人民币汇率波动与我国通胀、产出波动：一个扩展泰勒曲线的研究

发挥市场供求对汇率的调节作用,增强人民币汇率双向浮动弹性,是当前我国汇率体制改革的主要方向。本文在泰勒曲线的框架下考察人民币汇率波动对我国宏观经济波动和货币政策实施的影响。通过实证研究发现,1994—2006年通货膨胀波动对人民币汇率波动是不敏感的,人民币汇率传递效应不显著,人民币汇率波动对宏观经济波动没有显著的影响;2007年以后人民币汇率波动推动泰勒曲线向内移动,因此更大的人民币汇率弹性对货币政策传导和货币政策有效性是有利的,逐步扩大的人民币汇率弹性区间对我国宏观经济运行是适宜和可接受的。另外人民币汇率波动也使得泰勒曲线更加陡峭,稳定通货膨胀所导致的产出缺口波动减小了,因而更有利于货币政策当局追求一个低而稳定的通胀目标。

CNY Exchange Rate Volatility,Inflation Volatility and Chinese Output Volatility:An Augmented Taylor Curve Method

Exerting market demand-supply’s effect on exchange rate adjustment and strengthening exchange rate regime flexibility is the main reform direction of China’s central bank. This paper investigates the effect of CNY exchange rate volatility on Chinese macroeconomic function under the framework of Taylor curve. Our conclusions are, firstly in 1994-2006 inflation volatility was insensitive to CNY exchange rate volatility, CNY exchange rate passthrough is not significant and exchange rate volatility had no strong effect on macroeconomic stability;secondly,after 2007 CNY exchange rate volatility push Taylor curve inward,which means bigger exchange rate elasticity is beneficial for monetary policy effectiveness. Additionally CNY exchange rate volatility have made Taylor curve steeper,which is favorable for the central bank to pursue lower and more stable inflation target.