通胀水平和汇率波动对汇率传递影响的实证研究

An Empirical Study on the Effect of Inflation and Exchange Rate Fluctuations on the Exchange Rate Pass-through

汇率传递效应在不同国家呈现出不同的效果和结论,而通胀水平和汇率波动程度也在一定程度上影响着汇率传递效应的发挥。文中根据不同的汇率波动幅度和不同的通胀水平将全样本分别分为两个子样本,建立VAR模型,利用累计脉冲响应函数来计算相应的汇率传递率并进行比较分析。结果表明,高通胀环境以及扩大的汇率波动程度都可以提高汇率传递率,使得在此情况下利用汇率政策来有效治理国内通胀成为可能。

Exchange rate pass-through effect shows different results and conclusions in different countries, and the level of inflation and exchange rate fluctuations affect the exchange rate pass-through effect. The samples divided into two sub samples according to the exchange rate fluctuations and inflation, we establish VAR model and use cumulative impulse response function to calculate the exchange rate pass-through. The results show higher inflation and larger exchange rate volatility can improve the exchange rate pass-through, which makes it possible that in this case the exchange rate policy is used to control domestic inflation.