摘要
运用EGARCH模型求出人民币汇率波动的量度,在VAR模型的基础上,通过协整检验并主要运用脉冲响应等方法进行实证分析,结果发现:人民币升值主要是通过降低进口中间产品的价格来抑制通货膨胀,汇率变动的支出转换效应在中国并不显著,用人民币升值来抑制通货膨胀,效果有限;扩大人民币汇率波动区间有利于抑制通货膨胀;通货膨胀预期对通货膨胀具有显著的正向影响。
By establishing EGARCH model,this paper gets the measure of RMB exchange rate fluctuation,and then based on the model of VAR,makes an empirical study with the methods of Co-integration test and the IRF（impulse response function）.The study shows that the appreciation of RMB inhibits the inflation mainly by lowering the price of semi-finished import products,it is not obvious for the effect of expenditure-switching of exchange rate change,and it is not useful for inhibiting inflation by the appreciation of RMB,but the fluctuation amplification of exchange rate is helpful for the inhibition of inflation,the anticipation of inflation positively affects the inflation.
出处
《财贸研究》
CSSCI
2010年第6期83-89,共7页
Finance and Trade Research
基金
国家社会科学基金重大项目"完善国家宏观调控体系与保持经济平衡较快发展"(批准号:06&ZD028)
关键词
人民币升值
汇率波动
通货膨胀
appreciation of RMB
fluctuation of exchange rate
inflation
