汇率波动影响物价稳定性的传导机制与效应——基于动态随机一般均衡的视角

Study on the Transmission Mechanism and Effects of Exchange Rate Fluctuations Impacting Price Stability——Based on the Angle of Dynamic Stochastic General Equilibrium

通过理论上分析人民币汇率波动对物价的影响路径,构建了一个符合中国国情的小型开放的DSGE模型。基于2007年第1季度至2020年第4季度的相关数据,使用贝叶斯方法对模型相关参数进行估计,定量分析了汇率冲击对物价的传导和作用机制,并利用路径分析法的思想量化考察了路径中各经济变量的反应,通过脉冲响应模拟了汇率波动对物价影响的方向。结果发现,汇率波动对物价的影响是反向的,汇率波动所引起的进口原材料价格变动是物价波动的主要因素。

Based on the theoretical analysis of the influencing path of RMB exchange rate fluctuations on prices, the paper constructed a small and open DSGE model in line with China’s national conditions. Combined with the relevant data from the first quarter of 2007 to the fourth quarter of 2020, the paper applied Bayesian method to estimate the relevant parameters of the model, and quantitatively analyzed the transmission and action mechanisms of exchange rate fluctuations on prices. Meanwhile, we used the idea of path analysis to quantitatively investigate the response of economic variables in the path, and then simulated the direction of the impact of exchange rate fluctuations on prices through impulse response. The results showed that, exchange rate fluctuations had a reversed impact on prices. Besides, the price fluctuation of imported raw materials caused by exchange rate fluctuation was the main factor of price fluctuation.