CAJ | 학술논문

本文采用向量误差修正模型及脉冲响应函数，选取中国、日本、巴西和阿根廷作为样本，运用1996—2009年的季度数据，分别对四国的汇率传递时滞进行实证分析。研究表明：不同汇率制度下，汇率变动对国内物价水平的影响存在差异，汇率传递均存在时滞。固定汇率制度下，汇率传递效应的时滞更长；在相对浮动的汇率制度下，汇率传递的时滞相对较短。本文样本中，中国的汇率传递时滞最长，为18个月。因此，在人民币汇率制度改革过程中，确定汇率波动区间以及考察汇率政策效果时，需要考虑汇率波动对国内物价影响时滞的长短。同时，受我国外汇市场化程度的影响，货币当局应当合理引导汇率预期，以适应货币政策目标的需要。
본문채용향량오차수정모형급맥충향응함수，선취중국、일본、파서화아근정작위양본，운용1996—2009년적계도수거，분별대사국적회솔전체시체진행실증분석。연구표명：불동회솔제도하，회솔변동대국내물개수평적영향존재차이，회솔전체균존재시체。고정회솔제도하，회솔전체효응적시체경장；재상대부동적회솔제도하，회솔전체적시체상대교단。본문양본중，중국적회솔전체시체최장，위18개월。인차，재인민폐회솔제도개혁과정중，학정회솔파동구간이급고찰회솔정책효과시，수요고필회솔파동대국내물개영향시체적장단。동시，수아국외회시장화정도적영향，화폐당국응당합리인도회솔예기，이괄응화폐정책목표적수요。
By using the vector error correction model and impulse responses function, this paper empirically analyses exchange rate pass - through lag with the seasonal data of China, Japan, Brazil and Argentina in 1996 - 2009. The empirical result indicates that, （ 1 ） under different exchange rate regimes, the impact of exchange rate changes on domestic price levels can be positive or negative, and the exchange rate pass through lag exists. （2） Difference of exchange rate pass through lag exists in the four countries. And the lag of China is 18 months, which is the longest in the four countries. Combined with actual situation, the more floating the exchange rate regime is, the smaller the lag of exchange rate pass through is. Therefore, this article proposes that the length of exchange rate pass - through lag on domestic price should be considered, which helps determining the exchange rate fluctuation zone and evaluating the currency policy effect during the process of RMB exchange rate reform. At the same time, by the degree of the impact of foreign exchange market, monetary authorities should reasonably guide the exchange rate to meet the needs of monetary policy objectives.