汇率传递非对称性及其传递系数动态特征解释——基于非线性视角分析

The Asymmetry of Exchange RatePass-through and its Dynamic Characteristics of the Transmission Coefficient:An Analysis Based on Nonlinear Perspective

本文使用1996年到2019年季度数据,考察汇率自身不同方向变动所引起的的汇率传递非线性问题。实证发现人民币汇率变动存在显著的非对称性传递现象,具体而言,人民币贬值的传递作用显著大于人民币升值的传递作用,即使在2005年汇改之后也没有改变这一关系。本文进一步还从汇率传递正负非对称性角度分析了汇率传递系数的动态变化趋势,并提出了相关的解释。最后分析了升值和贬值各自传递效应的动态变化趋势,并从当期汇率变动持续性的预期角度做了解释。

This paper uses the quarterly data from 1996 to 2019 to examine the nonlinearity of exchange rate pass-through caused by changes in the exchange rate in different directions. The empirical study shows that there is a significant asymmetric transfer of RMB exchange rate changes. Specifically, the transfer of RMB depreciation is significantly greater than the transfer of RMB appreciation, even after the 2005 exchange rate reform. This paper further analyzes the dynamic trend of exchange rate pass-through coefficient from the perspective of positive and negative asymmetry of exchange rate pass-through, and proposes relevant explanations. Finally, the dynamic trends of the respective pass-through effects of appreciation and depreciation are analyzed, and the explanation is given from the perspective of the expectation of the current exchange rate change.