人民币汇率、货币政策对区域性通货膨胀的影响研究——基于半参数全局向量自回归模型

发布时间：2018-06-18 21:54

本文选题：汇率 + 货币政策　；参考：《统计与信息论坛》2017年10期

【摘要】：通过构建考虑地区差异以及人民币汇率—通货膨胀非线性关系的半参数全局向量自回归模型(SGVAR),分析对比中国数量型和价格型货币政策的区域效应,以及人民币汇率的省域价格传导效应。结果表明:数量型货币政策并未产生明显的通货膨胀,且区域差异较小,而价格型货币政策正好相反。但在短期内,东部地区对数量型货币政策反应相对灵敏;在通货膨胀的区域传递效应上,中部地区最强,西部次之,东部最弱。相比于货币政策,汇率波动对区域通货膨胀的影响更大,呈非线性关系。同时,汇率的价格传递效应因通胀程度不同存在省域差别。
[Abstract]:By constructing a semi-parametric global vector autoregressive model which takes into account regional differences and the nonlinear relationship between RMB exchange rate and inflation, this paper analyzes and compares the regional effects of quantitative and price-based monetary policies in China. And the provincial price transmission effect of RMB exchange rate. The results show that the quantitative monetary policy does not produce obvious inflation, and the regional difference is small, while the price monetary policy is the opposite. But in the short term, the eastern region is relatively sensitive to the quantitative monetary policy, and in the regional transmission effect of inflation, the central region is the strongest, the west is the second, and the east is the weakest. Compared with monetary policy, exchange rate fluctuations have a more nonlinear effect on regional inflation. At the same time, the price transfer effect of exchange rate varies with the degree of inflation.
【作者单位】：福州大学经济与管理学院;
【基金】：国家自然科学基金项目《半参数全局向量自回归模型的理论研究及其应用》(71571046)
【分类号】：F822.0;F822.5;F832.6

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