宏观经济与人民币汇率传递效应的实证研究

An Empirical Study on Macro-economy and Exchange Rate Pass-through

基于不完全的汇率传递理论,汇率传递效应内生于通货膨胀、汇率和货币制度等宏观经济因素。我国已有的相关研究基于线性组合模型进行,因而脱离了现实和制约了可研究范畴。本文基于动态和非线性的宏观经济视角,采用多变量的平滑转移门限自回归模型,对人民币汇率传递效应及其与宏观经济的复杂关系,进行了创新研究。研究发现,通货膨胀、汇率和货币供应量对汇率传递效应的影响显著,其中,通胀滞后1期和货币供应量滞后4期的较大影响发生在1996年底前,汇率升值滞后1期的较大影响则贯穿始终,并在研究期末达到新高。这意味着在我国,通胀对汇率传递的影响变弱了,而汇率升值对汇率传递的影响却越来越强了。

Based on the theory of incomplete exchange rate pass-through,exchange rate pass-through is born in inflation,system of exchange rate and monetary,as well as other macroeconomic factors. But the related researches in China were based on linear combination models. So,in this paper, based on the dynamic and nonlinear macroeconomic perspective,a new multivariable smooth-transfer TAR model was built,and furthemorer,the RMB exchange rate pass-through and its complicated relation with the macro-economy were studied. The study found that the inflation and the exchange rate fluctuations have significant and relatively large effects on the exchange rate pass-through. The influence of the former was before the end of 1996,while the influence of the latter ran through the whole studied period and increased gradually to a new highest level.