人民币汇率变动的物价传递效应：多结构变化协整回归分析

Pass-through Effect of RMB Exchange Rate to Domestic Price:Multiple Structural Changes in Cointegration Regression Analysis

现有研究物价传递效应的文献以线性模型为主,甚少关注物价传递过程中可能存在的结构变化,本文在充分考虑我国转轨时期所面临的各种经济冲击的条件下,利用最新发展的多结构变化协整回归方法考察了1994年1月至2008年12月间人民币汇率变动的物价传递效应。研究结果表明,人民币汇率变动的物价传递效应分别在1998年8月、2002年10月、2005年8月及2007年7月发生了四次结构变化,传递效应虽总体趋减,但2007年7月后出现了反复,且符号也发生了改变。在上述结论基础上,本文提出了相关政策建议。

The existing literature on the pass-through effect mainly bases on the linear model,and virtually no account of the structural changes during the pass-through process.Considering the economic shocks faced by China in current transitional period,this paper investigates the pass-through effect of RMB exchange rate to domestic price from January 1994 to December 2008 by utilizing multiple structural changes in cointegration regression approach.The results show that there are four structural changes： August 1998,October 2002,August 2005 and July 2007 respectively when RMB exchange rate pass-through to domestic price takes place in China.The pass-through effect shows a downward tendency overall,but appears reversal after July 2007.Finally,this article proposes alternative policies based on the conclusions above.