汇率传递与通货膨胀动态的非线性关系研究(1996～2009年)

Testing the Nonlinear Relationship between Exchange Rate Pass-through and Inflation Dynamics: 1996～2009

从非线性视角出发,文章首先采用门限向量自回归模型研究了汇率传递与通货膨胀之间的非线性关系,发现汇率变动对通胀具有显著的"门限效应"。随后,文章利用广义脉冲分析方法分析了汇率与通货膨胀之间的动态关系并发现,在不同通胀环境下汇率变动对通胀产生了非对称性影响,即通胀变化超过门限值时的汇率传递效应大于通胀变化低于门限值时的情形。同时,文章指出,货币冲击与国内需求冲击对CPI的影响也受到通胀环境的影响,并且两类冲击给CPI带来的影响程度明显大于汇率冲击带来的影响。最后,文章从预测方差分解的角度进行分析,得出的主要结论可以从预测意义上支持广义脉冲的分析结果。

From the perspective of nonlinearity,this paper firstly studies the relationship between exchange rate and inflation by the threshold vector auto-regression,and the results show that there is a significant threshold effect in the influence of exchange rate on the inflation rate. And then,this paper uses the general impulse method and finds that exchange rate change makes an impact on inflation asymmetrically in different regimes. Namely,when inflation change exceeds the threshold,the exchange rate passthrough effect is stronger than that below the threshold. In addition,the results also show that both the monetary shock and domestic demand shock will have impact on CPI against the inflation regimes. Finally,by using the forecast variance decomposition method,this paper finds that the results support the main results of the general impulse analysis.