人民币汇率对CPI传递效应分析——基于均值与波动溢出层面的视角

Analysis on the CPI Transmission Effect of RMB Exchange Rate——from the Perspective of the Mean and Volatility Spillover Level

本文基于二元VAR-GARCH(1,1)-BEKK模型从均值与波动层面实证分析了汇率变动与CPI变动的关联性。研究表明,从均值层面看,汇率变动是CPI变动的Granger原因,CPI变动不是汇率变动的Granger原因;从波动层面看,汇率波动性对CPI波动性存在显著ARCH效应,说明汇率波动水平会显著影响CPI的波动大小,但是CPI波动水平对汇率变动的ARCH效应不显著。汇率变动与CPI变动之间存在显著的"时变性",通胀环境以及我国进口产品结构的变化是"时变性"的主要原因。

This paper empirically analyzes the relationship between exchange rate and inflation changes from the aspect of mean and fluctuation level based on the VAR-GARCH （1,1）-BEKK model. The result shows that the change of exchange rate is Granger cause of inflation while the inflation is not Granger cause for exchange rate fluctuation from the average level. The exchange rate volatility has significant ARCH effect on inflation volatility from the fluctuation point of view. It demon- strates that the magnitude of exchange rate volatility can affect the magnitude of fluctuation price volatility, but the ARCH ef- fect of inflation volatility level on exchange rate changes is not significant. There exists significant ＂time varying＂ relationship between exchange rate and inflation rate. The change of inflation environment and imported products structure are the main