数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2010年
7期
105~118
,共null页
人民币汇率 汇率传递非对称滚动回归 门限模型
人民幣彙率 彙率傳遞非對稱滾動迴歸 門限模型
인민폐회솔 회솔전체비대칭곤동회귀 문한모형
RMB Exchange Rate; Exchange Rate Pass- through; Asymme- try; Rolling Regression; Threshold Model
本文运用滚动回归分析方法，考察了自1995年1季度至2008年4季度期间人民币；汇率变动对进口价格传递效应的动态发展趋势。通过设置虚拟变量、运用门限模型等计量方法从汇率变动方向和汇率变动幅度两个层面考察了人民币汇率传递的非对称性。研究表明，人民币汇率变动对进口价格传递效应总体呈现动态下降趋势。人民币汇率变动对进口价格的传递存在非对称性：一方面，人民币贬值对进口价格存在较高的传递效应，而人民币升值对进口价格的传递效应较小；另一方面，人民币汇率波幅越大，对进口价格的传递效应越大。本文在以上研究结论的基础上得到了许多有益启示。
本文運用滾動迴歸分析方法，攷察瞭自1995年1季度至2008年4季度期間人民幣；彙率變動對進口價格傳遞效應的動態髮展趨勢。通過設置虛擬變量、運用門限模型等計量方法從彙率變動方嚮和彙率變動幅度兩箇層麵攷察瞭人民幣彙率傳遞的非對稱性。研究錶明，人民幣彙率變動對進口價格傳遞效應總體呈現動態下降趨勢。人民幣彙率變動對進口價格的傳遞存在非對稱性：一方麵，人民幣貶值對進口價格存在較高的傳遞效應，而人民幣升值對進口價格的傳遞效應較小；另一方麵，人民幣彙率波幅越大，對進口價格的傳遞效應越大。本文在以上研究結論的基礎上得到瞭許多有益啟示。
본문운용곤동회귀분석방법，고찰료자1995년1계도지2008년4계도기간인민폐；회솔변동대진구개격전체효응적동태발전추세。통과설치허의변량、운용문한모형등계량방법종회솔변동방향화회솔변동폭도량개층면고찰료인민폐회솔전체적비대칭성。연구표명，인민폐회솔변동대진구개격전체효응총체정현동태하강추세。인민폐회솔변동대진구개격적전체존재비대칭성：일방면，인민폐폄치대진구개격존재교고적전체효응，이인민폐승치대진구개격적전체효응교소；령일방면，인민폐회솔파폭월대，대진구개격적전체효응월대。본문재이상연구결론적기출상득도료허다유익계시。
This paper explores the dynamic trend on the RMB exchange rate pass - through to import prices from the first quarter in 1995 to the fourth quarter in 2008 by applying rolling regression. Then, the paper explores the asymmetry for RMB exchange rate pass - through from the aspects of the direction of the exchange rate movement and the size of the exchange rate movement by using quantitative methods including dummy variable and threshold model. The conclusions point out that the effect of the RMB exchange rate pass - through to import prices, in gener- al, is on declining trend. Besides, the effect of the RMB exchange rate pass- through to import prices is asymmetric. On one hand, the effect degree of the RMB depreciation pass - through to import prices is higher than RMB appreciation. On the other hand, the larger size is the changes in RMB exchange rate, the greater effect is the pass- through to import prices.
