外汇储备、人民币汇率和通货膨胀预期的动态关系研究

Study on the Dynamic Relationship between Foreign Exchange Reserves, RMB Exchange Rate and Inflation Expectations

运用SVAR模型,选取2000—2018年的月度数据,实证检验外汇储备和人民币汇率冲击对中国通货膨胀预期造成的影响。结果表明:外汇储备变动对通货膨胀预期的正向影响较为平缓但有长效作用,而人民币汇率变动对通货膨胀预期的负向影响较为强烈但其长效作用趋于中性;2005年人民币汇率改革之后,外汇储备和人民币汇率对通货膨胀预期波动的解释力度较汇率改革之前均有所提升,这在一定程度上表明了汇率形成机制改革的成效。

Using the SVAR model,this paper selects the monthly data from 2000 to 2018 and empirically examines the impact of foreign exchange reserves and RMB exchange rate shocks on China’s inflation expectations.The results show that the positive effect of the change of foreign exchange reserves on inflation expectation is relatively gentle but has a long-term effect,while the negative effect of RMB exchange rate change on inflation expectation is relatively strong but its long-term effect tends to be neutral;After the RMB exchange rate reform in 2005,the strength of the foreign exchange reserves and the RMB exchange rate’s interpretation of the inflation expectation fluctuations was higher than before the exchange rate reform,which to some extent demonstrated the effectiveness of the exchange rate formation mechanism reform.