人民币汇率波动的通货膨胀风险测量研究

Measuring the Inflation Risk Caused by the Fluctuation of RMB's Exchange Rate

本文在从微观和宏观传递两个方面对汇率波动的通货膨胀效应进行理论分析的基础上,分别构建了指标体系和Logit和Probit模型来测度人民币汇率变动的通货膨胀风险,并采用我国相关数据,对于人民币汇率波动的通货膨胀风险进行了实际测度。指标体系的测算结果表明,微观传导上,人民币升值的通货膨胀风险并不明显;宏观传导上,人民币升值则有助于降低通货膨胀风险。实证模型测量结果表明,名义有效汇率升值会降低通货膨胀风险。而且人民币升值对降低消费者价格指数测度下的通货膨胀风险的贡献比较大;名义有效汇率升值对通货膨胀风险的降低程度在通货膨胀风险比较高的时间段比较大。

We theoretically analyze the inflation effect caused by exchange rate fluctuation from two aspects: macro and micro transmission and respectively establish an indicator system and Logit and Probit model to measure the inflation risk caused by the volatility of exchange rates and actually measure the inflation risk caused by the rise and fall of RMB by using the relevant data of China. The results indicate that in micro transmission,the inflation risk caused by the appreciation of RMB is not obvious. In macro transmission,the appreciation of RMB is conductive to reducing inflation risk. The results of empirical model measure show that the rise of nominal effective exchange rate can reduce inflation risk and the contribution of RMB's appreciation to the fall of inflation risk measured by CPI is relatively big. The appreciation of nominal effective exchange rate can more greatly reduce inflation risk in the period when the inflation risk is higher.