卢布汇率变动对俄罗斯通货膨胀的影响——基于VAR模型的实证分析

The Impact of the Ruble Value on Russia's Inflation: An Empirical Analysis Based on VAR Model

本文回顾了20世纪90年代以来俄罗斯的汇率制度改革历程,利用1995~2016年的月度数据建立了以居民消费价格指数、名义有效汇率、实际有效汇率、利率、工业生产指数为内生变量的VAR模型,并采用格兰杰因果检验、脉冲响应分析、方差分解探究变量之间的动态关系。结果表明,对俄罗斯国内而言,滞后期物价水平变动情况是影响当期物价水平最主要的因素。卢布实际有效汇率产生一个正向冲击后,CPI反向变化,在第四期的响应值较大。实证研究结果对中国汇率制度改革有一定启示,中国应循序渐进地推进人民币汇率制度改革,加强对资本账户的管理,同时加快中国产业结构的优化与升级。

Reviewing the path of Russia’s exchange rate reform since 1990s,this paper explores dynamic relationships between a group of intrinsic variables by establishing VAR model and adopting Granger causality test,impulse response analysis and variance decomposition.The result of the analysis indicates that the change in Russia’s domestic price level over the lagged period is the decisive factor behind current price level.This conclusion suggests that it is advisable for China to steadily expedite its exchange rate reform,tighten regulation of capital account,and boost industrial restructuring and upgrading.