人民币汇率传递的不对称效应

The Asymmetric Effect of RMB Exchange Rate Pass-through

在不同的汇率波动方向及波动幅度下，汇率传递可能是不对称的。利用中国17个主要贸易伙伴1994～2008年年度数据对人民币汇率传递的不对称性实证研究发现，在不同的汇率波动方向下，汇率传递弹性是不同的。人民币汇率贬值时的汇率传递弹性为负，升值时的汇率传递弹性为正。在不同的汇率波动幅度下，汇率传递同样是不对称的。当人民币汇率波动幅度小于2．68％时，汇率传递弹性为-0．5815；当汇率波动幅度大于2．68％时，汇率传递弹性为-0．0578。

This paper theoretically analyses that the exchange rate pass-through may be asymmetric with different direction and different size of the change in the exchange rate. It also explores the RMB exchange rate pass-through on the import price using the yearly data from 1985 to 2008 of China＇ s 17 main trade partners. Findings indicate that passthrough is asymmetric with respect to depreciations and appreciations. The elasticity of exchange rate pass through is negative when RMB depreciates, while it is positive when RMB appreciates. Likewise, pass-through is asymmetric with different size of the change in RMB exchange rate. The elasticity of exchange rate pass through is -0. 5815 when the change in exchange rate is smaller than 2.68%, which is -0. 0578 when the change is larger than 2.68%.