双循环背景下人民币汇率变动的价格传递效应——基于DAG-SVAR模型的分析

Price Pass-through Effects of RMB Exchange Rate Changes in the context of Dual Circulation--An Analysis based on DAG-SVAR Model

在构建双循环发展格局的战略指引和加快建设贸易强国重大战略安排的背景下,伴随着人民币汇率波动性不断增强,研究人民币汇率变动的价格传递效应具有重要意义。有向无环图(DAG)方法与SVAR模型相结合,可将变量间的同期关系纳入模型中并回避SVAR模型约束条件设定中的主观性。实证分析使用2006年1月至2021年12月的月度数据,研究人民币汇率变动对我国进口价格、生产者价格和消费者价格的传递效应。研究结果显示:人民币汇率变动对三种价格的传递效应存在着大小和时间两方面的异质性,人民币汇率变动对进口价格的传递效应最大,对生产者价格和消费者价格的传递效应则依次递减,进口价格最先受到汇率变动的影响,对生产者价格和消费者价格的传递效应具有一定的时滞。

Under the strategic guidance of building a dual cycle development paradigm,under the background of China's insistence on placing equal emphasis on import and export trade and continuously improving the strategic significance of import trade,as well as the increasing volatility of the RMB exchange rate,it is of great significance to study the pass-through effect of RMB exchange rate fluctuations.Combining the directed acyclic graph(DAG)method with the SVAR model can incorporate the contemporaneous relationship between variables into the model and avoid subjectivity in setting constraints in the SVAR model.The empirical analysis uses monthly data from January 2006 to December 2021 to study the pass-through effect of RMB exchange rate changes on import prices,producer prices,and consumer prices of China.The results show that the pass-through effects of the RMB exchange rate changes on the three prices are heterogeneous in size and time.The pass-through effects of changes in the RMB exchange rate on import prices are the largest,while the effects on producer prices and consumer prices are decreasing in turn.Import prices are first affected by changes in the exchange rate,and the pass-through effects on producer prices and consumer prices have a certain time lag.