人民币汇率传递效应研究

The Exchange Rate Pass-Through in China

本文采用2阶段的计量方式,对1997~2016年人民币名义有效汇率对国内进口品价格和居民消费价格的传递效应进行了实证检验,重点分析了汇率传递效应随时间的变化和经济周期中汇率传递性的非对称性问题。实证结果表明:近期汇率对除原油外进口品价格的传递效应为75%,接近完全传递;进口品价格对消费价格的传递效应为15%;汇率对消费价格的传递效应为5%,传递程度较低;且汇率变化率对进口品价格变化率的传递效应有4个月左右的滞后期。同时,全球经济周期中的汇率传递效应存在显著非对称性,经济下行期的汇率传递系数明显大于经济上行期的汇率传递系数。

This paper adopts two-stage quantitive methods to analysis the exchange rate pass-through（ ERPT） from exchange rate to domestic import prices and consumer price for China from 1997 to 2016. We focus on analyzing the change of the ERPT over time and the asymmetric behavior of the ERPT over the business cycle. The empirical results indicate that the ERPT from exchange rate to import prices that exclude oil price is about 75% in recent years,which is almost complete. But the ERPT from import prices to consumer price is about 15% and incomplete. The ERPT from exchange rate to consumer price is about 5% and also incomplete. The change of ERPT from exchange rate to import prices lags for 4 months. Meanwhile,the ERPT has a significant asymmetric behavior over the global business cycle.The ERPT over the downturns is larger than the ERPT over the upturns.