人民币汇率波动的价格传导效应研究

A Study of Transmission of RMB Exchange Rate Volitility to Prices

本文针对汇率波动对进口价格、国内价格的传导效应进行实证检验。采用Jo-hansen&Juselius协整检验法估计汇率-价格传导的长期关系。通过HP滤波求得变量的短期波动序列,采用脉冲响应函数及预测误差方差分解方法分析汇率、价格波动的动态短期引致关系。同时还考虑到结构变化和价格环境对传导效应影响。研究结果表明:无论长期内还是短期内,进口价格对汇率波动的反应都很敏感;生产者价格对汇率波动的反应虽然比较及时,但是反应不足;消费者价格指数对汇率波动的反应不仅存在时滞,而且反应最弱。此外,我们还发现汇率对国内价格的传导存在结构变化现象,近年来汇率波动对国内物价的传导有上升的趋势。

We investigate the transmission between exchange rate and import price and then domestic prices. We employ Johansen and Juselius＇ cointegration to test the long-run relationship between exchange rates and prices. By utilizing HP filter, we derive the short term series of exchange rate and prices, and analyze their dynamic relationship with impulse response and variance decompositions. Moreover, we consider the effects of possible structure break on transmission efficiency. It is found that the response of import price to exchange rate violability is very sensitive, while the response of PPI is incomplete though quick. The response of CPI is the weakest and lagging. Finally, we find that the transmission exhibits a structure break in 1997.