人民币汇率变动的物价传递效应研究——基于递归VAR模型的研究

Research on the Pass-Through Effects of Exchange Rate Changes on Price——Research based on Recursive VAR

人民币汇率变动对国内物价水平的影响可分为两阶段:一是汇率变化对国内进口品价格的影响,二是进口品价格的变化对国内CPI的影响。以2006年6月至2011年12月为研究区间,对汇率传递进行分阶段计量研究,研究结果表明:我国汇率变动对进口品价格的传递程度较小,约为6.8%;进口品价格的变化对工业品价格的传递程度为14.5%,而对消费者价格指数的传递程度仅为6.24%,因此,汇率变动对消费者价格的影响比对工业品价格的影响更为平缓。实证结果还表明,国际大宗商品价格通过影响国内生产者价格进而影响到CPI已经成为我国当前国内通货膨胀的主要形成机制,而需求冲击对当前通货膨胀形成的影响较为温和。

The pass-through effects of exchange rate changes on price can be divided into two sta- ges: the imports price is affected first; and then the price change is transmitted into the CPI com- pletely or partly. This paper investigates the mech- anisms embedded in the two stages with the help of cointegration technique using the sample from Ju- ly,2006 to December,2011. Then,this paper furthers the research with Recursive Vector Au- toregressive Model to investigate the speed of pass- through and extent to which domestic economy is affected. The results show that: 6. 8% change of domestic import price could be attributed to RMB exchange rate fluctuation; 14. 5% of PPI change and 6. 27% of CPI change can be attributed to RMB exchange rate fluctuation respectively; the channel that the CPI is affected by the PPI which is affected by the price of bulk stock has become the most important channel.