汇率传递与国内物价水平关系研究——基于非对称性视角

Relationship between Exchange Rate Pass-through and Domestic Price Level from Asymmetry Perspective

中文关键词:  人民币汇率  国内物价水平  汇率传递  非对称性

英文关键词:RMB exchange rate  domestic price level  exchange rate pass-through  asymmetry

中文摘要:

      在国外理论研究的基础上,进一步拓展了汇率传递非对称性的理论解释,并对2002年1月—2012年5月期间人民币汇率变动对国内物价水平传递效应的非对称性问题进行了研究。结果表明:人民币汇率变动对国内物价水平的传递效应是不完全的,且传递程度较低；PPI作为国内物价水平的衡量指标时,相较于CPI,传递效应更大。无论是单独考察升值或贬值条件下汇率传递的非对称性问题,还是加入汇率变动幅度这一约束条件,均得到了人民币贬值相较于升值时,汇率传递程度更大的结论；同时汇率变动幅度较大时,汇率传递程度更显著,反之则不存在传递效应。 

英文摘要:

      Based on the theoretical research abroad, this paper further expands the theoretical explanation to the asymmetrical effect of exchange rate pass-through. It explores the asymmetrical effect of RMB exchange rate changes on the domestic price level during the period from January 2002 to May 2012. The following conclusions are drawn. The effect of RMB exchange rate pass-through (ERPT) upon domestic price level is incomplete and low in degree. RMB ERPT effect is more significant upon PPI, the domestic price level index than upon CPI. No matter whether RMB appreciation or depreciation is considered separately or jointly with the constraint condition of exchange rate change, the conclusion on the asymmetry of exchange rate pass-through can be both drawn that the pass-through effect of RMB depreciation is greater than that of RMB appreciation. At the same time, the larger the change in RMB exchange rate, the greater the pass-through effect is. Otherwise, there exists no pass-through effect. 