人民币汇率变动对国内消费者价格传导的实证分析

An Empirical Analysis of the Conduction of the RMB Exchange Rate Fluctuation on Domestic Consumer Price

本文首先对汇率传导的理论基础进行了简要阐述,然后通过协整模型、脉冲响应分析和方差分解对人民币汇率的传导效应进行了实证分析。结果表明,人民币汇率对国内消费者价格具有一定的传导效应,长期来看,人民币汇率变动对消费者价格会产生正向影响,且人民币汇率对消费者价格的传导效应明显弱于对进口品价格和企业商品价格的传导效应。

This paper firstly makes a briefly introduction about the theoretical basis of exchange rate conduction, followed by an empirical analysis of the conductive effect of RMB exchange rate through cointegration model, impulse response analysis and variance decomposition. Results show that RMB exchange rate has certain conductive effect on domestic consumer price, in the long run, RMB exchange rate has a positive impact on consumer price, and the con- ductive effect of RMB exchange rate on consumer price clearly weaker than the conductive effect on import price and commodity price.