摘要
在充分考虑结构变化现象的情况下,本文首先利用结构变化协整分析了我国1994年1月至2008年12月间人民币汇率变动对物价水平的传递,而后运用递归估计的方法进一步考察了汇率传递的动态运行,最后采用边限协整研究了包括汇率制度在内的人民币汇率传递的宏观决定。实证结果表明:人民币汇率对物价水平的传递在1998年8月发生了结构变化。在此之前,传递程度较高且显著;结构变化之后,传递程度急速下降。从物价传递的动态运行来看,在1998年8月以前,基本呈上升趋势,之后则不断下降,并有进一步下降趋势。宏观决定因素分析表明,长期内,通货膨胀率、贸易开放度、汇率制度及亚洲金融危机对物价传递具有显著正影响,而汇率波动的作用显著为负;短期内,人民币汇率传递具有一定的惯性,只有贸易开放度具有明显正影响。
This paper examines the RMB exchange rate pass-through effect under structure change in China. First of all,this paper utilizes structural break cointegration analysis to investigate the RMB exchange rate pass-through effect into price level based on the data from 1994 to 2008. Secondly,this paper uncovers the dynamic movement of the pass-through effect by utilizing recursive estimation approach. Finally,this paper reveals the macroeconomic determinants including the exchange rate regimes by utilizing bounds cointegration approach. The empirical results show that RMB exchange rate pass- through effect into price level in China had a structural break in August 1998. Before August 1998,the pass-through effect was high and obvious,but declined rapidly after structural change. Through dynamic movement analysis,RMB exchange rate pass-through effect showed an upward trend before August 1998,but showed a downward trend thereafter,and is showing a further declining trend in the future. The analysis of macroeconomic determinants shows that,in the long run, inflation rate,trade openness,exchange rate regime and Asian financial crisis have significantly positive effects on the RMB exchange rate pass-through,while the effect of exchange rate volatility is significantly negative; In the short run,the RMB exchange rate pass-through into price level has certain inertia,and only trade openness has significant positive effect on it.
出处
《统计研究》
CSSCI
北大核心
2010年第4期9-18,共10页
Statistical Research
基金
国家自然科学基金项目(70673116)
北京大学汇丰金融研究院2009年课题
中山大学“985工程”产业与区域发展研究创新基地
教育部人文社会科学重点研究基地重大项目(05JJD790075)
国家社科基金重点课题(08ATL007)
广东省自然科学基金
国家社科基金青年项目(09CJY083)
广东省普通高校人文社会科学重点研究基地经费资助成果之一
关键词
人民币汇率
物价水平
传递
递归估计
边限协整
RMB exchange rate
Price level
Pass-through
Recursive estimation
Bounds cointegration
