人民币汇率波动对国内物价和利率的传导效应研究
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摘要
20世纪90年代以来，局部和全球性的金融危机和经济波动引起了研究人员的广泛关注。无论是1992-1993年的欧洲汇率体系危机、1994-1995年的巴西金融危机、1997-1998年的东南亚金融危机、2007年以来美国次贷危机引发的全球性金融危机，都表现出极强的传染性。而传染的重要途径除了传统的贸易途径外，通过汇率渠道的传染程度不断加深。在全球经济一体化、金融自由化的背景下，通过对汇率波动的关联研究，有助于有效地分析和判断外部汇率冲击的影响，并针对性地制定防范对策，维持一国国内金融体系和市场体系的稳定。
从我国的情况看，中国的浮动汇率制度从1994年1月1日开始实行的,2005年7月21日，中国的人民币汇率形成机制开始实行以市场供求为基础的有管理的浮动汇率制度,改变以往单一盯住美元的做法，而是参考一篮子货币进行调节。又分别在2010年6月19日、2011年4月16日先后两次推进了改革，使人民币汇率弹性得到了增强。从历史数据看，自2005年人民币汇率形成机制改革以来，人民币持续升值、国内通胀水平屡创新高等现象更是引起社会各界的强烈关注。
本文即针对上述热点问题，尝试通过理论分析和实证研究的方法，全面探讨人民币汇率波动与我国国内价格，包括进出口商品价格、国内消费者价格、国内资金价格─利率等的关系。
首先，本文对2000年以来我国国内进口价格、消费者价格、人民币名义有效汇率、国内产出缺口、国际初级商品价格、货币供应量等进行月度数据采样和整理，并在此基础上构建我国进口价格、消费者价格与各相关因素的长期均衡模型，分析汇率波动、外部价格冲击、国内需求变动和货币冲击等因素对我国国内进口价格和消费者价格的实际影响。研究结论为：长期内汇率、国际初级商品价格波动是影响我国进口价格指数的显著因素，但其对国内消费者价格波动的影响并不明显；同时国内需求和货币供应量波动对消费者价格的影响也不显著。样本期内，国内消费者价格的上涨更多来自CPI自身的粘性所致，可能源于国内通胀预期的不断强化。分阶段分析的结果表明，汇改后人民币有效汇率波动对国内进口价格和消费者价格的传递效率有所提高，汇率在宏观经济中的调节作用将逐步增强。
其次，本文应用非线性平滑转换模型研究了我国与美国、欧元区、日本、韩国等有效汇率指数、综合利差之间的关系。实证分析表明，汇率对利率的影响具有明显的非对称性，具有较强的非线性动态特征。分国别看，四个国家或地区之间的上期利差均是影响本期利差的重要因素；在短期内汇率对利率影响较大。因此，短期内人民币汇率弹性的扩大应该主动、逐步、稳定进行，防止人民币汇率弹性的急剧扩大导致利率的过度波动。其次，逐步有序加快利率市场化进程并加强与汇率市场化的配合，构建高效的汇率-利率联动机制。
在前述研究的基础上，本文又展开了对利率到物价环节的实证研究。通过选择国内市场化程度较高、能够有效反映国内资金供需的SHIBOR利率，构建国内利率与物价间的关系模型，实证研究结论认为：国内利率与物价随着我国经济状态的变化呈现非线性的变化。当经济发展相对适度、通胀水平较为温和时，提高利率能够有效抑制需求。但是经济过热、需求旺盛时，国内高物价往往倒逼高利率的出现，此时提高利率对需求的抑制作用减弱，而受制于我国企业的融资模式，将会把高利率通过生产渠道转嫁到成本中，进而对通胀产生正向冲击。
通过对汇率、利率、物价三要素之间两两关系的研究，本文认为在开放经济环境下，汇率、利率和物价三者关系紧密、相互影响，分析和确定这些经济指标的关系，对实现开放经济的一般均衡（即商品市场、货币市场、外汇市场同时平衡）具有重要的意义。因此本文从微观视角出发，尝试构建了汇率、利率和物价等相关指标的理论模型，并进行了实证分析。实证结果显示：汇率、利率、价格均是影响自身变动的最主要的因素，三者之间通联渠道并不十分顺畅；汇率与价格之间的相互影响程度要高于利率与价格、汇率与利率相互影响的程度。因此，通过利率政策来治理通货膨胀效果并不如汇率政策和货币供应量政策配合有效。下一步在坚持人民币汇率改革的市场化方向前提下，逐步有序加快利率市场化进程并加强与汇率市场化、价格市场化的配合，构建高效的价格联动机制。
Since1990’s, financial crisis and economic fluctuations throughout regional and worldwide areas have brought wide attention in the research fields. Back to the1992-1993European ERM crisis, the1994-1995Brazil financial crisis, the1997-1998Southeast Asia financial crisis, as well as the recent global financial crisis which originated in the US since2007, conductivity has been playing a significant role. Meanwhile, conduction through the pathway of exchange rate has been taking a more profound action, except for that though the traditional pathway of international trade. Within the framework of global economic integration and financial deregulation, a relevant study on exchange rate fluctuations will be conducive for effectively analyzing and deciding the impact of external shocks from exchange rates, and for making specific precautions to stabilize the national financial system and market system.
For China, a unified and managed floating exchange rate regime based on market demand and supply was established on January1st,1994. Then, the RMB exchange rate formation mechanism was improved on July21st,2005, moving into a managed floating exchange rate regime based on market demand and supply with reference to a basket of currencies. On June19th,2010and April16th,2011, respectively, RMB exchange rate formation mechanism was further moved and the elasticity of RMB exchange rate rose up. Historical data shows that since the reform of RMB exchange rate formation mechanism took place, such phenomenon as continued appreciation of RMB and ever-climbing inflations have drawn strong concerns from various social sectors.
Focused on the above hot topics, this dissertation will, by analyzing the reform and transition of the RMB exchange rate regime and taking empirical researches, make a comprehensive investigation into the relationships between RMB exchange rate fluctuations and domestic prices, including import and export commodity prices, domestic consumer prices, domestic prices of money—interest rates, and so forth.
First of all, monthly data since2000, including domestic import prices, consumer prices, RMB nominal effective exchange rates, international primary commodity prices, domestic output gap, and monetary supply, are sampled and modified. Based on that, the long-run equilibrium model of domestic import prices, consumer prices and related factors is built to analyze the real impact of exchange rate fluctuations, external price shocks, domestic demand variations, and currency shocks on the domestic import prices and consumer prices. The result shows that in the long run, the fluctuations of exchange rates and international primary commodity prices have a significant impact on the domestic import price indices, but they are not key drivers for the consumer price variations, neither are the fluctuations of domestic demands and monetary supply. During the sample periods, the increase in consumer prices comes more from the stickiness of CPI itself, which may result from the ever-climbing domestic inflation expectations. The result of segmented analysis shows that after the RMB exchange rate reform, the conductive efficiency of RMB effective exchange rate fluctuations to domestic import prices and consumer prices has been increased, and exchange rates will be playing a more and more important role in moderating macro economy.
Following the Trade-pathway study which tests the impact of exchange rates on the domestic prices, Smooth Transition Regression Model is utilized to investigate the relationships between the effective exchange rate indices (including the exchange rates of RMB with respect to currencies of four regions: US, Euro areas, Japan and Korea) and comprehensive interest rate spreads. Empirical researches show that the impact of exchange rates on interest rates has obvious asymmetry, with relatively strong non-linear and transitional dynamic characteristics. When taking the regional perspective, in all four countries or regions above, interest rate spreads in the previous period are key drivers for those in the current period; and in the short run, exchange rates have a relatively large impact on interest rates. Therefore, in the short run, the process of expanding the RMB exchange rate elasticity should be active, gradual and steady, in case of the excessive fluctuations in exchange rates resulted from a sharp expansion of elasticity. Moreover, interest rate liberalization process should be speeded up gradually and sequentially, and the coordination with exchange rate marketization should be improved, in order to build up an efficient exchange rate-interest rate linkage mechanism.
Based on the above investigations, empirical studies on the relationship between interest rates and prices are then provided. By selecting the SHIBOR interest rate, one that has a relatively high level of marketization and effectively represents the domestic monetary supply and demand, the model on relationships between domestic interest rates and prices is built, showing that domestic interest rates and prices appear non-linear variations along with the changes in domestic economic states. When economic development is relatively modest and inflation is moderate, increasing interest rates could effectively suppress demands. However, when economy is overheated and demand is flourishing, domestic high prices usually backward push up interest rates. In such case, the suppression effect on demands diminishes, while subject to the financing mode in domestic enterprises, high interest rates will be transmitted into costs through production channels, thus providing positive shocks to inflation.
By investigating the relationships between one and another, exchange rates, interest rates and prices are considered to be tightly related and interactive in an open economy, so that analyzing and determining relationships among these economic indicators would be significant for realizing the general equilibrium in a open economy (i.e., the simultaneous equilibrium in commodity market, money market, and exchange rate market). Therefore, this dissertation starts from a micro perspective, and attempts to build a theoretical model including such related variables as exchange rates, interest rates and prices, to make an empirical analysis. The empirical results show that exchange rates, interest rates and prices are all key drivers for self variations, and the interacting pathways are not very smooth; what’s more, the degree of interaction between exchange rates and prices turns out to be higher than that between interest rates and prices, or that between exchange rates and interest rates. Thus, to manage inflation, interest rate policies would be less effective than the policies cooperation of exchange rates and monetary supply. In the following steps, given the premise of RMB exchange rate marketization, interest rate liberalization process should be speeded up gradually and sequentially, while the coordination with the marketization of exchange rates and prices should also be improved at the same time, in order to build up an efficient price linkage mechanism.
从我国的情况看，中国的浮动汇率制度从1994年1月1日开始实行的,2005年7月21日，中国的人民币汇率形成机制开始实行以市场供求为基础的有管理的浮动汇率制度,改变以往单一盯住美元的做法，而是参考一篮子货币进行调节。又分别在2010年6月19日、2011年4月16日先后两次推进了改革，使人民币汇率弹性得到了增强。从历史数据看，自2005年人民币汇率形成机制改革以来，人民币持续升值、国内通胀水平屡创新高等现象更是引起社会各界的强烈关注。
本文即针对上述热点问题，尝试通过理论分析和实证研究的方法，全面探讨人民币汇率波动与我国国内价格，包括进出口商品价格、国内消费者价格、国内资金价格─利率等的关系。
首先，本文对2000年以来我国国内进口价格、消费者价格、人民币名义有效汇率、国内产出缺口、国际初级商品价格、货币供应量等进行月度数据采样和整理，并在此基础上构建我国进口价格、消费者价格与各相关因素的长期均衡模型，分析汇率波动、外部价格冲击、国内需求变动和货币冲击等因素对我国国内进口价格和消费者价格的实际影响。研究结论为：长期内汇率、国际初级商品价格波动是影响我国进口价格指数的显著因素，但其对国内消费者价格波动的影响并不明显；同时国内需求和货币供应量波动对消费者价格的影响也不显著。样本期内，国内消费者价格的上涨更多来自CPI自身的粘性所致，可能源于国内通胀预期的不断强化。分阶段分析的结果表明，汇改后人民币有效汇率波动对国内进口价格和消费者价格的传递效率有所提高，汇率在宏观经济中的调节作用将逐步增强。
其次，本文应用非线性平滑转换模型研究了我国与美国、欧元区、日本、韩国等有效汇率指数、综合利差之间的关系。实证分析表明，汇率对利率的影响具有明显的非对称性，具有较强的非线性动态特征。分国别看，四个国家或地区之间的上期利差均是影响本期利差的重要因素；在短期内汇率对利率影响较大。因此，短期内人民币汇率弹性的扩大应该主动、逐步、稳定进行，防止人民币汇率弹性的急剧扩大导致利率的过度波动。其次，逐步有序加快利率市场化进程并加强与汇率市场化的配合，构建高效的汇率-利率联动机制。
在前述研究的基础上，本文又展开了对利率到物价环节的实证研究。通过选择国内市场化程度较高、能够有效反映国内资金供需的SHIBOR利率，构建国内利率与物价间的关系模型，实证研究结论认为：国内利率与物价随着我国经济状态的变化呈现非线性的变化。当经济发展相对适度、通胀水平较为温和时，提高利率能够有效抑制需求。但是经济过热、需求旺盛时，国内高物价往往倒逼高利率的出现，此时提高利率对需求的抑制作用减弱，而受制于我国企业的融资模式，将会把高利率通过生产渠道转嫁到成本中，进而对通胀产生正向冲击。
通过对汇率、利率、物价三要素之间两两关系的研究，本文认为在开放经济环境下，汇率、利率和物价三者关系紧密、相互影响，分析和确定这些经济指标的关系，对实现开放经济的一般均衡（即商品市场、货币市场、外汇市场同时平衡）具有重要的意义。因此本文从微观视角出发，尝试构建了汇率、利率和物价等相关指标的理论模型，并进行了实证分析。实证结果显示：汇率、利率、价格均是影响自身变动的最主要的因素，三者之间通联渠道并不十分顺畅；汇率与价格之间的相互影响程度要高于利率与价格、汇率与利率相互影响的程度。因此，通过利率政策来治理通货膨胀效果并不如汇率政策和货币供应量政策配合有效。下一步在坚持人民币汇率改革的市场化方向前提下，逐步有序加快利率市场化进程并加强与汇率市场化、价格市场化的配合，构建高效的价格联动机制。
Since1990’s, financial crisis and economic fluctuations throughout regional and worldwide areas have brought wide attention in the research fields. Back to the1992-1993European ERM crisis, the1994-1995Brazil financial crisis, the1997-1998Southeast Asia financial crisis, as well as the recent global financial crisis which originated in the US since2007, conductivity has been playing a significant role. Meanwhile, conduction through the pathway of exchange rate has been taking a more profound action, except for that though the traditional pathway of international trade. Within the framework of global economic integration and financial deregulation, a relevant study on exchange rate fluctuations will be conducive for effectively analyzing and deciding the impact of external shocks from exchange rates, and for making specific precautions to stabilize the national financial system and market system.
For China, a unified and managed floating exchange rate regime based on market demand and supply was established on January1st,1994. Then, the RMB exchange rate formation mechanism was improved on July21st,2005, moving into a managed floating exchange rate regime based on market demand and supply with reference to a basket of currencies. On June19th,2010and April16th,2011, respectively, RMB exchange rate formation mechanism was further moved and the elasticity of RMB exchange rate rose up. Historical data shows that since the reform of RMB exchange rate formation mechanism took place, such phenomenon as continued appreciation of RMB and ever-climbing inflations have drawn strong concerns from various social sectors.
Focused on the above hot topics, this dissertation will, by analyzing the reform and transition of the RMB exchange rate regime and taking empirical researches, make a comprehensive investigation into the relationships between RMB exchange rate fluctuations and domestic prices, including import and export commodity prices, domestic consumer prices, domestic prices of money—interest rates, and so forth.
First of all, monthly data since2000, including domestic import prices, consumer prices, RMB nominal effective exchange rates, international primary commodity prices, domestic output gap, and monetary supply, are sampled and modified. Based on that, the long-run equilibrium model of domestic import prices, consumer prices and related factors is built to analyze the real impact of exchange rate fluctuations, external price shocks, domestic demand variations, and currency shocks on the domestic import prices and consumer prices. The result shows that in the long run, the fluctuations of exchange rates and international primary commodity prices have a significant impact on the domestic import price indices, but they are not key drivers for the consumer price variations, neither are the fluctuations of domestic demands and monetary supply. During the sample periods, the increase in consumer prices comes more from the stickiness of CPI itself, which may result from the ever-climbing domestic inflation expectations. The result of segmented analysis shows that after the RMB exchange rate reform, the conductive efficiency of RMB effective exchange rate fluctuations to domestic import prices and consumer prices has been increased, and exchange rates will be playing a more and more important role in moderating macro economy.
Following the Trade-pathway study which tests the impact of exchange rates on the domestic prices, Smooth Transition Regression Model is utilized to investigate the relationships between the effective exchange rate indices (including the exchange rates of RMB with respect to currencies of four regions: US, Euro areas, Japan and Korea) and comprehensive interest rate spreads. Empirical researches show that the impact of exchange rates on interest rates has obvious asymmetry, with relatively strong non-linear and transitional dynamic characteristics. When taking the regional perspective, in all four countries or regions above, interest rate spreads in the previous period are key drivers for those in the current period; and in the short run, exchange rates have a relatively large impact on interest rates. Therefore, in the short run, the process of expanding the RMB exchange rate elasticity should be active, gradual and steady, in case of the excessive fluctuations in exchange rates resulted from a sharp expansion of elasticity. Moreover, interest rate liberalization process should be speeded up gradually and sequentially, and the coordination with exchange rate marketization should be improved, in order to build up an efficient exchange rate-interest rate linkage mechanism.
Based on the above investigations, empirical studies on the relationship between interest rates and prices are then provided. By selecting the SHIBOR interest rate, one that has a relatively high level of marketization and effectively represents the domestic monetary supply and demand, the model on relationships between domestic interest rates and prices is built, showing that domestic interest rates and prices appear non-linear variations along with the changes in domestic economic states. When economic development is relatively modest and inflation is moderate, increasing interest rates could effectively suppress demands. However, when economy is overheated and demand is flourishing, domestic high prices usually backward push up interest rates. In such case, the suppression effect on demands diminishes, while subject to the financing mode in domestic enterprises, high interest rates will be transmitted into costs through production channels, thus providing positive shocks to inflation.
By investigating the relationships between one and another, exchange rates, interest rates and prices are considered to be tightly related and interactive in an open economy, so that analyzing and determining relationships among these economic indicators would be significant for realizing the general equilibrium in a open economy (i.e., the simultaneous equilibrium in commodity market, money market, and exchange rate market). Therefore, this dissertation starts from a micro perspective, and attempts to build a theoretical model including such related variables as exchange rates, interest rates and prices, to make an empirical analysis. The empirical results show that exchange rates, interest rates and prices are all key drivers for self variations, and the interacting pathways are not very smooth; what’s more, the degree of interaction between exchange rates and prices turns out to be higher than that between interest rates and prices, or that between exchange rates and interest rates. Thus, to manage inflation, interest rate policies would be less effective than the policies cooperation of exchange rates and monetary supply. In the following steps, given the premise of RMB exchange rate marketization, interest rate liberalization process should be speeded up gradually and sequentially, while the coordination with the marketization of exchange rates and prices should also be improved at the same time, in order to build up an efficient price linkage mechanism.
引文
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