汇率传递、宏观经济冲击对我国物价水平影响的实证分析

The Empirical Analysis on the Influence of Exchange Rate Pass-through and Macroeconomic Shocks to Chinese Domestic Prices

从实证的角度研究中国的汇率传递及宏观经济冲击和货币政策冲击相关因素对物价水平的影响。结合中国实际情况,在原有研究的基础上改进了一个包括所有这些相关变量的VAR模型。通过脉冲响应函数和方差分解的方法,我们发现,供给和需求冲击是物价水平波动的最主要原因,汇率和货币政策冲击在物价波动过程的作用并不明显,这与已有的研究结果有很大的不同,这表明仅仅依靠货币政策并不能降低当前的高物价水平。

This paper mainly studies the influence of exchange rote pass - through c shocks and monetary policy shock to Chinese domestic prices by empirical method. Based on Chinese reality, we improve a new VAR model including all above factors from preceding research. By the method of Impulse Response Function and Variance Decomposition, the article finds that supply shock and demand shock are the major reasons; the influence of exchange rote and monetary policy is not obvious, this is different from the preceding conclusions. This means that the high domestic prices can not be reduced only by monetary policy.