外部冲击与我国物价水平的决定——基于结构VAR模型的分析
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财经研究 2009 年 第 35 卷第 08 期, 页码：92 - 105
摘要
参考文献
摘要
文章建立结构VAR模型考察了1997年1月至2008年8月期间外部冲击(国际石油价格和人民币名义有效汇率)对我国国内物价水平及其分类价格指数的传递效应。结果表明,价格和汇率传递都是不完全的、滞后的和沿价格链递减的,且对分类价格指数的传递差异较大;相比人民币名义有效汇率,国际石油价格冲击对我国进口价格指数、生产者价格指数和消费者价格指数的传递率更高,影响更大;我国近期消费者价格指数的上扬较多地是受到上游价格链冲击、需求冲击、货币政策冲击和供给冲击的影响,人民币升值的抑制通胀效应较弱。
①一些学者考察了汇率传递的不对称性,即汇率传递效应是否会因汇率变动方向和幅度的不同而显著不同。较近的实证研究可以参见Pollard和Coughlin(2004)和Campa等(2008)。本文亦考察了样本期内不同人民币名义有效汇率变动方向和幅度下的汇率传递效应,但计量检验结果并不显著。
③参考了高铁梅(2006)、Ito和Sato(2008)。
[1]陈六傅,刘厚俊.人民币汇率的价格传递效应——基于VAR模型的实证分析[J].金融研究,2007,(4):1-13.
[2]高铁梅.计量经济分析方法与建模[M].北京:清华大学出版社,2006.
[3]刘亚,李伟平,杨宇俊.人民币汇率变动对我国通货膨胀的影响:汇率传递视角的研究[J].金融研究,2008,(3):28-41.
[4]施建淮,傅雄广,许伟.人民币汇率变动对我国价格水平的传递[J].经济研究,2008,(7):52-63.
[5]中国经济增长与宏观稳定课题组.外部冲击与中国的通货膨胀[J].经济研究,2008,(5):4-18.
[6]Bouakez H,N Rebei.Has exchange rate pass-through really declined?Evidence fromCanada[J].Journal of International Economics,2008,75:249-267.
[7]Campa J M,L S Goldberg.Exchange rate pass-throughintoi mport prices[J].ReviewofEconomics and Statistics,2005,87:679-690.
[8]Ca’Zorzi M,E Hahn,MSanchez.Exchange rate pass-throughin emerging markets[R].European Central Bank Working Paper Series,2007,No.739.
[9]Choudhri E U,D S Hakura.Exchange rate pass-through to domestic prices:Does theinflationary environment matter?[J].Journal of International Money and Finance,2006,25:614-639.
[10]Gagnon J E,J Ihrig.Monetary policy and exchange pass-through[J].InternationalJournal of Finance&Economics,2004,9:315-338.
[11]Ito T,K Sato.Exchange rate changes and inflation in post-crisis Asian economies:Vector autoregression analysis of exchange rate pass-through[J].Journal of Money,Credit and Banking,2008,40:1407-1438.
[12]McCarthy J.Pass-through of external rates and i mport prices to domestic inflation insome industrialized economies[R].BIS Working Papers,1999,No.79.
[13]Mishkin F S.Exchange rate pass-through and monetary policy[R].NBER Working Pa-per Series,2008,No.13889.
[14]Pollard P,C Coughlin.Size matters:Asymmetric exchange rate pass-through at the in-dustrial level[R].Federal Reserve Bank of St.Louis Working Paper,2004,2003-029C.
[15]Sekine T.Ti me-varying exchange rate pass-through:Experiences of some industrialcountries[R].BIS Working Papers,2006,No.202.
[16]Takhtamanova Y.Understanding changes in exchange rate pass-through[R].FederalReserve Bank of San Francisco Working Paper Series,2008.
[17]Taylor J B.Lowinflation,pass-through,and the pricing power of firms[J].EuropeanEconomic Review,2000,44:1389-1408.
③参考了高铁梅(2006)、Ito和Sato(2008)。
[1]陈六傅,刘厚俊.人民币汇率的价格传递效应——基于VAR模型的实证分析[J].金融研究,2007,(4):1-13.
[2]高铁梅.计量经济分析方法与建模[M].北京:清华大学出版社,2006.
[3]刘亚,李伟平,杨宇俊.人民币汇率变动对我国通货膨胀的影响:汇率传递视角的研究[J].金融研究,2008,(3):28-41.
[4]施建淮,傅雄广,许伟.人民币汇率变动对我国价格水平的传递[J].经济研究,2008,(7):52-63.
[5]中国经济增长与宏观稳定课题组.外部冲击与中国的通货膨胀[J].经济研究,2008,(5):4-18.
[6]Bouakez H,N Rebei.Has exchange rate pass-through really declined?Evidence fromCanada[J].Journal of International Economics,2008,75:249-267.
[7]Campa J M,L S Goldberg.Exchange rate pass-throughintoi mport prices[J].ReviewofEconomics and Statistics,2005,87:679-690.
[8]Ca’Zorzi M,E Hahn,MSanchez.Exchange rate pass-throughin emerging markets[R].European Central Bank Working Paper Series,2007,No.739.
[9]Choudhri E U,D S Hakura.Exchange rate pass-through to domestic prices:Does theinflationary environment matter?[J].Journal of International Money and Finance,2006,25:614-639.
[10]Gagnon J E,J Ihrig.Monetary policy and exchange pass-through[J].InternationalJournal of Finance&Economics,2004,9:315-338.
[11]Ito T,K Sato.Exchange rate changes and inflation in post-crisis Asian economies:Vector autoregression analysis of exchange rate pass-through[J].Journal of Money,Credit and Banking,2008,40:1407-1438.
[12]McCarthy J.Pass-through of external rates and i mport prices to domestic inflation insome industrialized economies[R].BIS Working Papers,1999,No.79.
[13]Mishkin F S.Exchange rate pass-through and monetary policy[R].NBER Working Pa-per Series,2008,No.13889.
[14]Pollard P,C Coughlin.Size matters:Asymmetric exchange rate pass-through at the in-dustrial level[R].Federal Reserve Bank of St.Louis Working Paper,2004,2003-029C.
[15]Sekine T.Ti me-varying exchange rate pass-through:Experiences of some industrialcountries[R].BIS Working Papers,2006,No.202.
[16]Takhtamanova Y.Understanding changes in exchange rate pass-through[R].FederalReserve Bank of San Francisco Working Paper Series,2008.
[17]Taylor J B.Lowinflation,pass-through,and the pricing power of firms[J].EuropeanEconomic Review,2000,44:1389-1408.
引用本文
中国人民银行营业管理部课题组, 杨国中, 姜再勇. 外部冲击与我国物价水平的决定——基于结构VAR模型的分析[J]. 财经研究, 2009, 35(8): 92–105.
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