日本双量宽货币政策背景下汇率对国内价格的不完全传递分析

An Analysis of Incomplete Exchange Rate Pass-Through to Price at Home under Japan's Qualitative and Quantitative Easing Monetary Policy

本文以开放经济理论分析框架,采用随机波动时变参数向量自回归(SV-TVP-VAR)模型和1994年1月至2015年11月的相关数据实证研究。结果表明:因存在汇率与国内价格不完全传递效应,诱导日元汇率贬值并通过日元贬值推动国内物价上涨的政策作用有限,日元汇率贬值难以实现国内2%的通胀目标;日元贬值短期内仅对运输通信业的通胀率表现出正常的汇率传递性,即日元汇率贬值导致运输通信价格水平一定程度的上升,但长期内价格上涨的传递效应会逐步弱化和消失,而日元贬值对文化娱乐价格、食品价格和住房价格的传递不仅没能刺激国内价格上涨,反而在一定程度上引起通货紧缩。

By the analytical framework of open economy theory,the paper applies Time-Varying Parameter VAR Model with Stochastic Volatility（ SV-TVP-VAR model） to empirically study Japan＇ s monthly data from January 1994 to November 2015. Results show that the policy to induce the yen exchange rate to depreciate and to improve the domestic price by the devaluation is limited,so that the 2% inflation target is hard to come true because of the exchange rate incomplete transmission effect on price at home; pass-through direct from Yen exchange rate appreciation to transport and communications price is reasonable,but the impact will gradually decrease over time; otherwise,the pass-through direct to cultural and recreation price,food price and house price exists inversion.