人民币汇率变动的不完全传递研究：理论及实证

The Theoretical and Empirical Study of the Incomplete Pass—through of RMB Exchange Rate Fluctuation

本文首先考察了自1995年1月至2007年12月期间人民币汇率变动与国内物价CPI之间的关系;其次,运用滚动回归计量方法分析了人民币汇率传递效应在样本考察期间的变动趋势;最后探讨了我国人民币汇率传递效应的主要影响因素。实证结果表明,无论采用OLS回归模型还是自回归分布滞后模型均得到人民币汇率传递是不完全的结论。在样本考察期间,我国人民币汇率传递效应总体呈现下降趋势。通货膨胀率、汇率波动率及真实GDP都显著地影响人民币汇率传递效应,其中,通货膨胀率与汇率传递效应存在正向关系且对汇率传递效应的影响最大、为主导因素。汇率波动率与汇率传递效应两者之间存在负向关系,这与国外许多相关研究成果的结论正好相反。真实GDP与汇率传递效应间的负向关系表明,配送成本降低了汇率传递效应,且随着巴拉萨—萨缪尔森效应的增强、劳动力成本的提高,配送成本的影响将逐步扩大。最后,本文在以上研究结论基础之上得到了几点启示。

This paper analyses the relationship between RMB exchange rate fluctuation and CPI domestic pries index. Secondly, the authors analyze the variation trend of RMB exchange rate pass-through effect. Finally, the factors effecting RMB exchange rate pass-through effect are discussed. It is found that RMB exchange rate passthrough is incomplete by using both OLS model and ADSL model and, in general RMB exchange rate passthrough effect is on declining trend. This conclusion is consistent with the overseas relating documents about the exchange rate pass-through of the developed countries. Inflation, variation of exchange rate and real GDP are all dramatically influencing RMB exchange rate pass-through effect, inflation is the dominating factor of the three, and there is positive correlation between inflation and exchange rate pass-through effect. Besides, variation of exchange rate and exchange rate pass-through effect are reversely correlated, which is contrary to overseas relating documents. Finally, there is reverse correlation between real GDP and exchange rate pass-through effect, which indicates that distribution cost has decreased exchange rate pass-through effect, and the distribution cost will have a more and more important role in explaining the declining exchange rate pass-through effect as Balassa-Samuelson effect and labor cost increasing. At the end of the paper, some apocalypses on the basis of the motioned oonclusions are proposed.