汇率传递的直接效应与间接效应研究——基于中国数据的实证分析

The Direct Effect and Indirect Effect Of Exchange Rate Pass-Through——An Empirical Analysis Base On Chinese Data

文章基于2002年1月至2009年12月我国的月度数据,利用协整、向量误差修正模型、向量自回归模型、脉冲响应、方差分解等计量方法对汇率传递的直接效应和间接效应进行了实证分析,结果表明:汇率传递是不完全的,进口价格水平、工业品出厂价格水平、消费者物价水平的汇率传递系数随价格链汇率传递效应递减,分别为51.261%、6.282%和1.607%。对IPI、PPI、CPI影响最大的因素分别是进口产品的生产成本、原油价格和国内需求冲击,汇率变动对国内物价水平(PPI、CPI)影响很小。基于实证分析结果,在文章结尾部分从货币政策、汇率政策、能源政策、产业政策等方面根据我国现阶段的基本情况提出政策建议。

This artical used the monthly data from January 2002 to December 2009,applied the empirical methodology(including cointegration,vector error correction model,vector regression model,impulse response and variance decomposition)to analyze the direct and indirect effect of exchange rate Pass-Through.The conclusions were as following:The exchange rate Pass-Through was not complete,the exchange rate transfer coefficients of import price level、PPI and CPI were decreased as the exchange rate Pass-Through effect of price chain reduced.The coefficients were 51.261% 、6.282% and 1.607% respectively.The production cost of imports、crude oil price and domestic demand shocks had the biggest influence on IPI、PPI、CPI.The variation of exchange rate had very little influence on PPI and CPI.Based on the empirical analysis results,according to our country’s current basic situation,this paper puts forward some suggestions from the aspects of monetary policy,exchange rate policy,energy policy and industrial policy.