人民币汇率变动对我国通货膨胀的影响：汇率传递视角的研究

The Influence of RMB Exchange Rate on China's Inflation:the View of Exchange Rate Pass-through

在开放经济条件下,汇率变动对一国通货膨胀水平的决定具有重要作用。本文利用自回归分布滞后(ARDL)模型研究了人民币汇率变动对以消费者价格指数(CPI)衡量的国内通货膨胀的传递效应。研究结果表明,人民币汇率变动对以CPI衡量的通货膨胀水平的传递是不完全的且存在明显的时滞,长期和短期汇率传递效应都很低;汇率变动对我国CPI的传递效应受食品价格冲击的影响非常大。本文的研究结论对于我国的汇率制度改革和货币政策实施等具有重要的启示意义。

Under opening economy, exchange rate change has important impact on domestic inflation. This paper uses Autoregressive Distributed Lag（ARDL） approach to examine the extent to which changes in exchange rates result in changes in CPI, which is the proxy of Chinese domestic inflation. The results of the empirical analysis indicate that the exchange rate pass-through effect on the CPI and domestic inflation are incomplete and time-lagged. Both the long and short-term exchange rate pass-through effect are small. The exchange rate passthrough effect on the CPI is heavily affected by the shock of food price. This empirical result has important implication for the exchange rate mechanism reform and monetary policies implement in China.