美元贬值对中国通货膨胀的影响：传导途径及其效应

Impacts of Dollar Depreciation on China's Inflation:Transmission Channels and Effects

本文结合有向无环图方法(DAG)及结构向量自回归模型(SVAR),分别从成本推动渠道、资金输入渠道和货币扩张渠道就美元贬值对我国通货膨胀影响的传导途径及其效应进行了实证研究。分析表明,由成本推动渠道,美元贬值会迅速带动我国工业品出厂价格上涨,能源价格、食品价格和金属价格的传导效应都很显著,而推动我国居民消费价格走高则存在一定时滞,主要依赖食品价格传导。此外,国际大宗商品价格上涨对我国通货膨胀的影响更侧重于生产领域。由资金输入渠道,美国联邦基金利率走低和美元指数下滑会带动国内商品房销售价格和资本市场价格的结构性上升,进而拉动我国通货膨胀,其中以市场利率和短期资本流动传导尤为显著。由货币扩张渠道,美元贬值对我国工业品出厂价格的影响更为显著,货币扩张主要通过外汇占款和人民币升值预期对我国通货膨胀产生影响,且以对消费领域的影响较为明显。本文的研究显示,我国当前承受着较大的输入型通货膨胀压力。

Combined the technique of directed acyclic graph（DAG）with the approach of structural VAR model（SAVR）,this paper,respectively from the perspective of cost-push,asset-input and monetary expansion,has made an empirical study on the transmission channels and effects of dollar depreciation on China＇s inflation.From the cost-push view,dollar depreciation will rapidly stimulate domestic industrial producer price,the transmission effects from energy price,food price,and metal price are rather significant,but there exists a certain delay when dollar depreciation stimulates domestic consumer price,and mainly depends on the transmission from food price.Additionally,effects of international commodity price on China＇s inflation focus more on the production areas.From the asset-input view,the decline of U.S.federal funds rate and dollar index will lead to structural increases of real estate sales price and capital market price in China,and thereby stimulate domestic inflation,in which the transmission effects of short-term capital flow and market interest rate are more significant.From the monetary expansion view,effects of dollar depreciation on domestic producer price are more significant,and monetary expansion exerts influences on China＇s inflation,especially consumption areas,mainly through foreign exchange reserves and expectation of Renminbi appreciation.This study shows that China is currently subjected to high pressure of imported inflation.