人民币汇率对我国价格水平的影响——基于非对称视角的研究.docVIP

PAGE PAGE 22 人民币汇率对我国价格水平的影响——基于非对称视角的研究 摘要：本文运用滚动回归分析方法, 研究自1995 年至2013 年人民币汇率变动对价格水平的影响。主要研究实际有效汇率对我国价格水平的影响作用，根据国家宏观经济的内外均衡来建立价格水平与汇率的理论模型，先是通过实证分析实际有效汇率与我国进口价格指数的影响关系，通过汇率的传导在进一步分析我国实际有效汇率对我国消费者价格指数影响，从这两方面分析出实际有效汇率对我国总体价格水平的影响程度。通过设置虚拟变量、运用门限模型等计量方法从汇率变动方向和汇率变动幅度两个层面考察了人民币汇率传递的非对称性。实证结果表明, 不论采用OLS回归模型还是门限回归模型均得到人民币汇率传递是不完全的结论，且在2008年全球金融危机发生以后，人民币汇率变动对进口价格和国内物价的人民币传递效应呈现下降趋势，对国内物价的人民币传递效应处在较低的水平，在0-0.2范围内变动。并且由门限模型得到的实证结果表明：人民币贬值一个百分比较升值一个百分比对进口价格和国内物价的传递效应大，人民币变动波幅较大时对进口价格的传递效应大于波幅较小时的传递效应，人民币变动波幅较小时对国内物价水平的传递效应大于波幅较大时的传递效应。接着对汇率传递效应减小原因进行了探究。在文章的最后，提出了对本文研究结果的几点启示。 关键词：人民币汇率 汇率传递 滚动 回归 非对称视角 门限模型 The Asymmetric Effect of RMB Exchange Rate on the price level of China Abstract:Using rolling regression analysis method, this paper studies from 1995 to 1995 RMB exchange rate movements affect the price level. Mainly study the effect of real effective exchange rate on Chinas price level, according to the national macroeconomic internal and external equilibrium price level and exchange rate theory model is set up, first through the empirical analysis of the real effective exchange rate and the relationship between the influence of Chinas import price index, through the exchange rate of the conduction in the further analysis of Chinas real effective exchange rate on Chinas consumer price index, from two aspects of the analysis of the real effective exchange rate on the influence degree of the overall price level in our country. By setting the virtual variables, measurement methods, such as using threshold model from two levels and currency exchange rate changes direction variations investigates the asymmetry of the RMB exchange rate transmission. The empirical results show that, regardless of adopts OLS regression model or a threshold regression model averaging RMB exchange rate transmission is incomplete, and after the 2008 global financial crisis, the RMB exchange rate changes on import prices and domestic prices of RMB transfer effect showed a trend of decline,