CAJ | 학술논문

本文在国外理论研究的基础上，深化和拓展了汇率传递效应非对称性理论，分析了1995年1季度至2009年4季度期间人民币汇率变动对原油进口价格的动态影响以及人民币汇率变动对原油进口价格传递效应的非对称性。结论表明，第一，人民币汇率变动对原油进口价格存在较强的传递效应，部分时间存在超传递现象和逆传递现象。第二，汇率变动对原油进口价格的传递效应总体并未出现下降趋势，而呈现时大时小的特征，汇率变动对原油进口价格的传递效应与通货膨胀两者之间存在一定的负向关系，这与以往研究从宏观层面得到的结论截然不同。第三，无论本文单独考察升值和贬值条件下人民币汇率对原油进口价格传递的非对称性，还是加入汇率变动幅度这一约束条件来分析，本文均得到贬值的传递效应大于升值传递效应的结论。同时，汇率波动幅度大于某一特定临界值时，传递效应显著；反之，则不存在传递效应。
본문재국외이론연구적기출상，심화화탁전료회솔전체효응비대칭성이론，분석료1995년1계도지2009년4계도기간인민폐회솔변동대원유진구개격적동태영향이급인민폐회솔변동대원유진구개격전체효응적비대칭성。결론표명，제일，인민폐회솔변동대원유진구개격존재교강적전체효응，부분시간존재초전체현상화역전체현상。제이，회솔변동대원유진구개격적전체효응총체병미출현하강추세，이정현시대시소적특정，회솔변동대원유진구개격적전체효응여통화팽창량자지간존재일정적부향관계，저여이왕연구종굉관층면득도적결론절연불동。제삼，무론본문단독고찰승치화폄치조건하인민폐회솔대원유진구개격전체적비대칭성，환시가입회솔변동폭도저일약속조건래분석，본문균득도폄치적전체효응대우승치전체효응적결론。동시，회솔파동폭도대우모일특정림계치시，전체효응현저；반지，칙불존재전체효응。
This paper explores the dynamic effects of the RMB exchange rate changes on the crude-oil import price from the first quarter of 1995 to the fourth quarter of 2009 by applying rolling regression, and asymmetrical effects of RMB exchange rate pass-through are analyzed. We get following conclusions. Firstly, the passthrough effects are greater from the RMB exchange rate fluctuation into crude-oil import prices. Secondly, the dynamic trend of the RMB exchange rate pass-through to crude oil import prices is not downwards, and the relationship between the pass-through effects from the RMB exchange rate fluctuation into crude oil import prices and inflation is negative. Thirdly, the effect of the RMB depreciation pass-through to import prices is higher than RMB appreciation. And on the other hand, the larger size is the changes of RMB exchange rate, the greater effect is the pass-through to import prices.