财经论丛
財經論叢
재경론총
Collected Essays On Finance and Economics
2009年
5期
54~59
,共null页
汇率传递 通货膨胀 货币政策变动 状态空间模型
彙率傳遞 通貨膨脹 貨幣政策變動 狀態空間模型
회솔전체 통화팽창 화폐정책변동 상태공간모형
exchange rate pass-through; inflation; monetary policy change; state space model
本文通过协整分析构建状态空间模型，结合中国实际情况实证研究了人民币汇率传递和货币政策变动对以消费者价格指数（CPI）为主要衡量指标的通货膨胀的影响。结果显示，汇率、货币政策变动和CPI之间存在长期协整关系，汇率传递在我国是不完全的。汇率变化对通货膨胀的影响为负向且程度较低，货币政策变动对物价的调控也是低效的。
本文通過協整分析構建狀態空間模型，結閤中國實際情況實證研究瞭人民幣彙率傳遞和貨幣政策變動對以消費者價格指數（CPI）為主要衡量指標的通貨膨脹的影響。結果顯示，彙率、貨幣政策變動和CPI之間存在長期協整關繫，彙率傳遞在我國是不完全的。彙率變化對通貨膨脹的影響為負嚮且程度較低，貨幣政策變動對物價的調控也是低效的。
본문통과협정분석구건상태공간모형，결합중국실제정황실증연구료인민폐회솔전체화화폐정책변동대이소비자개격지수（CPI）위주요형량지표적통화팽창적영향。결과현시，회솔、화폐정책변동화CPI지간존재장기협정관계，회솔전체재아국시불완전적。회솔변화대통화팽창적영향위부향차정도교저，화폐정책변동대물개적조공야시저효적。
With co-integration analysis and state space form model, the paper mainly studies the influence of exchange rate pass-though and monetary policy change on China＇s CPI inflation by empirical method based on China＇s reality. The conclusion is as follows： there is a co-integration relation among exchange rate, monetary policy change and CPI; incomplete exchange rate passthrough exists in China; exchange rate appreciation is likely to induce downward pressure on domestic CPI inflation, but the effect is relatively weak; monetary policy change is inefficient in regulating prices.
