人民币汇率、通货膨胀与新汇制的货币政策绩效——基于汇改前后两个时期数据的实证研究

RMB Exchange Rate、Inflation and the Effect of Monetary Policy on the New Exchange Rate System:An Empirical Study on two Periods Before and After the Reform Exchange Rate System

本文基于汇改前后两个时期的数据,构建人民币汇率的通货膨胀传递模型,对人民币汇率与通货膨胀的动态关系进行对比研究。结果显示,短期内,人民币汇率对通货膨胀存在逆向冲击效应,这种逆向冲击效应的强度在汇改后表现得更强,从长期来看,二者呈显著的正向均衡关系,但短期内人民币升值的通货膨胀抑制效应弱于长期内人民币升值对通货膨胀的驱动效应。从这个角度来看,新汇制对我国货币政策绩效的改善效应并不明显。

Based on the data of two periods before and after the reform of exchange rate system, by building the conduction model of the RMB exchange rate and inflation, the paper conducts a comparative study on the dynamic correla- tion between them. The study shows that in the short term, the RMB exchange rate has some adverse impact on inflation, and the strength of the impact was stronger after the reform. In the long run, there is both co-integration and signifi- cant positive correlation, but inflation inhibitory effect in short-term is weaker than inflation-driven effect in long-term. Form this perspective, the monetary policy optimization effect of new exchange rate system is not obvious.