人民币汇率变动对国内物价影响的实证分析

Empirical Analysis on the Effect of RMB Exchange Rate to Domestic Prices

本文基于1996-2007年的月度数据,通过构建国内物价影响因素模型,以单位根检验、回归分析、脉冲响应函数、方差分解等计量方法,分析人民币汇率、货币供应量及国外产品油进口价格对居民消费物价指数、商品零售价格指数、生活资料工业品出厂价格指数的长期与短期影响。研究表明:从长期而言,人民币汇率会导致三个物价指数下降;短期而言,人民币汇率变动对国内物价冲击具有滞后效应。此外,人民币汇率变动对这三大指数均具有较强的传递效应,其中对生活资料工业品价格指数的传递效应最大。

Based on the monthly data from 1996 to 2007,by constructing the effected factor of domestic price model,this paper analyzes the long-term and short-term effects of exchange rate of RMB,amount of the money supply and prices of import refined oil to the CPI,RPI and PPI through a series of methods,such as ADF, regression analysis,IRF and variance decomposition.The research proves that the appreciation of RMB will make the CPI, RPI and PPI downward in the long run.Meanwhile,the fluctuation of exchange rate of RMB in the short term has lag effect on domestic price,and also it has pass-through effects to the CPI,RPI and PPI,especially strongest to the PPI.