CAJ | 학술논문

利用1996—2012年月度数据,实证研究人民币汇率波动对中国物价水平的传递效应,结果表明：人民币汇率同国内物价水平之间存在长期协整关系,汇率波动对物价水平的影响较弱;误差修正模型分析显示,汇率波动对国内物价水平具有较好的自我修正机制。引入汇率制度变迁因素,可以发现：汇率制度变更后,汇率波动对物价水平的影响会发生变化,甚至系数符号会发生逆转;即便汇率制度相同下,不同时间段的汇率波动对物价水平的影响也具有差异性;无论汇率制度有无变迁,汇率波动对物价指数cpi、ppi、rpi的传递效应都具有差异性。
이용1996—2012년월도수거,실증연구인민폐회솔파동대중국물개수평적전체효응,결과표명：인민폐회솔동국내물개수평지간존재장기협정관계,회솔파동대물개수평적영향교약;오차수정모형분석현시,회솔파동대국내물개수평구유교호적자아수정궤제。인입회솔제도변천인소,가이발현：회솔제도변경후,회솔파동대물개수평적영향회발생변화,심지계수부호회발생역전;즉편회솔제도상동하,불동시간단적회솔파동대물개수평적영향야구유차이성;무론회솔제도유무변천,회솔파동대물개지수cpi、ppi、rpi적전체효응도구유차이성。
Using monthly data of 1996 -2012, this paper empirically researches into the transmission effect of RMB exchange rate fluctuations on domestic price level. The results show that there exists co - integration relationship between RMB exchange rate and the domestic price level, and effect of exchange rate fluctuations on the price level is weak. The error correction model analysis suggests that exchange rate fluctuations with self correcting mechanism better on the domestic price level. The introduction of exchange rate regime transition shows that： After the change of exchange rate system, effect of exchange rate volatility on the price level will change, and even sign of coefficients can be reversed; Even before and after the time in- terval, the exchange rate system changes back to the same, but the impact of exchange rate fluctuations on the price level still has difference; Whether there is exchange rate regime transition, the effect of exchange rate fluctuations on the price index CPI PPI RPI has difference.