【摘要】 本文采用向量误差修正模型及脉冲响应函数,选取中国、日本、巴西和阿根廷作为样本,运用1996-2009年的季度数据,分别对四国的汇率传递时滞进行实证分析。研究表明:不同汇率制度下,汇率变动对国内物价水平的影响存在差异,汇率传递均存在时滞。固定汇率制度下,汇率传递效应的时滞更长;在相对浮动的汇率制度下,汇率传递的时滞相对较短。本文样本中,中国的汇率传递时滞最长,为18个月。因此,在人民币汇率制度改革过程中,确定汇率波动区间以及考察汇率政策效果时,需要考虑汇率波动对国内物价影响时滞的长短。同时,受我国外汇市场化程度的影响,货币当局应当合理引导汇率预期,以适应货币政策目标的需要。更多还原

【Abstract】 By using the vector error correction model and impulse responses function,this paper empirically analyses exchange rate pass-through lag with the seasonal data of China,Japan,Brazil and Argentina in 1996-2009.The empirical result indicates that,(1) under different exchange rate regimes,the impact of exchange rate changes on domestic price levels can be positive or negative,and the exchange rate pass through lag exists.(2) Difference of exchange rate pass through lag exists in the four countries.And the lag of China is 18 months,which is the longest in the four countries.Combined with actual situation,the more floating the exchange rate regime is,the smaller the lag of exchange rate pass through is.Therefore,this article proposes that the length of exchange rate pass-through lag on domestic price should be considered,which helps determining the exchange rate fluctuation zone and evaluating the currency policy effect during the process of RMB exchange rate reform.At the same time,by the degree of the impact of foreign exchange market,monetary authorities should reasonably guide the exchange rate to meet the needs of monetary policy objectives.更多还原