汇率传递对中国出口价格的影响——基于向量自回归模型和状态空间模型

The Analysis of the Impact of Exchange Rate Pass-through to Export Price of China in Short-term and Long-term——Based on VAR and State Space Models

就2001年1月～2011年10月间的数据,首先引入五个变量,建立向量自回归(VAR)系统,通过脉冲响应函数和方差分解分析汇率波动对出口价格的影响。其次,引入误差修正模型得到汇率等变量如何由短期波动向长期均衡调整。最后,通过状态空间模型得到汇率在各期的传递系数。结果显示,汇率对出口价格是不完全传递的,人民币名义有效汇率对出口价格的冲击程度很小,滞后期较长,汇率传递系数随时间的变化有下降的趋势。

Based on data from January 2001 to October 2011, this article firstly introduces five variables to bulid the VAR system and analyzes the impact of exchange rate volatility on export prices from the impulse response function and variance decomposition. Secondly, how the short-term fluctuations of the exchange rate adjusts to the long-run equilibrium is studied by using the error correction model. Finally, the state space model tells transfer co- efficient of the exchange rate in each period, and the results show that the exchange rate pass-through is incom- plete. The fluctuation of the nominal effective exchange rate has little affects on the export prices in a long lag peri- od, meanwhile, the transfer coefficient of the exchange rate has a downward trend.