人民币汇率变动的价格传递效应理论与实证分析

Theoretical and Empirical Analysis on the Price Conduction Effects of Fluctuation of RMB Exchange Rate

基于中国的月度数据,运用汇率传递理论、协整理论以及向量自回归模型(VAR模型)分析人民币汇率变动对我国进口价格和消费者价格的传递效应。研究发现,人民币汇率是影响进口价格指数的显著因素,但对消费者价格波动的影响并不明显;外国厂商生产成本提高对我国消费者价格指数的影响要明显大于人民币汇率对消费者价格指数的影响;国内需求和货币供应量波动对消费者价格指数的影响并不显著,消费者价格指数上升更多来自其自身粘性。

The paper, based on the monthly data of China and by using the exchange rate pass-through theory, co-inte- gration analysis and vector autoregressive model, analyzes the impact of exchange-rate changes on import prices and consumer prices. The research discovers： The RMB effective exchange rate is the significant factors affecting the import price index, but the effects on consumer price fluctuation is not obvious, so the price pass-through of exchange rate is not obvious. The impact of increasing cost of foreign manufacturer on China＇s consumer price index is much stronger than that of RMB exchange rate. The changes of domestic demand and currency supply have no significant impacts on consumer price index, and the rising of consumer price index is more from its stickiness.