人民币实际有效汇率变动对物价传递效应的统计考察

A Statistical Investigation of Effect of RMB Change in Real Effective Exchange Rate on Price Pass-through

文章基于开放经济菲利普斯曲线,研究了人民币实际有效汇率变动的物价传递效应,并利用滚动回归估计方法进一步对汇率传递趋势进行了考察。结果表明,汇率变动对物价的传递并不完全,而且不同于以往将汇率传递趋势归因于通货膨胀环境的改变。消费篮子中进口品比重与汇率传递趋势之间的关系更为密切,即相比于通货膨胀环境,汇率传递效应受我国贸易依存度的影响更大。

Based on open economy Phillips curve, this paper studies the price pass-through effect of RMB real effective exchange rate movement, and utilizes rolling regression estimation method to further investigate exchange rate pass-through trend.The results show that the effect of exchange rate fluctuation on price transmission is incomplete, unlike the past where the trend of exchange rate pass-through is attributed to the change of inflation environment; the proportion of imports in the consumption basket is more closely related to the trend of exchange rate transmission, which means compared to the inflationary environment, the exchange rate pass-through effect is more influenced by China＇s trade dependence.