不同汇率制度下汇率传递时滞的实证分析——基于中国、日本、巴西、阿根廷四国数据

发布时间：2018-04-03 18:44

本文选题：汇率制度　切入点：汇率传递　出处：《经济评论》2011年04期

【摘要】：本文采用向量误差修正模型及脉冲响应函数,选取中国、日本、巴西和阿根廷作为样本,运用1996-2009年的季度数据,分别对四国的汇率传递时滞进行实证分析。研究表明:不同汇率制度下,汇率变动对国内物价水平的影响存在差异,汇率传递均存在时滞。固定汇率制度下,汇率传递效应的时滞更长;在相对浮动的汇率制度下,汇率传递的时滞相对较短。本文样本中,中国的汇率传递时滞最长,为18个月。因此,在人民币汇率制度改革过程中,确定汇率波动区间以及考察汇率政策效果时,需要考虑汇率波动对国内物价影响时滞的长短。同时,受我国外汇市场化程度的影响,货币当局应当合理引导汇率预期,以适应货币政策目标的需要。
[Abstract]:Using vector error correction model and impulse response function, this paper selects China, Japan, Brazil and Argentina as samples, and uses the quarterly data from 1996 to 2009 to make an empirical analysis of the exchange rate transfer delay of the four countries.The results show that there are differences in the influence of exchange rate changes on domestic price level under different exchange rate regimes, and the exchange rate transfer is delayed.Under the fixed exchange rate system, the time lag of exchange rate transfer effect is longer, and in the relative floating exchange rate system, the time lag of exchange rate transmission is relatively short.In the sample, China has the longest time lag of exchange rate transmission, which is 18 months.Therefore, in the course of the reform of RMB exchange rate regime, it is necessary to consider the time lag of the influence of exchange rate fluctuation on domestic prices when determining the range of exchange rate fluctuations and examining the effect of exchange rate policy.At the same time, under the influence of the marketization of foreign exchange in China, the monetary authorities should reasonably guide the expectation of exchange rate to meet the needs of monetary policy objectives.
【作者单位】：武汉大学经济与管理学院;国家开发银行广西分行;
【基金】：教育部人文社科规划项目“汇率波动与通货膨胀对我国汇率传递效应影响的理论与实证研究”(项目编号:10YJA790119)的阶段性成果
【分类号】：F832.6

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