人民币汇率与通货膨胀及利率之间的替代关系研究

On the Substitution Relationship between RMB Exchange Rate and Inflation and Interest Rate

对人民币汇率与通货膨胀和利率之间的替代关系进行行为分析,基于1994Q1-2011Q3的季度数据,采用格兰杰因果关系检验、VAR模型估计系数检验、脉冲响应函数检验和方差分解检验进行实证分析。结论及政策建议是:由于通货膨胀仅在短期内对汇率升值具有微弱的替代作用,因此不宜采用通货膨胀政策缓和人民币升值压力;由于汇率变化对通货膨胀有着持续的逐渐增强的替代作用,因此可以考虑通过汇率升值来抑制通货膨胀;由于就反通胀而言,汇率升值比提高利率见效更快、作用更强,因此在反通胀的背景下可优先考虑采用汇率升值的政策。

Focusing on the two substitution relationships, this paper makes a behavior analysis first, and then makes an empirical analysis of the 1994Q1 -2011 Q3 quarterly data based on the Granger causality test, the VAR model coefficient estimate test, the impulse response function test and the variance decomposition test. All levels of the analyses and tests reach basically the same conclusion. Based on these findings, it proposes the following policy recommendations： the inflation only has a weak substitution effect to the ex- change rate appreciation in the short term, so inflation policies should not be adopted to ease the pressure of RMB appreciation; the exchange rate change has a continuous and gradually increasing substitution effect to inflation, therefore, exchange rate appreciation is faster and can be given to the use of exc rate appreciation can be considered to curb inflation; the effect of exchange stronger than interest rate increase, so in the context of anti-inflation, priority hange rate appreciation policy.