasonable、balanced and stable interval to stabilize domestic prices;implementing sound macroeconomic policies to stabilize macro economy;strengthening policy coordination between other countries and China to maintain economic and financial stability.