人民币汇率的价格传递效应研究

本文通过建立SVAR（Structure Vector Auto Regression）模型，实证研究了人民币名义有效汇率对国内进口价格、生产者价格和消费者价格的传递效应并分析了全球金融危机的爆发对汇率价格传递效应的影响。结果显示：①人民币名义有效汇率对三类价格的传递是不完全的且存在一定的时滞，在长期内，1个百分点的正...

A Study on the Price Pass-through Effect of RMB Exchange Rate

This paper investigates the exchange rate pass-through to import price and domestic price by establishing a SVAR(Structure Vector Auto Regression) model.The result shows that:①The pass-through of RMB nominal exchange rate into the three price is incomplete and exists some time lag,in the long term,while the changes in exchange rate rise 1%,the changes in import price, producer price and consumer price will decline 0.55%,0.06%and 0.09%.②The explanatory power of exchange rate shocks on the changes of import price,producer price and consumer price shows a decreasing trend along the distribution chain of goods, and in the long term,the extend of explaining maintain the level of 18.5%,11%and 10%.③The global financial crisis has little impact on the overall trend of exchange rate pass-through,but the size of price transmission rate has been great influenced, especially the size of exchange rate pass-through to import price.