| 通货膨胀环境视角下的人民币汇率传递——理论模型和实证研究 |
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| 引用本文： | 项后军,王清. 通货膨胀环境视角下的人民币汇率传递——理论模型和实证研究[J]. 财经研究, 2010, 36(11) |
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| 作者姓名： | 项后军 王清 |
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| 作者单位： | 浙江财经学院经济与国际贸易学院,浙江杭州310018;浙江财经学院经济与国际贸易学院,浙江杭州310018 |
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| 基金项目： | 国家自然科学基金项目(70772114); 浙江省科技计划项目(2008C25036) |
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| 摘 要： | 基于汇率传递模型(Shintani等,2009),文章分析了通货膨胀环境因素对汇率传递的影响机制;同时,对上述理论模型加以拓展,证明了在通货膨胀环境影响下,汇率变动对消费者价格传递效应具有非线性平滑变化特征。文章接下来运用非线性平滑转换STR模型实证分析的结果表明:(1)在较低且稳定的通货膨胀环境下,汇率传递效应较低,在较高且不稳定的通货膨胀环境下,汇率传递效应较高;(2)随着通货膨胀环境的变化,汇率传递弹性在-0.136~-0.049之间非线性平滑变化,汇率传递变化幅度较大,因此需重视通货膨胀环境因素对汇率传递的影响。
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| 关 键 词： | 汇率传递 通货膨胀环境 STR模型 非线性 |
RMB Exchange Rate Pass-through from a Perspective of Inflationary Environment:Theoretical Model and Empirical Study |
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| XIANG Hou-jun,WANG Qing. RMB Exchange Rate Pass-through from a Perspective of Inflationary Environment:Theoretical Model and Empirical Study[J]. The Study of Finance and Economics, 2010, 36(11) |
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| Authors: | XIANG Hou-jun WANG Qing |
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| Affiliation: | XIANG Hou-jun,WANG Qing(School of Economics , International Trades,Zhejiang University ofFinance , Economics,Hangzhou 310018,China) |
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| Abstract: | Based on the theoretical model of exchange rate pass-through raised by Shintani et al in 2009,the paper explains the impact of inflationary environment on exchange rate pass-through,develops the model and proves the non-linear and smooth change of the impact of exchange rate pass-through on consumer prices comprehensively.Then,it makes an empirical analysis by using STR model and the results show as follows:firstly,while the inflationary environment is lower and more stable,the exchange rate pass-through is... |
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| Keywords: | exchange rate pass-through inflationary environment STR model nonlinearity |
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