人民币汇率变动对国内物价水平的影响

The Impacts of China's Exchange Rate on Domestic Price

自 1 997年东亚金融危机爆发以来 ,人民币名义汇率相对固定 ,与此同时中国经济经历了相当长时期的通货紧缩。人民币汇率是否是导致通货紧缩的原因之一为众多研究者所关注。本文的目的在于运用协整 (cointegration)和Phillips -Hansen两阶段方法分析人民币汇率变动对国内物价水平的影响 ,本文还运用误差纠正模型 (errorcorrectionmodel)探讨了人民币汇率变动对国内物价水平影响的动态机制。作者构造了进口加权的名义有效汇率并分析了它与零售物价指数和生产者价格指数之间的关系 ,本文建立了一个半开放经济模型 ,在这一模型中 ,国内物价水平是由外部因素 (国外价格水平 )和内部因素 (货币供应量 )共同决定的。本文的结论是 ,长期而言名义有效汇率和国内物价水平、国外物价水平、国内货币供应量是协整的。汇率的变动显著地影响了零售物价水平和生产者价格水平 ,其中生产者物价指数对汇率变动的弹性大于零售物价指数对汇率变动的弹性。短期而言 ,汇率对零售物价和生产者价格有不同的影响 ,汇率和国外物价水平变化对生产者价格有十分快捷和显著的影响 ,就零售物价而言 ,国内因素对其短期行为起决定性作用 ,货币供应量的变化对零售物价水平有强烈的影响 。

Since the eruption of East Asian financial crisis in 1997, China has maintained an almost fixed exchange rate. At the same time, China has witnessed a relatively long period of deflation. This paper aims at assessing the impacts of exchange rate on domestic price in China by means of cointegration and Phillips-Hansen two stage procedure, the dynamic effect has been studied by an error correction model. We construct an import-weighed nominal effective exchange rate and analyse its relationship with both retail price index and producer price index. An semi-open economy model is used in this paper, which regards domestic price as a function of both external factor (foreign price) and domestic factor (money supply). The paper shows that in long run, the nominal effective exchange rate is cointegrated with domestic price, foreign price and domestic money supply. The change of exchange rate significantly affects both retail price and producer price, with bigger elasticity on producer price than on retail price. In short run, the exchange rate has different effects on retail price and producer price. The changes of exchange rate and foreign price have very quick and significant effects on producer price.