通货膨胀环境视角下的人民币汇率传递——理论模型和实证研究
5504 
2488
财经研究 2010 年 第 36 卷第 11 期, 页码：52 - 62
摘要
参考文献
摘要
基于汇率传递模型(Shintani等,2009),文章分析了通货膨胀环境因素对汇率传递的影响机制;同时,对上述理论模型加以拓展,证明了在通货膨胀环境影响下,汇率变动对消费者价格传递效应具有非线性平滑变化特征。文章接下来运用非线性平滑转换STR模型实证分析的结果表明:(1)在较低且稳定的通货膨胀环境下,汇率传递效应较低,在较高且不稳定的通货膨胀环境下,汇率传递效应较高;(2)随着通货膨胀环境的变化,汇率传递弹性在-0.136~-0.049之间非线性平滑变化,汇率传递变化幅度较大,因此需重视通货膨胀环境因素对汇率传递的影响。
[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,2007,322(4):8-11.
[2]倪克勤,曹伟.人民币汇率变动的不完全传递研究:理论及实证[J].金融研究,2009,348(9):53-56.
[3]Bailliu J,Fujii E.Exchange rate pass-through and the inflation environment in industrial-ized countries:An empirical investigation[R].Working Paper,No.21,Bank of Canada,2004.
[4]Campa J,Goldberg L S.Exchange rate pass through into import prices[J].Review ofEconomics and Statistics,2005,87(4):679-690.
[5]Devereux M B,Yetman J.Price adjustment and exchange rate pass-through[R].Work-ing Papers,2008.
[6]Shintani M.Akiko T H,Tomoyoshi Y.Exchange rate pass-through and inflation:A non-linear time series analysis[R].Working Papers,2009.
[7]Taylor J B.Low inflation,pass-through,and the pricing power of firms[J].EuropeanEconomic Review,2000,44(7):1389-1408.
[8]Terasvirta T.Specification,estimation,and evaluation of smooth transition autoregres-sive models[J].Journnal of the American Statistical Association,1994,(89):208-218.
[2]倪克勤,曹伟.人民币汇率变动的不完全传递研究:理论及实证[J].金融研究,2009,348(9):53-56.
[3]Bailliu J,Fujii E.Exchange rate pass-through and the inflation environment in industrial-ized countries:An empirical investigation[R].Working Paper,No.21,Bank of Canada,2004.
[4]Campa J,Goldberg L S.Exchange rate pass through into import prices[J].Review ofEconomics and Statistics,2005,87(4):679-690.
[5]Devereux M B,Yetman J.Price adjustment and exchange rate pass-through[R].Work-ing Papers,2008.
[6]Shintani M.Akiko T H,Tomoyoshi Y.Exchange rate pass-through and inflation:A non-linear time series analysis[R].Working Papers,2009.
[7]Taylor J B.Low inflation,pass-through,and the pricing power of firms[J].EuropeanEconomic Review,2000,44(7):1389-1408.
[8]Terasvirta T.Specification,estimation,and evaluation of smooth transition autoregres-sive models[J].Journnal of the American Statistical Association,1994,(89):208-218.
引用本文
项后军, 王清. 通货膨胀环境视角下的人民币汇率传递——理论模型和实证研究[J]. 财经研究, 2010, 36(11): 52–62.
导出参考文献，格式为：
