通货膨胀与汇率相互作用的内在机制——来自中国的实证

发布时间：2018-06-03 23:11

本文选题：通货膨胀 + 汇率　；参考：《管理评论》2013年04期

【摘要】：运用结构突变、线性Granger因果关系及非线性Granger因果关系检验之方法,对我国通货膨胀与名义有效汇率之间的联动关系进行了深入实证检验。实证结果表明:在样本时间段内,通货膨胀与名义有效汇率都发生了结构突变,通货膨胀发生了斜率项突变,汇率发生了截距项突变;通货膨胀与名义有效汇率之间不存在长期均衡关系,但是两者之间存在短期的相互影响;通货膨胀以线性的方式对汇率产生影响,而汇率以非线性的方式对通货膨胀产生影响。从两者关系来看,依靠人民币汇率的升值来抑制当前国内通货膨胀的效果并不显著。实证结论与我国的实际情况是相吻合的。最后,根据研究结果,提出了相应的政策建议。
[Abstract]:By means of structural mutation, linear Granger causality and nonlinear Granger causality test, this paper makes an in-depth empirical study on the linkage between inflation and nominal effective exchange rate in China. The empirical results show that: in the sample period, both inflation and nominal effective exchange rate have a structural change, inflation has a slope term mutation, exchange rate has a intercept term mutation; There is no long-term equilibrium relationship between inflation and nominal effective exchange rate, but there is a short-term interaction between them. Inflation affects the exchange rate in a linear manner, while the exchange rate affects inflation in a non-linear manner. From the point of view of the relationship, the effect of RMB exchange rate appreciation to restrain current domestic inflation is not significant. The empirical conclusion is consistent with the actual situation in China. Finally, according to the research results, the corresponding policy recommendations are put forward.
【作者单位】：南京航空航天大学经济与管理学院;Department
【基金】：广义虚拟经济研究专项项目(GX2010-1003(Z);GX2010-1015(Y)) 国家自然科学基金面上项目(70971064) 江苏高校哲学社会科学重点研究基地重大项目(2010JDXM014;2010JDXM015)
【分类号】：F224;F832.6;F822.5

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