人民币汇率变动对中国进口商品价格的传递效应——基于VECM的实证研究

RMB's Exchange Rate Change and Commodity Import Price:An Empirical Analysis based on VECM

本文在现有研究文献的基础上构建了适合我国汇率传递研究的分析框架,并将其应用于对我国商品进口价格汇率传递效应的实证检验。使用向量误差修正模型的实证研究表明,我国商品进口价格的汇率传递程度是不完全的,短期和长期传递率存在明显的差异与时滞,进口价格受外国厂商生产成本的影响程度相对更高一些。

The research constructs an analysis framework under the imperfect competitive market structure which suited our country＇s exchange rate pass-through research, then applies to our country＇s commodity import price＇s exchange rate pass-through analysis. The empirical research indicates that the pass-through is incomplete. There was difference and lag to the effects of import price and CPI. Foreign company＇s production cost has more effect than other factors.