汇率变动的不完全传递、FDI和货币政策效应计量研究
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摘要
随着我国对外开放程度的不断加大，我国经济的发展与世界各国经济的联系更加地密切，汇率成了我国经济联系世界其他各国经济的纽带。汇率作为两国之间货币的相对价格，其变动直接影响一国国内物价水平的变动，从而通过支出转换效应改变贸易收支影响其他宏观经济变量。汇率在维持一国内外部平衡时起着至关重要的作用，成为开放经济条件下的核心工具变量。自2005年7月21日，中央人民银行宣布进行汇率制度改革，由原来的钉住单一美元的汇率制度转换为参考一篮子的有管理的浮动汇率制度，使得人民币汇率制度更加灵活和富有弹性。此次汇率制度改革之后，人民币对美元汇率开始不断升值，但是我国的出口并没有随着人民币汇率的升值呈现出下降趋势，而是经常项目贸易顺差持续增加，屡屡创下历史新高。传统宏观经济学并不能针对这种经济现象给出合理的解释，根本原因是忽视了汇率变动对价格水平的传递是不完全的事实。
国外学者关注汇率传递问题较早，因此，相关的研究文献比较丰富。研究内容从最初对汇率变动对价格水平传递程度的检验，发展到对影响汇率传递效果因素的考察；研究视角从产业组织、市场结构、价格歧视等微观层面转向计价货币的选择、通货膨胀环境、国家规模等宏观层面。而国内已有文献主要停留在检验人民币汇率变动对进口价格、生产者价格以及消费者价格的传递程度大小上，很少有文献全面探讨人民币汇率变动的不完全传递、FDI和货币政策效应。因此，本文从汇率不完全传递切入，分别研究汇率变动对进口价格指数、消费者价格指数、外商直接投资以及货币政策有效性的影响。具体的理论和实证分析如下：
1．从理论方面分析汇率变动对进口价格的传递效果，提出汇率传递过程中存在非对称性的问题。总结国内外针对汇率变动对进口价格传递非对称性研究的进展，提出本文研究的出发点和切入点。首先，借鉴Pollard和Coughlin (2004)发展的模型，建立一个研究汇率不完全传递的非对称性的理论模型，给出汇率变动对进口价格传递的非对称性理论基础，为实证分析提供理论依据。分别从汇率变动的方向以及变动的幅度两方面解释汇率变动对进口价格传递的非对称性，认为厂商对市场份额的重视程度、本国生产的中间投入品和进口的中间投入品之间的转化成本、进口国对进口数量的约束以及本国的市场结构都会在一定程度上使得汇率变动对进口价格传递产生非对称性。实证结果表明，汇率变动对进口价格指数是不完全传递的，并且传递程度呈现出先降后升的U型结构。分别从我国的进口产品结构的变化以及通货膨胀环境两方面解释汇率传递效应变化的趋势。最后，通过引入虚拟变量研究汇率贬值和升值对进口价格指数的传递有何差异，发现汇率贬值的传递程度要高于升值时的传递程度。我国进口产品中资源密集型和资本密集型比重较大，进口替代性较小、对进口依赖较强，外国出口企业具有较强的话语权，因此，针对汇率贬值和升值会做出不同的调价策略。
2．近年来，外汇储备急剧增加，央行被迫发行了大量基础货币，加剧了市场流动性泛滥，进一步诱发通货膨胀。外加人民币升值预期，大量的热钱涌入我国，形成所谓的“输入性通货膨胀”效应。因此，需要在利率与汇率之间取得平衡，给出合理的治理通货膨胀的政策。国内对人民币汇率的传递效应研究较晚，主要集中讨论人民币汇率变动对进出口价格传递程度大小，较少考虑对消费者价格的传导过程。首先，本文进行理论分析指出，进口投入品和运输成本、分销成本等非贸易服务不同程度地降低了汇率变动对消费者价格的传递效应。然后，从汇率变动对价格传导的非线性入手，建立平滑转换(STR)模型来捕捉机制转换的时间动态特性。研究结果表明通货膨胀与自身滞后项、产出缺口、名义有效汇率和超额货币变化有关，名义有效汇率的变化对通货膨胀具有明显的非线性效应，人民币升值对通货膨胀并不具有抑制作用。
3.针对人民币汇率变动对我国外商直接投资流入的影响程度、作用机制，国内没有给出统一的结果。并且大多数研究都是针对汇率变动对总的FDI流入的影响，很少有研究根据投资者的需求把FDI分类研究。本文建立了汇率变动对市场导向型FDI和出口导向型FDI影响的两类理论模型，分析得出人民币升值能够促进市场导向型FDI的流入，阻碍出口导向型FDI的流入。在实证分析中，通过协整分析、Granger因果检验、脉冲响应等方法，研究了人民币实际有效汇率与总的FDI流入、市场导向型FDI流入和出口导向型FDI流入之间的相关性。研究结果表明，人民币升值促进市场导向型FDI的流入，但是阻碍出口导向型FDI的流入，对总的FDI流入的影响并不显著，可能是两种相反作用相互抵消的结果，同时表明一个国家的市场规模以及低廉的劳动力会吸引FDI的流入。因此，单一依靠人民币升值或者贬值来吸引FDI的流入是不能达到预期目标的，从长期考虑，唯有创造良好的市场环境、促进技术进步和提高劳动生产率才能吸引FDI的稳定流入，促进我国经济的内外部平衡发展。
4．以cpi和gdp作为度量货币政策实施后的检验变量，根据我国现有的汇率体制改革特征，选择实施有管理的浮动汇率制度时期的数据，运用BVAR方法建模，分析我国的货币政策对价格和产出的影响。得到以下主要结论：在有管理的浮动汇率制度下，中央人民银行通过改变货币供给量的变化实施货币政策的效果并不显著，这说明，在现有的汇率体制下，货币供给量这项货币政策的实施是达不到预期效果的，应该进一步的完善汇率制度，提高货币政策的透明度，降低公众面临政策的不确定性；贷款利率的滞后变化在BVAR模型中对物价和产出均有负的影响，这说明货币政策的“价格”作用大于“数量”作用。这种现象符合我国目前的货币政策改革方向，由货币数量调控转为利率引导。同时表明，人民币升值不能抑制物价上涨，贬值也不能显著促进总产出的增加，只有准确掌握汇率变动对价格水平的传递过程，才能制定出更加合理的货币政策，维持我国经济的内外部平衡发展。
As the degree of opening up continuously increases, the connection between Chineseeconomic growth and the economy of each country is closer. The exchange rate becomes the bondfor Chinese economy linking the economy of other countries. As the relative money price of twocountries, exchange rate fluctuation has influenced the changes in domestic price level so thatother macroeconomic variables are influenced through changing trade balance byexpenditure-switching effect. The exchange rate plays a vital role in maintaining internal andexternal balance of a country and thus becomes a core instrumental variable under open economicconditions. Since July21,2005, Central Bank announced to implement exchange rate systemreform, changing original exchange rate system keeping a close watch on single USD to apackage of managed floating exchange rate. This makes RMB exchange rate system to becomemore flexible and rich in flexibility. After this exchange rate system reform, RMB-USD exchangerate started to ceaselessly appreciate. But, China’s export does not fall as RMB exchange rateappreciates, and current-account trade surplus continues to increase, hitting a record highrepeatedly. Traditional macroeconomics can not offer a reasonable explanation for this economicphenomenon. The root cause lies in ignoring the fact that exchange rate fluctuation passes throughthe price level incompletely.
Foreign scholars paid attention to exchange rate pass-through early, so their relevantresearches are rich. The research contents develop to investigation of the factors influencing theeffects of exchange rate pass-through from initial examination of the pass-through degree ofexchange rate fluctuation to price level; the research perspectives change to macro-level includingselection of money of account, inflation environment and the scale of a country from micro-levelincluding industrial organization, market structure and price discrimination. Existing domesticliteratures mainly rest on examination of the pass-through degree of RMB change rate fluctuationto import price, producer price and consumer price. Few literatures comprehensively exploreincomplete pass-through, FDI and monetary policy effect of fluctuation in RMB rate. So, thispaper starts with incomplete exchange rate pass-through and studies the influences of exchangerate fluctuation on import price index, consumer price index, foreign direct investment andmonetary policy. The specific theoretical and empirical analysis is as follows:
Firstly, analyze theoretically the pass-through effect of exchange rate fluctuation on importprice level and propose the asymmetry in the process of exchange rate pass-through; summarizedomestic and overseas progress of studies on pass-through asymmetry of exchange ratefluctuation to import price level; put forward the starting point and entry point of this study.Firstly, the model developed by Pollard and Coughlin (2004) is used for reference to set up atheoretical model used to study the asymmetry of incomplete exchange rate pass-through. Theasymmetry theoretical base of exchange rate fluctuation on import price pass-through is providedto supply theoretical basis for empirical analysis. The asymmetry of import price pass-through isexplained from the direction and range of exchange rate fluctuation. It is considered that thedegree of manufacturers’ emphasis on market share, conversion cost between domesticintermediate input products and imported intermediate input products, the restraint of importingcountries on import quantity and domestic market structure will in some extent make exchangerate fluctuation cause asymmetry to import price pass-through. The empirical result showsexchange rate fluctuation passes through import price incompletely; the pass-through degreeshows U shape (first drop and then rise). The change trend of exchange rate pass-through effect isexplained in the aspects of inflation environment and the changes in imported product structurerespectively. Finally, it is found through introducing dummy variable to study the differences ofexchange rate depreciation and appreciation on import price index pass-through, the pass-throughdegree of exchange rate depreciation is higher than that of exchange rate appreciation. Theproportion of resource-intensive and capital-intensive imported products in China is large, withsmall import alternative and strong import dependence. Foreign export enterprises have strongspeaking right. Thus, different price adjustment policies will be made during exchange ratedepreciation and appreciation.
Secondly, in recent years, foreign exchange reserve has increased sharply. The Central Bankis forced to issue a great quantity of basic currency, which aggravates the flood of market liquidityand further induces inflation. Besides, due to RMB appreciation expectation, large quantities ofhot money swarm into China, forming so-called “imported inflation” effect. Therefore, it isnecessary to reach a balance between the interest rate and exchange rate and provide a reasonablepolicy to govern the inflation. Domestic researches on RMB exchange rate pass-through effectstarted late, mainly focused on discussions of the influences of RMB exchange rate fluctuation onimport and export price and less considered consumer price pass-through. Firstly, this paper pointsout through theoretical analysis that imported input products and non-trade services (includingtransport cost and distribution cost) reduce the pass-through effect of exchange rate fluctuation toconsumer price with different degrees. Then, starting from nonlinearity of exchange ratefluctuation to price transmission, this paper sets up STR model to seize time-dynamic characteristics of mechanism transformation. The research result shows inflation is related to thelagged variable, output gap, nominal effective exchange rate and excess money change; thechange in nominal effective exchange rate has significant nonlinear effect on inflation; RMBappreciation has no inhibition effect on inflation.
Thirdly, aiming at the degree of the influences of RMB exchange rate fluctuation on foreigndirect investment (FDI) in China and the mechanism of action, there is no unified resultdomestically. In addition, most researches aim at the influences of exchange rate fluctuation onoverall FDI inflow and few researches aim at FDI classification according to investors’ demands.This paper sets up two types of theoretical models about the influences of exchange ratefluctuation on market-oriented FDI and export-oriented FDI. Through analysis, the followingconclusion is gained: RMB appreciation can promote market-oriented FDI inflow and hinderexport-oriented FDI inflow. In empirical analysis, the correlation between RMB Real EffectiveExchange Rate and overall FDI inflow as well as between market-oriented FDI inflow andexport-oriented FDI inflow is analyzed through co-integration analysis, Granger causality test andimpulse response. The research results show RMB appreciation can promote market-oriented FDIinflow, but hinder export-oriented FDI inflow; the influence on overall FDI inflow is notsignificant; this maybe because two opposite effects offset mutually. Meanwhile, the results showthe market size and cheap labor force of a country will attract FDI inflow. So, the expectedobjective can not be reached through attracting FDI inflow only by depending on RMBappreciation or depreciation. In the long run, stable FDI inflow can be reached only throughcreating favorable marketing environment, promoting technical progress and raising laborproductivity so as to promote internal and external balanced development of the economy.
Fourthly, CPI and GDP serve as the test variables after implementation of monetary policymeasurement. According to the characteristics of existing exchange rate system reform, the dataduring managed floating exchange rate system are selected to analyze the influences of China’smonetary policy on the price and output by use of BVAR modeling. The main conclusions aredrawn as follows: under managed floating exchange rate system, the effects of the monetarypolicy implemented by Central Bank through changing monetary supply are not significant. Thisindicates under existing exchange rate system, implementation of monetary supply can not reachthe expected effects. It is required to further perfect exchange rate system, increase transparencyof monetary policy and reduce policy uncertainty faced by the public. Under existing exchangerate system, the lag of loan interest rate imposes negative influences on the price and output inBVAR model. This indicates “price” effect of monetary policy is greater than “quantity” effect.Such phenomenon complies with current monetary policy reform direction–changing to interestrate guidance from money quantity control. At the same time, the exchange rate appreciation can not curb rising prices, and the exchange rate depreciation also can not significantly promoteaddition of the total output. Only precisely knowing the moving process of the exchange raterelative to the price level, can we design a more reasonable monetary policy, and keep promotingthe internal and external development of our national economy.
国外学者关注汇率传递问题较早，因此，相关的研究文献比较丰富。研究内容从最初对汇率变动对价格水平传递程度的检验，发展到对影响汇率传递效果因素的考察；研究视角从产业组织、市场结构、价格歧视等微观层面转向计价货币的选择、通货膨胀环境、国家规模等宏观层面。而国内已有文献主要停留在检验人民币汇率变动对进口价格、生产者价格以及消费者价格的传递程度大小上，很少有文献全面探讨人民币汇率变动的不完全传递、FDI和货币政策效应。因此，本文从汇率不完全传递切入，分别研究汇率变动对进口价格指数、消费者价格指数、外商直接投资以及货币政策有效性的影响。具体的理论和实证分析如下：
1．从理论方面分析汇率变动对进口价格的传递效果，提出汇率传递过程中存在非对称性的问题。总结国内外针对汇率变动对进口价格传递非对称性研究的进展，提出本文研究的出发点和切入点。首先，借鉴Pollard和Coughlin (2004)发展的模型，建立一个研究汇率不完全传递的非对称性的理论模型，给出汇率变动对进口价格传递的非对称性理论基础，为实证分析提供理论依据。分别从汇率变动的方向以及变动的幅度两方面解释汇率变动对进口价格传递的非对称性，认为厂商对市场份额的重视程度、本国生产的中间投入品和进口的中间投入品之间的转化成本、进口国对进口数量的约束以及本国的市场结构都会在一定程度上使得汇率变动对进口价格传递产生非对称性。实证结果表明，汇率变动对进口价格指数是不完全传递的，并且传递程度呈现出先降后升的U型结构。分别从我国的进口产品结构的变化以及通货膨胀环境两方面解释汇率传递效应变化的趋势。最后，通过引入虚拟变量研究汇率贬值和升值对进口价格指数的传递有何差异，发现汇率贬值的传递程度要高于升值时的传递程度。我国进口产品中资源密集型和资本密集型比重较大，进口替代性较小、对进口依赖较强，外国出口企业具有较强的话语权，因此，针对汇率贬值和升值会做出不同的调价策略。
2．近年来，外汇储备急剧增加，央行被迫发行了大量基础货币，加剧了市场流动性泛滥，进一步诱发通货膨胀。外加人民币升值预期，大量的热钱涌入我国，形成所谓的“输入性通货膨胀”效应。因此，需要在利率与汇率之间取得平衡，给出合理的治理通货膨胀的政策。国内对人民币汇率的传递效应研究较晚，主要集中讨论人民币汇率变动对进出口价格传递程度大小，较少考虑对消费者价格的传导过程。首先，本文进行理论分析指出，进口投入品和运输成本、分销成本等非贸易服务不同程度地降低了汇率变动对消费者价格的传递效应。然后，从汇率变动对价格传导的非线性入手，建立平滑转换(STR)模型来捕捉机制转换的时间动态特性。研究结果表明通货膨胀与自身滞后项、产出缺口、名义有效汇率和超额货币变化有关，名义有效汇率的变化对通货膨胀具有明显的非线性效应，人民币升值对通货膨胀并不具有抑制作用。
3.针对人民币汇率变动对我国外商直接投资流入的影响程度、作用机制，国内没有给出统一的结果。并且大多数研究都是针对汇率变动对总的FDI流入的影响，很少有研究根据投资者的需求把FDI分类研究。本文建立了汇率变动对市场导向型FDI和出口导向型FDI影响的两类理论模型，分析得出人民币升值能够促进市场导向型FDI的流入，阻碍出口导向型FDI的流入。在实证分析中，通过协整分析、Granger因果检验、脉冲响应等方法，研究了人民币实际有效汇率与总的FDI流入、市场导向型FDI流入和出口导向型FDI流入之间的相关性。研究结果表明，人民币升值促进市场导向型FDI的流入，但是阻碍出口导向型FDI的流入，对总的FDI流入的影响并不显著，可能是两种相反作用相互抵消的结果，同时表明一个国家的市场规模以及低廉的劳动力会吸引FDI的流入。因此，单一依靠人民币升值或者贬值来吸引FDI的流入是不能达到预期目标的，从长期考虑，唯有创造良好的市场环境、促进技术进步和提高劳动生产率才能吸引FDI的稳定流入，促进我国经济的内外部平衡发展。
4．以cpi和gdp作为度量货币政策实施后的检验变量，根据我国现有的汇率体制改革特征，选择实施有管理的浮动汇率制度时期的数据，运用BVAR方法建模，分析我国的货币政策对价格和产出的影响。得到以下主要结论：在有管理的浮动汇率制度下，中央人民银行通过改变货币供给量的变化实施货币政策的效果并不显著，这说明，在现有的汇率体制下，货币供给量这项货币政策的实施是达不到预期效果的，应该进一步的完善汇率制度，提高货币政策的透明度，降低公众面临政策的不确定性；贷款利率的滞后变化在BVAR模型中对物价和产出均有负的影响，这说明货币政策的“价格”作用大于“数量”作用。这种现象符合我国目前的货币政策改革方向，由货币数量调控转为利率引导。同时表明，人民币升值不能抑制物价上涨，贬值也不能显著促进总产出的增加，只有准确掌握汇率变动对价格水平的传递过程，才能制定出更加合理的货币政策，维持我国经济的内外部平衡发展。
As the degree of opening up continuously increases, the connection between Chineseeconomic growth and the economy of each country is closer. The exchange rate becomes the bondfor Chinese economy linking the economy of other countries. As the relative money price of twocountries, exchange rate fluctuation has influenced the changes in domestic price level so thatother macroeconomic variables are influenced through changing trade balance byexpenditure-switching effect. The exchange rate plays a vital role in maintaining internal andexternal balance of a country and thus becomes a core instrumental variable under open economicconditions. Since July21,2005, Central Bank announced to implement exchange rate systemreform, changing original exchange rate system keeping a close watch on single USD to apackage of managed floating exchange rate. This makes RMB exchange rate system to becomemore flexible and rich in flexibility. After this exchange rate system reform, RMB-USD exchangerate started to ceaselessly appreciate. But, China’s export does not fall as RMB exchange rateappreciates, and current-account trade surplus continues to increase, hitting a record highrepeatedly. Traditional macroeconomics can not offer a reasonable explanation for this economicphenomenon. The root cause lies in ignoring the fact that exchange rate fluctuation passes throughthe price level incompletely.
Foreign scholars paid attention to exchange rate pass-through early, so their relevantresearches are rich. The research contents develop to investigation of the factors influencing theeffects of exchange rate pass-through from initial examination of the pass-through degree ofexchange rate fluctuation to price level; the research perspectives change to macro-level includingselection of money of account, inflation environment and the scale of a country from micro-levelincluding industrial organization, market structure and price discrimination. Existing domesticliteratures mainly rest on examination of the pass-through degree of RMB change rate fluctuationto import price, producer price and consumer price. Few literatures comprehensively exploreincomplete pass-through, FDI and monetary policy effect of fluctuation in RMB rate. So, thispaper starts with incomplete exchange rate pass-through and studies the influences of exchangerate fluctuation on import price index, consumer price index, foreign direct investment andmonetary policy. The specific theoretical and empirical analysis is as follows:
Firstly, analyze theoretically the pass-through effect of exchange rate fluctuation on importprice level and propose the asymmetry in the process of exchange rate pass-through; summarizedomestic and overseas progress of studies on pass-through asymmetry of exchange ratefluctuation to import price level; put forward the starting point and entry point of this study.Firstly, the model developed by Pollard and Coughlin (2004) is used for reference to set up atheoretical model used to study the asymmetry of incomplete exchange rate pass-through. Theasymmetry theoretical base of exchange rate fluctuation on import price pass-through is providedto supply theoretical basis for empirical analysis. The asymmetry of import price pass-through isexplained from the direction and range of exchange rate fluctuation. It is considered that thedegree of manufacturers’ emphasis on market share, conversion cost between domesticintermediate input products and imported intermediate input products, the restraint of importingcountries on import quantity and domestic market structure will in some extent make exchangerate fluctuation cause asymmetry to import price pass-through. The empirical result showsexchange rate fluctuation passes through import price incompletely; the pass-through degreeshows U shape (first drop and then rise). The change trend of exchange rate pass-through effect isexplained in the aspects of inflation environment and the changes in imported product structurerespectively. Finally, it is found through introducing dummy variable to study the differences ofexchange rate depreciation and appreciation on import price index pass-through, the pass-throughdegree of exchange rate depreciation is higher than that of exchange rate appreciation. Theproportion of resource-intensive and capital-intensive imported products in China is large, withsmall import alternative and strong import dependence. Foreign export enterprises have strongspeaking right. Thus, different price adjustment policies will be made during exchange ratedepreciation and appreciation.
Secondly, in recent years, foreign exchange reserve has increased sharply. The Central Bankis forced to issue a great quantity of basic currency, which aggravates the flood of market liquidityand further induces inflation. Besides, due to RMB appreciation expectation, large quantities ofhot money swarm into China, forming so-called “imported inflation” effect. Therefore, it isnecessary to reach a balance between the interest rate and exchange rate and provide a reasonablepolicy to govern the inflation. Domestic researches on RMB exchange rate pass-through effectstarted late, mainly focused on discussions of the influences of RMB exchange rate fluctuation onimport and export price and less considered consumer price pass-through. Firstly, this paper pointsout through theoretical analysis that imported input products and non-trade services (includingtransport cost and distribution cost) reduce the pass-through effect of exchange rate fluctuation toconsumer price with different degrees. Then, starting from nonlinearity of exchange ratefluctuation to price transmission, this paper sets up STR model to seize time-dynamic characteristics of mechanism transformation. The research result shows inflation is related to thelagged variable, output gap, nominal effective exchange rate and excess money change; thechange in nominal effective exchange rate has significant nonlinear effect on inflation; RMBappreciation has no inhibition effect on inflation.
Thirdly, aiming at the degree of the influences of RMB exchange rate fluctuation on foreigndirect investment (FDI) in China and the mechanism of action, there is no unified resultdomestically. In addition, most researches aim at the influences of exchange rate fluctuation onoverall FDI inflow and few researches aim at FDI classification according to investors’ demands.This paper sets up two types of theoretical models about the influences of exchange ratefluctuation on market-oriented FDI and export-oriented FDI. Through analysis, the followingconclusion is gained: RMB appreciation can promote market-oriented FDI inflow and hinderexport-oriented FDI inflow. In empirical analysis, the correlation between RMB Real EffectiveExchange Rate and overall FDI inflow as well as between market-oriented FDI inflow andexport-oriented FDI inflow is analyzed through co-integration analysis, Granger causality test andimpulse response. The research results show RMB appreciation can promote market-oriented FDIinflow, but hinder export-oriented FDI inflow; the influence on overall FDI inflow is notsignificant; this maybe because two opposite effects offset mutually. Meanwhile, the results showthe market size and cheap labor force of a country will attract FDI inflow. So, the expectedobjective can not be reached through attracting FDI inflow only by depending on RMBappreciation or depreciation. In the long run, stable FDI inflow can be reached only throughcreating favorable marketing environment, promoting technical progress and raising laborproductivity so as to promote internal and external balanced development of the economy.
Fourthly, CPI and GDP serve as the test variables after implementation of monetary policymeasurement. According to the characteristics of existing exchange rate system reform, the dataduring managed floating exchange rate system are selected to analyze the influences of China’smonetary policy on the price and output by use of BVAR modeling. The main conclusions aredrawn as follows: under managed floating exchange rate system, the effects of the monetarypolicy implemented by Central Bank through changing monetary supply are not significant. Thisindicates under existing exchange rate system, implementation of monetary supply can not reachthe expected effects. It is required to further perfect exchange rate system, increase transparencyof monetary policy and reduce policy uncertainty faced by the public. Under existing exchangerate system, the lag of loan interest rate imposes negative influences on the price and output inBVAR model. This indicates “price” effect of monetary policy is greater than “quantity” effect.Such phenomenon complies with current monetary policy reform direction–changing to interestrate guidance from money quantity control. At the same time, the exchange rate appreciation can not curb rising prices, and the exchange rate depreciation also can not significantly promoteaddition of the total output. Only precisely knowing the moving process of the exchange raterelative to the price level, can we design a more reasonable monetary policy, and keep promotingthe internal and external development of our national economy.
引文
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