摘要
利用自回归分布滞后(ARDL)模型,研究了人民币名义有效汇率的价格传递效应。实证研究结果表明,人民币汇率波动对我国物价水平的传递是不完全的,而且传递效应较小;人民币汇率波动对国内物价的传递效应存在差异,无论是从短期还是从长期来看,人民币汇率变动对PPI的传递效应都要大于对CPI的传递效应;人民币汇率波动对我国物价水平的传递存在滞后性,汇率波动对CPI的传递效应在8个月后接近于零,而对PPI传递效应的滞后期相对较长。这些实证研究结论对于我国的汇率政策制定和宏观经济调控具有重要的启示意义。
In this paper, the authors use Autoregressive Distributed Lag（ ARDL） approach to examine the extent to which changes in exchange rates result in changes in Chinese domestic price level. The results of the empirical analysis indicate that exchange rate transmission effect to Chinese domestic price is incomplete and small in magnitude. Tnere are different effects on different kinds of price index. Specifically, the change in RMB exchange rate has more significant effect on PPI than CPI both in the longrun or the short- run. In addition, the exchange rate transmission to Chinese domestic price level is time - lagged, the transmission coefficient to the CPI almost is near to 0 after 8 months. In contrast, the time- lagged effect on the PPI is relatively longer. The above empirical results have important implications for Chinese exchange rate policy and macro- economic control.
出处
《山西财经大学学报》
CSSCI
北大核心
2009年第2期40-46,共7页
Journal of Shanxi University of Finance and Economics
基金
国家社会科学基金资助项目"新形势下防范金融风险研究"(项目批准号:08BJY155)
关键词
名义有效汇率
汇率传递效应
自回归分布滞后模型
消费者价格指数
生产者价格指数
Nominal Effective Exchange Rate
Exchange Rate Transmission Effect
Autoregressive Distributed Lag（ARDL）Approach
Consumer Price lndex（CPI）
Producer Price Index（PPI）
