汇率和国际市场价格冲击对国内价格波动的影响

The Impacts of Exchange Rate and Import Price Fluctuation on Domestic Prices

本文运用向量自回归(VAR)的方法研究了名义汇率和国际市场价格波动对中国国内价格水平的影响。通过计量研究我们可以发现,国内生产者价格的短期波动主要归因于进口价格冲击,而消费者价格的短期波动则主要是进口价格和货币供给冲击造成的。货币供应量波动对国内价格水平的影响力要强于名义汇率和进口价格波动,而且是导致消费者价格波动的主要原因之一。名义汇率对进口价格和国内价格水平波动影响力有限,也不是导致国内价格波动的主要原因。

Through vector auto- regression （VAR）, this paper studies the impacts of nominal exchange rate and import price fluctuations on domestic inflation. The paper finds the following results, in the short run; domestic producer price fluctuation is mainly attributed to the import price shock, while consumer price fluctuation to the import price and money stock shocks. Money shock is more influential than nominal exchange rate and import price on domestic inflation fluctuation, but it is not the main course of producer price fluctuation. Nominal exchange rate is neither the main reason nor powerful in causing the domestic price fluctuation.