人民币名义有效汇率变动对CPI传递效应实证检验——基于通货膨胀环境变化视角

Text of the effect of nominal effective exchange rate pass-through into CPI: Based on the inflation environment changes

通过将Taylor(2000)交错价格模型融入新开放宏观经济学模型(NOEM)导出实证模型,有效地将通货膨胀环境与汇率对国内价格传递相融合。选取1998年1月—2012年4月的数据对人民币名义有效汇率的消费者价格指数(CPI)传递效应在不同通胀环境下进行测算,在此基础上对传递途径进行了脉冲检验。实证结果表明,人民币名义有效汇率变动的CPI传递的长短期效应均较低且受通胀环境影响较大,1998年初至2002年末的持续低通胀环境阻碍了汇率传递所有渠道是导致传递效率低的原因所在,2003年初至2012年4月的较高通胀环境下汇率传递的货币渠道较进口商品价格渠道冲击显著但作用符号相反。

Through merge the Taylor （2000） staggered price model with the new open macroeconomics model （NOEM）, make the inflation environment and the exchange rate pass - through into domestic prices together. Select the data from 1998.01 -2012.04 to calculate nominal effective exchange rate pass -through effect on consumer prices in the different inflation environment, then test the pulse effect based on the channels. The empirical results show that the short and long term effects of the nominal effective exchange rate movements pass - through effect on consumer price low, and influenced by inflation environmental obviously, from early 1998 to late 2002, continnously low inflation environment has hindered all channels of the exchange rate pass - through; under the inflation environment, the effect of monetary channels of exchange rate pass - through is significantly higher than the effect of import price channels bct the sign of the effect is negative. Recommendations on policies has been made in accordance with the conclusion of empirical studies.