人民币汇率变动对国内价格水平的传递效应

 本文运用长期约束的结构VAR，试图从一个崭新的视角实证考察人民币名义有效汇率对我国价格水平的传递效应。文章特点在于考虑了汇率和价格可能都是受各种宏观经济因素影响的内生变量，以深入揭示两者之间的内在关系。研究发现，（1）当发生汇率冲击时，人民币名义有效汇率对国内各价格水平的传递是不完全的。汇率变动对进口价格的影响强于对消费者价格的影响；（2）而一旦考虑了经济体受到其它类型的宏观经济冲击后，估计的人民币汇率价格传递率则显得更为明显；（3）汇改后我国汇率传递效应趋于强化。本文还分析了实证结果背后可能的深层次原因，并讨论相应的政策启示。

Pass-Through Effect of RMB Exchange Rate to Domestic Prices: An Empirical Study with SVAR of Long-Term Restrictions

This paper investigates Pass-through of RMB exchange rate to domestic prices from a new perspective by using structural VAR based on Blanchard-Quah Methodology. The characteristic of this paper is that it has considered that exchange rates and prices are endogenous variables which may react to a variety of shocks, which can explore deeply the relationship between exchange rates and prices. The main findings are as follows: Pass-through of nominal effective exchange rate of RMB to Chinese domestic prices is incomplete when the shock of exchange rate occurs. The impact of exchange rate changes on the import price is stronger than that on Consumer price. However, RMB exchange rate Pass-through to domestic prices, which is estimated, appears to be obvious when we consider that the economy experiences other impacts; Pass-through of RMB exchange rate tends to become more full after the reform of exchange rate regime. Meanwhile, we discuss the Deep-seated reasons behind the empirical results. Finally some corresponding policy implications are given basing on the conclusions of this paper.