汇率变动、货币政策与通货膨胀

发布时间：2018-07-24 16:00

【摘要】：本文运用内生结构突变检验与考虑结构突变的ARDL-ECM方法,同时将货币政策变量纳入模型中从而把汇率变动、货币政策与通货膨胀联系起来重新对汇率传递问题进行了研究,发现人民币名义有效汇率分别在2003年4月和2005年9月发生了结构突变。在此背景下,本文发现汇率传递效应仍是不完全的,但其长期传递弹性却由2005年9月结构突变前的0.065迅速增大到了结构突变后的0.118,且与现实中自2006年开始的较高通货膨胀环境也相当吻合,支持了Taylor(2000)提出的观点,但比起施建淮等(2008)得到的传递效应依然较弱,表明其所建议的可以通过人民币升值有效抑制通货膨胀的观点仍值得商榷。而体现货币政策的货币供应量增长率对CPI的长期传递弹性为2.254,远远高于汇率传递弹性,这显示政策当局完全可以运用独立的货币政策来稳定通货膨胀水平且相比于通过人民币升值的汇率政策来抑制通货膨胀具有更好的效果。
[Abstract]:In this paper, we use the test of endogenous structural mutation and the ARDL-ECM method to consider the structural mutation. At the same time, we bring the monetary policy variables into the model so that the exchange rate changes, monetary policy and inflation are linked together to re-study the exchange rate transmission problem. It is found that the nominal effective exchange rate of RMB changed in April 2003 and September 2005 respectively. In this context, we find that the exchange rate transfer effect is still incomplete. However, the long-term transfer elasticity increased rapidly from 0.065 before the structural change in September 2005 to 0.118 after the structural change, which is quite consistent with the higher inflation environment that began in 2006, which supports the viewpoint put forward by Taylor (2000). However, the transmission effect is still weaker than that of Shi Jianhuai et al. (2008), indicating that his suggestion that inflation can be effectively curbed by RMB appreciation is still open to question. The long-term transfer elasticity of the growth rate of money supply to CPI is 2.254, which is much higher than that of exchange rate. This shows that policy authorities can use independent monetary policy to stabilize inflation and have a better effect than the exchange rate policy of RMB appreciation.
【作者单位】：浙江财经学院经济与国际贸易学院;浙江金融职业学院金融系;
【基金】：国家自然科学基金项目(编号:70772114) 浙江省科技计划项目(编号:2008C25036) 浙江财经学院数量经济学重点建设学科的资助
【分类号】：F224;F830.7;F820

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