人民币汇率传递与通货膨胀:理论基础与经验研究

发布时间：2018-06-01 16:28

本文选题：汇率传递 + 通货膨胀　；参考：《财经问题研究》2015年01期

【摘要】：本文以交错定价理论为微观基础,通过平滑转换自回归模型对人民币汇率的物价传递效应进行了经验检验。结果表明:较低的通货膨胀环境对应较低的汇率传递效应,较高的通货膨胀环境对应较高的汇率传递效应。不管是短期汇率传递效应还是长期汇率传递效应均表明,当通货膨胀率较低时,汇率升值可以缓解国内通货膨胀;当通货膨胀率较高时,汇率升值反而会刺激国内物价继续上涨。汇率升值对通货膨胀的顺周期效应表明货币当局在高通货膨胀环境下应谨慎控制汇率波动幅度,以免推动国内物价的进一步上涨。
[Abstract]:Based on staggered pricing theory, this paper empirically tests the price transfer effect of RMB exchange rate by smoothing the autoregressive model. The results show that the lower inflation environment corresponds to the lower exchange rate transfer effect, and the higher inflation environment corresponds to the higher exchange rate transfer effect. Both short-term and long-term exchange rate transfer effects indicate that exchange rate appreciation mitigates domestic inflation when inflation is low, and when inflation is higher, An appreciation of the exchange rate will, on the contrary, stimulate domestic prices to continue to rise. The pro-cyclical effect of exchange rate appreciation on inflation indicates that monetary authorities should carefully control the range of exchange rate fluctuations in the context of high inflation so as not to promote the further rise of domestic prices.
【作者单位】：南京财经大学金融学院;南京财经大学金融研究中心;
【基金】：国家社会科学基金重大项目“基于物价调控的我国最优财政货币政策体制研究”(12&ZD064);国家社会科学基金重大项目“‘稳增长、调结构、防通胀’三重目标下我国货币政策优化与预期管理研究”(11&ZD011);国家社会科学基金项目“公众学习、通胀预期形成与最优货币政策研究”(11BJY145) 教育部“新世纪优秀人才支持计划”(NCET) 江苏高校优势学科建设工程(PAPD)
【分类号】：F822.5;F832.6

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