摘要
本文基于汇率传递的理论模型,运用非线性平滑转换回归模型研究了人民币名义有效汇率变动对我国通货膨胀的影响,并且使用动态非线性Granger因果关系检验确认了两者间的单向因果关系。研究结果表明:人民币名义有效汇率对通货膨胀存在负向影响,但汇率传递系数存在显著的非线性特征,在较高的通货膨胀区间,人民币名义有效汇率传递系数较高;在较低的通货膨胀区间,人民币名义有效汇率传递系数迅速下降。
This paper analyzes the exchange rate pass-through(ERPT) into domestic inflation based on an ERPT theory model.After illustrating the problem by using smooth transition regression method,it tests dynamic nonlinear Granger causality between Renminbi's nominal effective exchange rate and inflation which indicates that the evidence for Renminbi's nominal effective exchange rate Granger-causing inflation is strong.It also finds that the appreciation of Renminbi has a negative effect on inflation but for China ERPT responds nonlinearly to inflation.The results suggest that ERPT coefficient is high in the period of high inflation and the coefficient decreases rapidly in the period of low inflation.
出处
《世界经济研究》
CSSCI
北大核心
2014年第8期28-34,88,共7页
World Economy Studies
