汇率变动对价格水平的非线性传导效应——基于LSTAR模型的计量研究

A Study of Nonlinearities of Exchange Rate Pass-through Effect on the Price Level——Based on LSTAR Model

利用1996～2011年的季度数据,构建一个非线性LSTAR模型,系统分析了通货膨胀汇率传导效应的非线性性质。计量结果表明:首先,通货膨胀与自身滞后项、产出缺口、名义有效汇率变化率和超额货币变化率有关;其次,人民币升值无助于抑制通货膨胀;最后,名义有效汇率变化率对通货膨胀具有非线性效应,且在2005年前后转换函数特征显著不同。因此,中国有待继续稳步深化汇率改革,在货币政策调控中对汇率传导的非线性效应给予足够的重视。

This paper constructs a nonlinear I_STAR model and examines the effect of exchange rage pass -non -linearusing 1996 -2010 quarterly data. The result shows that： first,inflation has some connection with its lags, output gap, the nominal effective exchange rate of change and the rate of change of the excess money; second, appreciation of the RMB will not help curb inflation; finally,rate of change of the nominal effective rate has a nonlinear effect on inflation, and in 2005, the transfer function characteristics are significantly different. Therefore, China has yet to be stable and continue to deepen reform of the exchange rate, and monetary authorities should pay sufficiently attention to non - linear effects of exchange rate pass.