外汇黑市汇率溢价与通货膨胀率的区制关系分析（1990～2006）

The Regime Relationship between Black Market Exchange Rate Premia and Inflation Rate (1990-2006)

本文采用了MSIH-VECM模型分析了1990～2006年间我国通货膨胀率与外汇黑市汇率溢价①的区制关系．实证结果表明该模型要优于传统的线性VECM模型，并能够准确地捕捉到结构性的变化。本文的研究还发现，黑市汇率溢价和通货膨胀率存在长期的稳定关系，我国黑市汇率溢价降低将导致通货膨胀率的提高。因此，我国政府在采取措施干预黑市汇率溢价的同时，还应采用适当的财政政策来降低通货膨胀。

This paper uses MSIH - VECM model to analyze the regime relationship between black market exchange rate premia and inflation rate in China from 1990 to 2006, showing that the nonlinearity model is better than the traditional linearity VECM model and can captures the structural changes between them. This paper also finds that there is stable relationship between black market exchange rate premia and inflation rate in long ran, and the reduction in black market exchange rate premia will increase the inflation rate. So Chinese government has to use appropriate fiscal policies to depress inflation rate when unify black market exchange rate premia.