汇率传递与通货膨胀之间的关系存在中国的“本土特征”吗?

Is There "Native Features" in the Relationship between the Exchange Rate Pass-through and the Inflation?

与国外关于汇率传递效应和通货膨胀关系的研究(其汇率传递系数符号均为负数)不同,本文发现,国内的相关研究出现了传递系数符号既有正又有负、甚或有正有负的现象,这显示我国汇率传递效应可能存在某种独特的"本土特征",但既有的研究对此缺乏足够的关注和合理的解释。对此,本文基于非线性计量的研究表明,从总体上看,在样本期内我国汇率传递系数大小与通货膨胀的关系仍支持Taylor(2000)的代表性结论,但汇率传递系数的符号则呈现出有正有负,并随通货膨胀上升而以LSTAR形式"由负转正"平滑转换的特征,且具有在低通货膨胀时期传递系数符号基本为负,而在高通货膨胀时期,传递系数符号基本为正的不对称性特点。这意味着汇率变化对国内物价的传递方向在不同的通货膨胀环境下具有不同的反应机制。对此,本文从高通货膨胀环境背后特定的宏观经济状况出发做出了一定的解释并给出了相应的政策建议。

Different from foreign studies on the relation between the exchange rate pass-through and inflation （ whose ERPT signs are all negative）, this paper finds that the domestic relevant researches appear the phenomenon that there are either ＂positive＂ or ＂negative＂ in the ERPT symbols and even have both, which reveals that the Chinese exchange rate pass-through effect may have some unique ＂native＂ features, but the current researches did not give enough attentions and reasonable explanations about it. Based on the non-liner analysis, the paper shows that the relation between China＇s exchange rate pass-through coefficients and inflation still supports Taylor＇s representative conclusion, but ERPT symbols appear either positive or negative and have the features of smooth conversion ＂from negative to positive＂ along with the rise of inflation in the form of LSTAR. Moreover, the ERFY symbols are asymmetric because they are almost negative in the period of low inflation, but positive in the period of high inflation. This means that the exchange rate change has different response mechanisms to the pass-through direction of the home price in different inflation environments. To this point, the authors propose certain explanation and related policy suggestions from the view of the specific macroeconomic situation behind high inflation.