汇改前后人民币汇率传递效应研究——基于ARDL模型的实证分析

RMB Exchange Rate Pass- through Effect before and after the Reform:Empirical Analysis Based on ARDL Model

文章通过运用ARDL模型,考察了2005年7月汇改前后人民币汇率变动对以PPI和CPI为衡量指标的国内物价水平的影响。结果表明:人民币汇率变动对PPI的传递程度不完全,且汇改对传递效应不存在显著影响;而受汇改后人民币升值预期和大量"热钱"流入境内的影响,人民币汇率与CPI变动方向由汇改前的反向关系,转化为汇改后的正向关系,呈现出人民币对外升值与对内贬值并存的局面。在不断深化汇率制度改革的同时,货币当局需要加大热钱流入的限制和管理,保持货币政策独立性,动态管理和调节人民币汇率浮动,保持人民币汇率基本稳定在合理均衡的水平。

This paper uses Autoregressive Distributed Lag＇（ARDL） approach to examine RMB exchange rate pass- through （ERPT） effect on CPI and PPI before and after RMB reform in July of 2005. The results show that, when PPI as the domestic price level index, ERPT effect in China is incomplete and not obviously different before and after the reform; when CPI as the domestic price level index, affected by the expected RMB apprecia- tion and a large number of ＂ hot money＂ flowing into China, the RMB exchange rate and CPI changes from the reverse relationship before the reform, into a positive relationship after the reform, presenting the outside appreci- ation and inside depreciation of RMB. While deepening the reform of RMB exchange rate, currency authorities need to limit and manage the hot money inflows, keep monetary policy independence, and dynamically manage the RMB exchange rate floating, to keep the exchange rate basically stable at a reasonable and balanced level.