外汇储备对我国物价水平的影响——基于协整检验与误差修正模型的分析

The Empirical Analysis on the Influence of Foreign Exchange Reserves on China's Price Level ——Based on the Cointegration Test and the Error Correction Model analysis

协整和格兰杰因果检验结果表明,我国外汇储备与物价水平存在协整关系,且外汇储备是物价水平的格兰杰原因,表明外汇储备增加将对通货膨胀形成压力。但从误差修正模型的检验结果看,我国外汇储备对物价水平的影响在短期内较为有限,其主要原因是我国央行短期内进行大量的外汇冲销操作。因此,我国需要采取有效的措施来缓解通胀压力,如加大央行公开市场业务操作、改革外汇管理体制、适当放宽汇率浮动幅度以及合理使用我国现有外汇储备等。

The paper will analyze the transmission mechanism of foreign exchange reserves＇ impacts on the price level under the current China＇ s foreign exchange system. This paper uses econometrics knowledge and Eviews6.0 to make empirical analysis of the relationship between them. The result of the vector error correction model shows that, the short - term effects between then are limited, the mainly reason is that China＇ s central bank carried out high -volume short- term foreign exchange sterilization. But, the result of co -integration and causal Test shows that, there indeed exists long - term co - integration relationship between China＇ s foreign exchange reserves and the price level, and the former is the Granger - causality of the latter, which means the foreign exchange reserves will give pressure on inflation. So, we must to build effective measures to mitigate inflationary pressures from the foreign exchange reserves, such as increasing open market operation of the central bank, further reforming foreign exchange management system, floating exchange rate moderately and using our existing foreign exchange reserves fairly.