| 汇率、货币政策变动对我国通货膨胀的影响分析——基于协整和状态空间模型的实证研究 |
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| 引用本文： | 蓝乐琴,仇喜雪.汇率、货币政策变动对我国通货膨胀的影响分析——基于协整和状态空间模型的实证研究[J].财经论丛,2009(5). |
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| 作者姓名： | 蓝乐琴 仇喜雪 |
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| 作者单位： | 1. 中央财经大学统计学院,北京,100081
2. 中央财经大学发展和改革研究院,北京,100081 |
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| 基金项目： | 教育部人文社会科学基金资助项目 |
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| 摘 要： | 本文通过协整分析构建状态空间模型,结合中国实际情况实证研究了人民币汇率传递和货币政策变动对以消费者价格指数(CPI)为主要衡量指标的通货膨胀的影响.结果显示,汇率、货币政策变动和CPI之间存在长期协整关系,汇率传递在我国是不完全的,汇率变化对通货膨胀的影响为负向且程度较低,货币政策变动对物价的调控也是低效的.
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| 关 键 词： | 汇率传递 通货膨胀 货币政策变动 状态空间模型 |
Analysis on the Influence of Exchange Rate and Monetary Policy Change on China's Inflation: An Empirical Research Based on the Co-integration and the State Space Model |
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| LAN Yue-qin,QIU Xi-xue.Analysis on the Influence of Exchange Rate and Monetary Policy Change on China's Inflation: An Empirical Research Based on the Co-integration and the State Space Model[J].Collected Essays On Finance and Economics,2009(5). |
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| Authors: | LAN Yue-qin QIU Xi-xue |
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| Institution: | LAN Yue-qin1,QIU Xi-xue2(1.School of Statistics,Central University of Finance , Economics,Beijing 100081,China,2.China Institute of Development , Reform,China) |
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| Abstract: | With co-integration analysis and state space form model,the paper mainly studies the influence of exchange rate pass-though and monetary policy change on China's CPI inflation by empirical method based on China's reality.The conclusion is as follows: there is a co-integration relation among exchange rate,monetary policy change and CPI;incomplete exchange rate pass-through exists in China;exchange rate appreciation is likely to induce downward pressure on domestic CPI inflation,but the effect is relatively w... |
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| Keywords: | exchange rate pass-through inflation monetary policy change state space model |
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