人民币汇率变动对国内物价的传递研究

Research on RMB Exchange Rate Pass-through into Domestic Prices

为考察人民币汇率变动对我国多种价格指数的传递是否畅通,本文首先运用VAR模型建立了由供给冲击、需求冲击、货币冲击、汇率冲击和某一种价格冲击组成的5变量基准模型,发现汇率变动对单一价格的传递是畅通的。因此适宜通过沿价格链思路,开展汇率对多价格传递的研究。根据检验结果,本文以得到的8变量扩展模型为最佳。对基准和扩展模型的脉冲响应函数,均可得到汇率传递效果沿价格链递减的结论。由扩展模型的方差分解得到,对居了民消费价格变动贡献较大的是货币因素,汇率变动的解释力较小。最后提出我国不应以人民币升值抑制物价,而应从源头上减少货币投放和控制输入型通胀的建议。

In order to investigate whether RMB exchange rate pass-through into multiple price indices is smooth, this paper firstly employs VAR to establish five-variable baseline model including supply shocks, demand shocks, money shocks, exchange rate shocks and certain single price shocks. The results show that the exchange rate pass-through into single price is smooth. Therefore, it is appropriate to carry out the research on exchange rate pass-through into multiple prices in line with pricing chain. This paper takes the eight-variable expanded model as the best according to the test results. Through impulse response functions of baseline and expanded models, it can be concluded that effects of exchange rate pass-through are reduced along the pricing chain. From the variance decomposition of expanded model, it can be found that the monetary factor changes contribute larger than other factors to CPI, meanwhile, the explanation of exchange rate change is small. Finally, this paper proposes that China should not curb prices through RMB appreciation, but reduce money supply and control imported inflation.