汇率变动对浙江省进口价格和省内物价水平的传递效应研究

Exchange Rate Pass-through into Import Prices and Domestic Price level of Zhejiang Province

本文利用2002年1月至2018年12月期间浙江省月度进口数据,自行构建浙江省名义有效汇率以及浙江省进口价格指数,研究了汇率变动对浙江省进口价格和省内物价水平(以浙江省CPI衡量)的传递效应。研究表明:(1)浙江省名义有效汇率对进口价格和CPI的传递都是不完全的,并存在明显的时滞效应;(2)汇率对进口价格的传递存在明显的非对称效应,即汇率贬值对进口价格的传递效应大于升值;(3)汇率对省内物价水平的影响明显比汇率对进口价格的影响要小。

The paper constructs the nominal effective exchange rate and the import price index of Zhejiang Province by using the import data of Zhejiang Province from January 2002 to December 2018. The main results are as follows:(1) the ERPT into import price and cpi in Zhejiang Province is incomplete, and existing time lag effect;(2) there is obvious asymmetric effect on import price transmission by exchange rate depreciation, that is, the transfer effect of exchange rate depreciation on import price is greater than that of appreciation;(3) the influence of exchange rate on price level is obviously smaller than that of exchange rate on import price.