人民币汇率传递、消费物价变动与经济增长——基于门限自回归模型的经验证据

RMB Exchange Rate Transmission, Price Change and Economic Growth:Basased on Autoregression Model

汇率传递的实质即汇率波动时的商品价格变动,对居民消费决策和总体物价水平有着重要影响,而这一作用机制又可能受到宏观经济环境的影响。本文结合1996年1月至2014年12月的月度数据,基于门限向量自回归模型,以居民消费价格指数等为衡量变量,实证性地探讨了不同经济增长状态下,汇率变动对消费物价变动的影响及其作用机制。实证研究发现,不同增长情景下汇率变动对消费物价变动的影响呈非线性形态:在高经济增长状态中变弱,而在低经济增长状态中则增强。此外,研究还发现经济增长状态在一定程度上也可以解释汇率变动对消费物价变动的动态影响。

The essence of the exchange rate transmission that is the changes of the commodity price wnet, exchange rate fluctuates has important influence on the consumer decision making and the overall price level, and the mechanism of this action can often be affected by macroeconomic environment. Based on the monthly data from January 1996 to December 2014 and applying a threshold auto regression model, with the consumer price index as the measuring variables, this paper empirically discussed the impact of exchange rate changes on domestic consumer price and its action mechanism under different growth patterns. We found that under different growth scenarios the influence of exchange rate fluctuation on consumer price changes presents a nonlinear pattern; the exchange rate pass-through effect fades in the high economic growth situation, while in the low economic growth situation it increases; and economic growth is also a factor of the dynamic changes of exchange rate pass-through effect.