人民币汇率、货币供给与物价水平非线性关系研究

Study on the Nonlinear Relationship between RMB Exchange Rate,Money Supply and Price Level

人民币汇率影响货币政策实施和物价水平稳定,并与经济运行密切相关。本文使用2005年8月至2018年7月的月度数据,采用MSH(2)-VAR(2)模型和脉冲响应分析,研究不同区制下人民币汇率、货币供给与物价水平之间的非线性动态关系。模型结果表明:三者之间表现出两区制特征,不同区制下变量间具有不同的动态关系。脉冲结果显示:长期来看,人民币升值将使物价水平下跌,货币供给增加导致物价水平上涨,汇率变动会引起货币供给变动,区制2中的响应程度要大于区制1,同时发现不同地区的价格水平受到的冲击是非对称的。

The RMB exchange rate affects the implementation of monetary policy and the stability of price level, and is closely related to the economic operation. Using monthly data from August 2005 to July 2018, this paper use MSH(2)-VAR(2) model and pulse response analysis to study the nonlinear dynamic relationship between RMB exchange rate,money supply and price level under different regimes. The results of the model show that the three variables show the characteristics of two regimes, and the variables have different dynamic relations under different regimes. The impulse results show that in the long run, the appreciation of RMB will cause the price level to fall, the increase of money supply will cause the price level to rise, and the exchange rate change will cause the change of money supply. The response degree in regime 2 is greater than that in regime 1. Meanwhile, it is found that the price level in different regimes is affected asymmetrically.