经济周期视角下人民币汇率传递非对称性计量研究

Econometric Research on Asymmetric Exchange-rate Pass-through of RMB over the Business Cycle

使用1980 ～2010年的季度数据,应用带通谱回归技术分两个阶段研究人民币汇率传递关于经济周期的非对称效应.研究结果显示：人民币汇率传递存在关于经济周期的非对称性;在汇率传递的第一阶段,繁荣时期的本币升值对进口价格的影响小于其他周期阶段的影响;在汇率传递的第二阶段,繁荣时期的进口价格上升对本国物价水平的影响比其他周期阶段更强;此外,从长期来看,人民币汇率波动在第一阶段的传递具有完全性,而在第二阶段的传递则为部分传递.鉴于汇率传递具有关于经济周期的非对称性,货币政策的相机抉择操作要注意“冷热”有别,增强政策的灵活性与前瞻性.

This paper investigates the asymmetric effects of RMB exchange rate pass-through over business cycle using bandpass spectral regression technique based on the seasonal data from 1980 to 2010, in which the exchange rate pass-through is divided into two stages. The result shows that, exchange rate pass-through of first stage in the economic booming stage is weaker than other stages; the pass-through of second stage in economic booming stage is stronger than in other stages. More- over, the RMB exchange rate pass-through of first stage is nearly complete, but the second stage is partial. Accordingly, the asymmetry of exchange rate pass-through requires the monetary authority to conduct the monetary policy more flexible and forward-looking.