论国内物价水平与人民币汇率波动

Discussion about the domestic price level and the fluctuation of RMB exchange rate

通过运用VAR模型并利用汇率改革数据,使用格兰杰检验分析了物价水平和人民币汇率变动的联系,并且在此基础上选取了我国当前的进口物价指数、生产物价指数和消费者物价指数,对国内物价进行衡量,综合当前的人民币汇率、石油价格、消费者预期等因素,对我国当前人民币的汇率对物价水平的影响进行了实证分析。结果表明,从短期来看,人民币汇率就我国的PPI而言有巨大的负面影响,同时也对国内进口物价指数有着限制,在大约6个月达到峰值,之后逐渐开始均值复归,并对CPI有少许积极效果;从中长期来看,我国的物价水平和汇率之间有着暂时性偏离,并能随着时间回到均衡状态,存在汇率变动导致物价水平下跌的效果。综合表明,不仅CPI的变动,人民币汇率下滑与SHIBOR的改变都对我国物价水平产生着巨大影响。

By using the VAR model and the reform of the exchange rate data, using the Grainger test to analyze the price level and the RMB exchange rate, and on the basis of selecting the current import price index in China, the producer price index and consumer price index, a measure of domestic prices, comprehensive current RMB exchange rate, the price of oil. Consumer expectations and other factors impact on China＇s current RMB exchange rate on the price level of empirical analysis. The results show that in the short term, the RMB exchange rate on China＇s PPI has great negative influences, but also on the domestic import price index has a limit, and reached the peak at about 6 months later. Gradually began to mean reversion, and have a positive effect on CPI; in the long term, China＇s price level and exchange rate have a temporary deviation, and over time Back to the equilibrium state, there is the effect of exchange rate changes on the price level, which shows that not only the changes of CPI, the RMB exchange rate and the change of SHIBOR have a great impact on the price level of our country.