CAJ | 학술논문

本文基于1999年1月至2009年10月的月度数据,使用协整与误差修正模型,对人民币汇率对国内物价的传递效应进行了实证分析。同时,建立了2005年7月汇率改革前后的两个子样本,比较分析了汇率改革前后的长期汇率传递效应。研究结论表明,在整个样本期间内,人民币汇率对国内物价的传递效应较低,当人民币名义有效汇率变动一个百分点时,国内物价指数仅变动0.405410个百分点。但2005年7月汇率改革后,汇率传递系数有了明显的上升。
본문기우1999년1월지2009년10월적월도수거,사용협정여오차수정모형,대인민폐회솔대국내물개적전체효응진행료실증분석。동시,건립료2005년7월회솔개혁전후적량개자양본,비교분석료회솔개혁전후적장기회솔전체효응。연구결론표명,재정개양본기간내,인민폐회솔대국내물개적전체효응교저,당인민폐명의유효회솔변동일개백분점시,국내물개지수부변동0.405410개백분점。단2005년7월회솔개혁후,회솔전체계수유료명현적상승。
This paper empirically analyzes RMB exchange rate pass-through effect on domestic prices by employing Johansen-Juselius cointegration test and error correction model on monthly data from January 1999 to October 2009.Furthermore,in order to analyze the long-term exchange rate pass-through effect before and after the RMB exchange rate reform comparatively,we establish two sub-samples,which are divided by the time July 2005 when the RMB exchange rate reform occurred.The conclusion is that,in the entire sample period,the RMB exchange rate pass-through effect on domestic prices is low,while RMB NEER changes by one percent,the domestic price index only changes by 0.405410 percent.However,after the exchange rate reform in July 2005,the exchange rate passthrough effect increases markedly.