生产者价格与汇率和国外价格间关系的实证研究

An Empirical Study on Relationship between PPI, Exchange Rate and Prices in Foreign Economies

本文基于向量自回归模型(VaR),运用协整方法,实证检验中国的生产者价格指数与国外价格(以OECD组织的生产者价格指数代表)、人民币名义有效汇率指数,以及国内货币供给与总需求状况(以M2/GDP比率代表)等变量之间的关系。实证发现:1997年1季度至2008年2季度,国内生产者价格指数与这些变量之间存在协整关系;国内生产者价格既受国际价格的影响,也受人民币名义有效汇率和国内货币供求状况的影响;最后,本文提出了若干思考。

Based on VaR and cointegration analysis, this paper empirically tests the relationship between China＇s producers＇ price index （PPI） and OECD＇s PPI; RMB＇s nominal effective exchange rate, China＇s money demand and supply （M2/GDP ratio as proxy）. It found that in the sample period from 1997Q1 to 2008Q2, China＇s PPI cointegrates with OECD＇s PPI, RMB＇s nominal effective exchange rate and China＇s MJGDP ratio. The results provide empirical evidences of pass-through of prices in foreign economies and RMB＇s nominal effective exchange rate to China＇s PPI. It concludes with some implications.