CAJ | 학술논문

本文以澳门为例分析了汇率传递效应对小型经济体通货膨胀的影响。通过一个带有外生变量的VAR模型，本文考察了人民币汇率波动以及其他货币综合汇率波动的传递效应对澳门通货膨胀的冲击。研究发现，人民币汇率波动对澳门通货膨胀具有显著的正向影响，但其他货币综合汇率波动对澳门通货膨胀的影响并不显著。进一步的研究还发现，通货膨胀环境对汇率的传递效应具有重要的影响，在高通货膨胀环境下，人民币汇率波动具有更强的传递效应，但其他货币综合汇率波动的传递效应依然不显著。
본문이오문위례분석료회솔전체효응대소형경제체통화팽창적영향。통과일개대유외생변량적VAR모형，본문고찰료인민폐회솔파동이급기타화폐종합회솔파동적전체효응대오문통화팽창적충격。연구발현，인민폐회솔파동대오문통화팽창구유현저적정향영향，단기타화폐종합회솔파동대오문통화팽창적영향병불현저。진일보적연구환발현，통화팽창배경대회솔적전체효응구유중요적영향，재고통화팽창배경하，인민폐회솔파동구유경강적전체효응，단기타화폐종합회솔파동적전체효응의연불현저。
Taking Macau for granted, this paper analyzes how exchange rate pass-through affects inflation in small economy. The paper uses a VAR model,which considers the fluctuation of exchange rate as exogenous variable, to investi- gate the pulse of RMB exchange rate and other exchange rate to Macau＇s inflation. The result shows that the fluctuation of RMB exchange rate has a significant positive impact on Macau＇s inflation, but the combined fluctuation of other exchange rate has not significant impaction. The result of further analysis shows that inflationary environment affects the exchange rate pass-through greatly. In high inflationary environment, the pass-through effect of RMB exchange rate is stronger, but the combined effects of other exchange rate is still not significant.