人民币名义汇率与中国通胀的区制转换特征研究

On the Features of Regime Switching between Nominal RMB Exchange Rate and China's Inflation

我们通过扩展"巴拉萨—萨缪尔森假说",对名义汇率升值和通胀的相互替代作用进行了理论解释,并使用马尔科夫区制转换模型研究了1983年1月至2010年11月间人民币/美元汇率和中国通胀率的时间序列行为。经验研究显示,在缩小中美之间价格差距的过程中,"结构性通胀"与名义汇率升值有着相同的作用。人民币外在升值压力与国内通胀并存的问题,对于宏观经济平衡和货币政策制定者来说,既意味着机遇,也意味着挑战。我们认为,通胀与名义汇率升值的合适政策搭配会降低人民币升值预期,并逐步缓解人民币升值压力。

We extend Balassa-Samuelson Hypothesis to give out theoretical explanation of the subsitution between the appreciation of nominal exchange rate and inflation,and adopt Markov Regime Switching Model to study the time serial behavior of RMB/USD rate and China＇s inflation rate from January 1983 to November 2010.The results show that ＂structural inflation＂ has the same function as the appreciation of nominal exchange rate in narrowing the price gap between China and US.For macroeconomic equilibrium and monetary policymakers,the coexistence of pressure from outside to boost RMB appreciation and domestic inflation means both opportunity and challenge.We argue that a moderate policy coordination of inflation and nominal exchange rate appreciation would lower the expectation of RMB appreciation,and gradually relieve pressures on RMB appreciation.