人民币汇率传递、行业进口价格与通货膨胀：1996～2011

Research on RMB Exchange Rate Pass- through, Industrial Import Prices and Inflation： 1996 -2011

本文采用面板数据两阶段工具变量法和滚动回归计量方法,首先研究了1996年10月至201 1年10月期间人民币汇率变动对进口价格的整体传递效应、传递效应变动趋势以及2005年7月汇改前后汇率传递效应的差异;其次,将海关统计中97章所有代表性商品进行集结和分类,归并为13大行业,同时构建行业进口价格指数和行业汇率指数,首次研究了人民币行业汇率变动与13大行业进口价格的关系;最后,考察了汇率传递与通货膨胀的关系。研究表明:人民币汇率传递效应整体较小,在13个行业中,汇率变动对纺织、塑料、化学等劳动密集型和简单技术商品的进口价格存在很小的传递效应;原油、黑色金属、有色金属等矿产类商品的进口价格对汇率变动基本不敏感;通用、专用设备以及电器行业存在相对较强的"逆传递"效应,交通运输行业和电子信息行业进口价格对汇率变动基本无反应;而煤炭、造纸以及食品类行业存在较强的汇率传递效应;汇率传递效应对中国的通货膨胀影响极为有限,中国的通货膨胀更多地由实体经济因素决定。

This paper analyzes the total ERPT effects and the variation trend of the RMB import ERPT effects. We find that the RMB exchange rate pass -through effect is slim overall. All of the 13 industries, the ERPT coefficients for textiles, plastics, and c.hemical and other labor - intensive and simple technology goods are rela- tive slim. The ERPT effects on the oil, ferrous metals, nonferrous metals and other mineral commodities are not significant. For the general and special equipments, and electric equipments, relatively positive ERPT effects are available. The fluctuations of the exchange rates have no effects on the import prices for electronic informa- tion equipments, and communieations and transportation goods. The ERPT effeets on the coal, papermaking, and food industry are very strong. In addition, the study shows that the impact of ERPT effects on inflation in China is extremely limited and China＇s inflalion is more contribuled by the the real economy.