| 国内价格的汇率传递性——基于VAR模型的实证研究 |
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| 引用本文： | 杨雪峰.国内价格的汇率传递性——基于VAR模型的实证研究[J].上海经济研究,2010(10). |
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| 作者姓名： | 杨雪峰 |
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| 作者单位： | 上海社会科学院世界经济研究所; |
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| 摘 要： | 本文利用VAR模型研究了我国国内价格的汇率传递性。VAR模型的脉冲反应函数显示,存在人民币汇率对国内价格的不完全传递性,但是,传递弹性极低,进口价格指数的汇率传递弹性要强于消费价格指数的汇率传递弹性,且进口价格指数向消费价格指数传导逐渐衰减。因此,通过汇率升值来抑制通胀效果并不理想,从紧的货币政策才是医治通胀的良药。
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| 关 键 词： | 人民币汇率 汇率传递性 消费价格指数 进口价格指数 |
Exchange Rate Pass-Through to Domestic Prices:Empirical Study of VAR Model |
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| Yang Xuefeng.Exchange Rate Pass-Through to Domestic Prices:Empirical Study of VAR Model[J].Shanghai Economic Review,2010(10). |
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| Authors: | Yang Xuefeng |
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| Institution: | Yang Xuefeng |
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| Abstract: | This paper research exchange rate pass-through of RMB by means of VAR model.The pulse response function of VAR model indicated that incomplete exchange rate pass-through of RMB is existed,but the elasticity of pass-through is very low.The exchange rate pass-through of import price is stronger than exchange rate pass-through of consumer price.Moreover,pass-through effect from import price to consumer price is gradual decay.Therefore,the attempt of curb inflation by appreciation of exchange rate is unrealisti... |
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| Keywords: | RMB exchange rate exchange rate pass-through consumer price index import price index |
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