人民币汇率与我国通货膨胀的传递效应研究——基于结构突变的阈值协整理论分析

Research on the Pass-through Effects of RMB Exchange Rate to Inflation in China:Based on the Views of Threshold Cointegration Theoretical Analysis on Structure Changes

本文基于不完全汇率传递理论,结合当前我国宏观经济运行特点,运用结构突变的协整方法,对人民币汇率与我国通货膨胀水平之间的价格传递效应进行研究。长期来看,人民币汇率变动对物价水平的传递效应在2008年10月和2010年5月出现了两次结构性变化;汇率传递系数的符号也在2008年10月份出现变化,由此前的负向传递突变为正向传递。短期来看,人民币汇率变动对物价水平的传递存在着非对称性的短期动态调整过程,并且表现出典型的"缓升陡降"型周期波动。

This article based on the theory of incomplete exchange rate transmission, combining with the characteristics of the native＇s macroeconomic environments, uses a cointegration test allow for structural changes to investigate the pass-through effect of RMB exchange rate to domestic price. We show that there are two structural changes： October 2008 and May 2010 respectively when RMB exchange rate pass-through to domestic price takes place in China. However, the coefficient sign of the exchange rate also changed after October 2008, it became negative and indicated that trying to rely on the practice of the appreciation of the RMB to control inflation may be backfired. There is a short-term asymmetry dynamic adjustment process, and shows a typical ＂slow up steep fall＂ cycle.