人民币汇率波动对中国物价水平的影响——汇率制度变迁视角

Impact of RMB Exchange Rate Fluctuations on the Price Level:Perspective of Exchange Rate Regime Transition

利用1996—2012年月度数据,实证研究人民币汇率波动对中国物价水平的传递效应,结果表明:人民币汇率同国内物价水平之间存在长期协整关系,汇率波动对物价水平的影响较弱;误差修正模型分析显示,汇率波动对国内物价水平具有较好的自我修正机制。引入汇率制度变迁因素,可以发现:汇率制度变更后,汇率波动对物价水平的影响会发生变化,甚至系数符号会发生逆转;即便汇率制度相同下,不同时间段的汇率波动对物价水平的影响也具有差异性;无论汇率制度有无变迁,汇率波动对物价指数cpi、ppi、rpi的传递效应都具有差异性。

Using monthly data of 1996 -2012, this paper empirically researches into the transmission effect of RMB exchange rate fluctuations on domestic price level. The results show that there exists co - integration relationship between RMB exchange rate and the domestic price level, and effect of exchange rate fluctuations on the price level is weak. The error correction model analysis suggests that exchange rate fluctuations with self correcting mechanism better on the domestic price level. The introduction of exchange rate regime transition shows that： After the change of exchange rate system, effect of exchange rate volatility on the price level will change, and even sign of coefficients can be reversed; Even before and after the time in- terval, the exchange rate system changes back to the same, but the impact of exchange rate fluctuations on the price level still has difference; Whether there is exchange rate regime transition, the effect of exchange rate fluctuations on the price index CPI PPI RPI has difference.