人民币汇率变动的不完全传递——基于非对称性视角的研究

Researching on the Incomplete Pass-through of the RMB Fluctuation

本文运用滚动回归分析方法,考察了自1995年1季度至2008年4季度期间人民币汇率变动对进口价格传递效应的动态发展趋势。通过设置虚拟变量、运用门限模型等计量方法从汇率变动方向和汇率变动幅度两个层面考察了人民币汇率传递的非对称性。研究表明,人民币汇率变动对进口价格传递效应总体呈现动态下降趋势。人民币汇率变动对进口价格的传递存在非对称性:一方面,人民币贬值对进口价格存在较高的传递效应,而人民币升值对进口价格的传递效应较小;另一方面,人民币汇率波幅越大,对进口价格的传递效应越大。本文在以上研究结论的基础上得到了许多有益启示。

This paper explores the dynamic trend on the RMB exchange rate pass - through to import prices from the first quarter in 1995 to the fourth quarter in 2008 by applying rolling regression. Then, the paper explores the asymmetry for RMB exchange rate pass - through from the aspects of the direction of the exchange rate movement and the size of the exchange rate movement by using quantitative methods including dummy variable and threshold model. The conclusions point out that the effect of the RMB exchange rate pass - through to import prices, in gener- al, is on declining trend. Besides, the effect of the RMB exchange rate pass- through to import prices is asymmetric. On one hand, the effect degree of the RMB depreciation pass - through to import prices is higher than RMB appreciation. On the other hand, the larger size is the changes in RMB exchange rate, the greater effect is the pass- through to import prices.