基于TVAR模型的人民币汇率的价格传递效应
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引用本文:傅 强1, 孙 菲2.基于TVAR模型的人民币汇率的价格传递效应[J].经济数学,2015,(1):37-41
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作者单位
傅 强1, 孙 菲2 (1.重庆大学 经济与工商管理学院重庆 400044
2.重庆大学 数学与统计学院重庆 401331) 
中文摘要:利用门限向量自回归模型对人民币有效汇率的价格传递效应进行了研究,分析了不同的通货膨胀环境对人民币汇率传递效应的影响.以通货膨胀率作为门限值变量,并以0.001 175和0.006 118为门限值进行实证分析.得到汇率传递效应在不同的通货膨胀环境下显著性存在差异,在高通货膨胀下汇率对国内价格的传递效应是显著的,然而在低通货膨胀下是不显著的.考虑了汇率传递对国内价格的非线性性,进而更加准确的验证了通货膨胀与汇率传递的相关性.
中文关键词:TVAR模型  汇率传递  脉冲响应函数
 
A Study on the Price Pass-through Effect of RMB Exchange Rate: A Positive Analysis Based Threshold Vector Autoregression Model
Abstract:By means of threshold vector auto-regression model, RMB nominal exchange rate pass-through was studied, and also the exchange rate pass-through under different inflation was analyzed. Inflation rate was treated as the threshold variable, and two monthly rates of 0.1175% and 0.6118% acted as thresholds. The exchange rate pass-through to domestic prices was statistically significant above the threshold level of the inflation rate 0.611 8% and statistically insignificant below it. Considering nonlinearities in the exchange rate pass-through to domestic prices, and thus the correlation between inflation and exchange rate pass-through was verified more accurately.
keywords:Threshold Vector Autoregressive Model  exchange rate pass-though  impulse response function
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