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本文运用滚动回归分析方法,研究自1995年至2013年人民币汇率变动对价格水平的影响。通过设置虚拟变量、运用门限模型等计量方法从汇率变动方向和汇率变动幅度两个层面考察了人民币汇率传递的非对称性。实证结果表明,不论采用OLS回归模型还是门限回归模型均得到人民币汇率传递是不完全的结论,且在2008年全球金融危机发生以后,人民币汇率变动对进口价格和国内物价水平的汇率传递效应都呈现下降趋势。并且由门限模型得到的实证结果表明:人民币贬值对进口价格和国内物价的传递效应都较大,人民币变动波幅较大时对进口价格的传递效应较大,人民币变动波幅较小时对国内物价水平的传递效应较大。
This paper uses the method of rolling regression analysis to study the impact of RMB exchange rate changes on the price level from 1995 to 2013. By setting the dummy variables and using the threshold model and other measurement methods, the asymmetry of the exchange rate of RMB exchangers is examined from two aspects: the direction of exchange rate changes and the range of exchange rate changes. The empirical results show that both the OLS regression model and the threshold regression model show that the RMB exchange rate transfer is incomplete. And after the global financial crisis in 2008, the exchange rate transfer effects of RMB exchange rate changes on import prices and domestic price levels are all presented Downtrend. And the empirical results from the threshold model show that the devaluation of RMB has great effect on the import prices and domestic prices, and the transmission effect on import prices is larger when the volatility of RMB changes is larger. When the volatility of RMB changes is small, the domestic price level Transmission effect larger.