第0页共15页编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第0页共15页长期价格水平和汇率班级：09国贸二班姓名：曾文烨0942212俞蕴捷0942211陆佳怡0942209丁凡凡0842220第1页共15页第0页共15页编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第1页共15页摘要本文运用长期约束的结构VAR，试图从一个崭新的视角实证考察人民币名义有效汇率对我国价格水平的传递效应。文章特点在于考虑了汇率和价格可能都是受各种宏观经济因素影响的内生变量，以深入揭示两者之间的内在关系。研究发现：(1)当发生汇率冲击时，人民币名义有效汇率对国内各价格水平的传递是不完全的，汇率变动对进口价格的影响强于对消费者价格的影响；(2)一旦考虑了经济体受到其他类型的宏观经济冲击后，估计的人民币汇率价格传递率则显得更为明显；(3)汇改后我国汇率传递效应趋于强化。本文还分析了实证结果背后可能的深层次原因，并讨论相应的政策启示。关键词：人民币名义有效汇率；汇率传递；宏观经济冲击；结构VARAbstractThispaperinvestigatesPass—throughofRMBexchangeratetodomesticpricesfromanewperspectivebyusingstructuralVARbasedonBlanchard—QuahMethodology．Thecharacteristicofthispaperisthatithasconsideredthatexchangeratesandpricesareendogenousvariableshichmayreacttoavarietyofshocks，whichcanexploredeeplytherelationshipbetweenexchangeratesandprices．Themainfindingsareasfollows：Pass—throughofnominaleffectiveexchangerateofRMBtoChinesedomesticpricesisincompletewhentheshockofexchangerateoccurs．Theimpactofexchangeratechangesontheimpo~priceisstrongerthanthatonConsumerprice．However，RMBexchangeratePass—throughtodomesticprices，whichisestimated，appearstobeobviouswhenweconsiderthattheeconomyexperiencesotherimpacts；Pass-throughofRMBexchangeratetendstobecomefullerafterthereformofexchangerateregime．Meanwhile，wediscusstheDeep-seatedreasonsbehindtheempiricalresults．Finallysomecorrespondingpolicyimplicationsaregivenbasingontheconclusionsofthispaper．Keywords：RMBNominalExchange；ExchangeRatePass—Through；MacroeconomicShocks；SVAR第2页共15页第1页共15页编号：时间：2021年x月x日书山有路勤为径，学海无涯苦作舟页码：第2页共15页目录摘要..................................................................................................................................................1关键词：..........................................................................................................................................1Abstract.............................................................................................................................................1Keywords：.....................................................................................................................................1目录..................................................................................................................................................2一．简述长期价格水平的基本概念...............................................................................................3（一）一价定理.......................................................................................................................3（二）汇率理论的核心...........................................................................................................3（三）国际利差和实际汇率...................................................................................................3二、人民币汇率变动对物价水平的影响...............................................................
