人民币汇率对物价的不完全传导

自中国加入世贸组织以来,特别是2005年实行有管理的浮动汇率制度以来,经济开放度迅速增加,汇率对国内物价的影响也逐渐增强,汇率变动日益成为决定我国通货膨胀或通货紧缩的重要因素,因此,研究汇率变动对国内价格变动的传导率有重要意义.运用结构VAR构建理论模型,结合2000至2013年的季度数据进行计量分析,研究发现:汇率变动对进口价格指数、生产者价格指数、消费者价格指数的传导率分别为0.41、0.32、0.11,这意味着人民币升值能够在一定程度上遏制通货膨胀;汇率变动对不同类别的消费者价格指数的传导率显著不同,人民币汇率变动对食品、衣着、居住价格指数的传导率较高,分别为0.15、0.24、0.15;对家庭设备、交通通讯、娱乐文化、医疗健康价格指数的传导率较低,分别为0.03、0.05、0.08、0.10;实体经济和货币政策对国内物价变动的影响要高于汇率变动的影响.

Study on incomplete transmission rate that the RMB exchange rate has on domestic price

Since China's participation into the World Trade Organization (WTO), especially the implement of the managed floating exchange rate system in 2005, China's economy has become more and more open and the impact that the exchange rate has on domestic price has been being strengthened. The variation of exchange rate is becoming a significant factor, determining whether China's economy is in inflation or deflation. Therefore, study on the transmission rate that the exchange rate has on the variation of domestic price is of great meaning. By structural VAR model, with the quantitative analysis on quarterly data from 2000 to 2013, this paper finds the transmission rates that the variation of exchange rate has on import prices index (IPI), producer price index (PPI) and consumer price index (CPI) are around 0.41, 0.32, 0.11 respectively, which means the appreciation of the RMB can contain inflation to some extent. Besides, the variation of exchange rate has different transmission rates on consumer price index of different varieties. Namely, the transmission rates on food, clothing and residential price index are higher, which are 0.15, 0.24, 0.15 respectively; the transmission rates on household equipment, transportation and communication, entertainment and health care price index are lower, which are 0.03, 0.05, 0.08, 0.10 respectively. Moreover, the real economy and monetary policy have stronger impact on the variation of domestic price than the variation of exchange rate.