人民币升值能够有效抑制通货膨胀吗？--基于内生结构突变协整方法的汇率传递视角

Inflation?——From the Perspective of Exchange Rate pass-through with Cointegration Method of Endogenous Structural Breaks

本文从内生结构突变协整方法的汇率传递视角对人民币升值是否能够有效抑制通货膨胀问题进行了实证研究。发现协整方程参数在样本期内发生了显著的结构突变,突变时点为2006年12月,且结构突变前后人民币汇率传递效应均存在,但其作用机制却发生了显著变化。结构突变前人民币升值不仅不支持"升值抑胀论",反而会加剧通货膨胀,而结构突变后人民币升值却在一定程度上起到了抑制通货膨胀的作用,但其效果微弱。这表明不能寄希望于人民币升值的汇率政策而来消除强烈的升值预期以起到抑制通货膨胀的效果。

We conduct an empirical study in this paper on whether the appreciation of RMB can effectively restrain inflation, using the cointegration method of endogenous structural breaks from the perspective of exchange rate pass-through. It turns out that during the sample periods the parameters in the cointegration equation have significant structural breaks, with the exact breaking point in December 2006. Moreover, we found the pass-through effect of RMB exchange rate existed both before and after the breaks, though its operation mechanism changed dramatically. Before the structural break, the RMB appreciation not only failed to support the view that appreciation helps restrain inflation, but aggravated inflation; while after the break, the RMB appreciation, to some extent, had an effect on restraining inflation, yet the effect was quite weak. Accordingly, this indicates that the authority should adopt proper monetary policy to eliminate the intensified expectation of RMB appreciation so that it can achieve better effect on restraining inflation, rather than just lays its hope on the exchange rate policy of revaluing RMB.