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基于TVAR模型的人民币汇率的价格传递效应 被引量：1

A Study on the Price Pass-through Effect of RMB Exchange Rate:A Positive Analysis Based Threshold Vector Autoregression Model
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摘要 利用门限向量自回归模型对人民币有效汇率的价格传递效应进行了研究,分析了不同的通货膨胀环境对人民币汇率传递效应的影响.以通货膨胀率作为门限值变量,并以0.001 175和0.006 118为门限值进行实证分析.得到汇率传递效应在不同的通货膨胀环境下显著性存在差异,在高通货膨胀下汇率对国内价格的传递效应是显著的,然而在低通货膨胀下是不显著的.考虑了汇率传递对国内价格的非线性性,进而更加准确的验证了通货膨胀与汇率传递的相关性. By means of threshold vector auto-regression model,RMB nominal exchange rate pass-through was studied,and also the exchange rate pass-through under different inflation was analyzed.Inflation rate was treated as the threshold variable,and two monthly rates of 0.1175% and 0.6118% acted as thresholds.The exchange rate pass-through to domestic prices was statistically significant above the threshold level of the inflation rate 0.611 8% and statistically insignificant below it.Considering nonlinearities in the exchange rate pass-through to domestic prices,and thus the correlation between inflation and exchange rate pass-through was verified more accurately.
作者 傅强 孙菲
机构地区 重庆大学经济与工商管理学院 重庆大学数学与统计学院
出处 《经济数学》 2015年第1期37-41,共5页 Journal of Quantitative Economics
关键词 TVAR模型 汇率传递 脉冲响应函数 Threshold Vector Autoregressive Model exchange rate pass-though impulse response function
分类号 F830 [经济管理—金融学]
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参考文献8

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共引文献266

同被引文献11

  • 1E U.Choudhri,D S.Hakura.The exchange rate passthrough to import and export prices:The role of nominal rigidities and currency choice[J].Journal of International Money and Finance,2015,51:1-25.
  • 2R Kilic.Regime-dependent exchange-rate pass-through to import prices[J].International Review of Economics and Finance,2016,41:295-308.
  • 3N B.Cheikh,W.Louhichi.Revisiting the role of inflation environment in exchange rate pass-through:A panel threshold approach[J].Economic Modelling,2016,52:233-238.
  • 4Thi-Ngoc Anh NGUYEN,SATO Kiyotaka.Asymmetric Exchange Rate Pass-Through in Japanese Export:Application of the threshold vector autoregressive model[R].RIETI Discussion Paper series No.15-E-098,2015.
  • 5E.Shioji,T.Uchino.Have the exchange rate and oil price pass-through changed?[R].Bank of Japan Working Paper series No.09-J-8,2009.
  • 6E.Shioji.The Evolution of the Exchange Rate PassThrough in Japan:A Re-evaluation Based on TimeVarying Parameter VARs[J].Public Policy Review,2012,8(1):67-92.
  • 7E.Shioji.A pass-through revival[J].Asian Economic Policy Review,2014(9):120-138.
  • 8F.Rumler.Estimates of the Open Economy New Keynesian Phillips Curve for Euro Area Countries[J].Open Economics Reviews,2007(18):427-451.
  • 9N.Hara,K.Hiraki,Y.Ichise.Changing Exchange Rate Pass-Through in Japan:Dose It Indicate Changing Pricing Behavior?[R].Bank of Japan Working Paper Series No.15-E-4,2015.
  • 10Jouchi Nakajima.Time-varying Parameter VAR Model with Stochastic Volatility:An Overview of Methodology and Empirical Applications[R].IMES Discussion Paper Series No.2011-E-9,2011.

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经济数学
2015年 第1期

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