| 基于不同样本区间的人民币汇率变动对国内物价传递效应实证分析 |
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| 引用本文： | 王纬鹏.基于不同样本区间的人民币汇率变动对国内物价传递效应实证分析[J].福建金融管理干部学院学报,2013(1):10-16. |
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| 作者姓名： | 王纬鹏 |
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| 作者单位： | 中国人民银行泉州市中心支行调查统计科,福建泉州,362000 |
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| 摘 要： | 以2000年1月至2012年10月份的月度数据为分析样本，通过对前任经验的总结，并分析汇率波动对国内物价的传递效应，就可以运用VAR计量模型分别利用全样本数据、子样本数据分析汇率波动对国内物价的影响。实证结果表明，汇率体制改革之后，人民币汇率对国内物价的传递效应明显增强，人民币升值能在一定程度上缓解国内通胀压力，但传递效应是不完全的且存在时滞性。
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| 关 键 词： | 人民币汇率变动 国内物价 向量自回归模型 |
Pass-through effect on domestic prices Empirical Analysis of the RMB exchange rate changes based on different sample interval |
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| Wang Wei-peng.Pass-through effect on domestic prices Empirical Analysis of the RMB exchange rate changes based on different sample interval[J].Journal of Fujian Institute of Financial Administrators,2013(1):10-16. |
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| Authors: | Wang Wei-peng |
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| Institution: | Wang Wei-peng |
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| Abstract: | monthly data from January 2000 to October 2012, for the analysis of samples by former experience summary and analysis of the pass-through effect of exchange rate fluctuations on domestic prices, you can use the VAR econometric model using full sample data sub-sample data to analyze the impact of exchange rate fluctuations on domestic prices. The empirical results show that, after the exchange rate reform, the RMB exchange rate pass-through effect on domestic prices significantly enhanced appreciation of the renminbi can to some extent alleviate domestic inflationary pressures, but the pass-through effect is incomplete and there is a time lag. |
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| Keywords: | RMB exchange rate changes domestic prices vector auto regression model |
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