人民币汇率对国内物价传递效应的实证分析

本文基于1999年1月至2009年10月的月度数据,使用协整与误差修正模型,对人民币汇率对国内物价的传递效应进行了实证分析。同时,建立了2005年7月汇率改革前后的两个子样本,比较分析了汇率改革前后的长期汇率传递效应。研究结论表明,在整个样本期间内,人民币汇率对国内物价的传递效应较低,当人民币名义有效汇率变动一个百分点时,国内物价指数仅变动0.405410个百分点。但2005年7月汇率改革后,汇率传递系数有了明显的上升。

The Empirical Analysis of RMB Exchange Rate Pass-through Effect on Domestic Prices

This paper empirically analyzes RMB exchange rate pass-through effect on domestic prices by employing Johansen-Juselius cointegration test and error correction model on monthly data from January 1999 to October 2009.Furthermore,in order to analyze the long-term exchange rate pass-through effect before and after the RMB exchange rate reform comparatively,we establish two sub-samples,which are divided by the time July 2005 when the RMB exchange rate reform occurred.The conclusion is that,in the entire sample ...