汇率传递与原油进口价格关系——基于非对称性视角的研究

发布时间：2018-04-15 09:13

本文选题：人民币汇率 + 原油进口价格　；参考：《金融研究》2012年07期

【摘要】：本文在国外理论研究的基础上,深化和拓展了汇率传递效应非对称性理论,分析了1995年1季度至2009年4季度期间人民币汇率变动对原油进口价格的动态影响以及人民币汇率变动对原油进口价格传递效应的非对称性。结论表明,第一,人民币汇率变动对原油进口价格存在较强的传递效应,部分时间存在超传递现象和逆传递现象。第二,汇率变动对原油进口价格的传递效应总体并未出现下降趋势,而呈现时大时小的特征,汇率变动对原油进口价格的传递效应与通货膨胀两者之间存在一定的负向关系,这与以往研究从宏观层面得到的结论截然不同。第三,无论本文单独考察升值和贬值条件下人民币汇率对原油进口价格传递的非对称性,还是加入汇率变动幅度这一约束条件来分析,本文均得到贬值的传递效应大于升值传递效应的结论。同时,汇率波动幅度大于某一特定临界值时,传递效应显著;反之,则不存在传递效应。
[Abstract]:On the basis of foreign theoretical research, this paper deepens and expands the asymmetric theory of exchange rate transfer effect.This paper analyzes the dynamic influence of RMB exchange rate change on crude oil import price from the first quarter of 1995 to the fourth quarter of 2009 and the asymmetry of the transmission effect of RMB exchange rate change on the crude oil import price.The conclusions are as follows: first, the RMB exchange rate has a strong transfer effect on the crude oil import price, part of the time there is the phenomenon of over-transfer and counter-transfer.Second, the transfer effect of exchange rate change on crude oil import price does not show a downward trend, but presents the characteristics of large, small and small. There is a certain negative relationship between the transfer effect of exchange rate change to crude oil import price and inflation.This is completely different from the conclusion of previous studies from the macro level.Third, whether this paper separately examines the asymmetry of RMB exchange rate transmission to the import price of crude oil under the conditions of appreciation and depreciation, or adds the constraint of exchange rate fluctuation.This paper draws the conclusion that the transfer effect of depreciation is greater than that of appreciation.At the same time, when the range of exchange rate fluctuation is larger than a certain critical value, the transfer effect is significant, otherwise, there is no transfer effect.
【作者单位】：浙江工商大学金融学院;四川大学经济学院;西南财经大学中国金融研究中心;
【基金】：教育部人文社科青年基金项目(批准号:11YJC790005) 国家自然科学基金青年项目(批准号:71003085) 浙江省自然科学基金青年科学项目(批准号:LQ12G03012) 浙江省教育厅研究计划项目(批准号:Y201120102) 浙江工商大学金融学研究中心基地项目教育部人文社科重点研究基地浙江工商大学现代商贸研究中心项目的资助
【分类号】：F832.6;F764.1;F752.6

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