汇率变动、货币政策与通货膨胀

Exchange Rate Change,Monetary Policy and Inflation

本文运用内生结构突变检验与考虑结构突变的ARDL-ECM方法,同时将货币政策变量纳入模型中从而把汇率变动、货币政策与通货膨胀联系起来重新对汇率传递问题进行了研究,发现人民币名义有效汇率分别在2003年4月和2005年9月发生了结构突变。在此背景下,本文发现汇率传递效应仍是不完全的,但其长期传递弹性却由2005年9月结构突变前的0.065迅速增大到了结构突变后的0.118,且与现实中自2006年开始的较高通货膨胀环境也相当吻合,支持了Taylor(2000)提出的观点,但比起施建淮等(2008)得到的传递效应依然较弱,表明其所建议的可以通过人民币升值有效抑制通货膨胀的观点仍值得商榷。而体现货币政策的货币供应量增长率对CPI的长期传递弹性为2.254,远远高于汇率传递弹性,这显示政策当局完全可以运用独立的货币政策来稳定通货膨胀水平且相比于通过人民币升值的汇率政策来抑制通货膨胀具有更好的效果。

In this paper,applying endogenous structural breaks test and ARDL-ECM approach with structural changes,taking monetary policy variables into the model to link exchange rate change,monetary policy and inflation,the problem on the exchange rate has been studied.we found that the RMB nominal effective exchange rate takes structural changes,respectively in April 2003 and September 2005.Although the exchange rate pass-through effect is still incomplete,its long-term elasticity changed rapidly from 0.065 in September 2005 to 0.118 after the structural break,and matched the reality of high inflation environment since 2006,which supported the view in Taylor（2000）.But the pass-through effect is still weak compared with Shi Jianhuai,et al（2008） which indicates that the recommendstions of inflation can be curbed through RMB appreciation is questionable.The long-term elasticity of the growth of money supply reflecting the monetary policy passes on CPI is 2.254,much higher than the exchange rate transmission elasticity,which shows the independent monetary policy to stabilize inflation is more effective compared with the RMB appreciation.