汇率变动对国内消费者价格传递效应的中俄比较

摘要

基于向量误差修正模型（VECM）实证分析中俄两国本币对美元汇率的变动对国内价格（CPI）的影响，研究发现：中俄两国本币对美元汇率变动对本国国内价格的传递效应存在若干共性和差异性。共性主要表现在两个方面，一是汇率传递的不完全性；二是汇率对国内价格传递程度的绝对值相差无几。差异性方面，一是俄罗斯的汇率传递效应具有明显的非对称性；二是，汇率之外的影响国内价格的因素里面中国受国际价格影响较大，俄罗斯受国内货币供给影响较大。研究结果对判定两国应对外部汇率冲击时的表现、内在机制及其变化趋势具有重要意义，有利于分析两国在2008年金融危机之后推进本币国际化战略过程中遇到的人民币和卢布的竞争与合作问题。%Based on vector error correction model (VECM)empirical analysis of the effect of changes in the Chinese and Russian currency against the dollar on domestic prices (CPI),the study finds:There are several similarities and differences between Chinese and Russian currency exchange rate movements against the dollar pass-through effect on its domestic prices.Similarities can be summarized as two aspects,one is incomplete transfer effect of exchange rate,the other is that the transfer rate on domestic prices remains almost the same degree of ab-solute value.Differences can also be generalized as two points:firstly,Russia's exchange rate pass-through effect has obvious asymmetry;secondly,Chinese domestic prices are influenced greatly by international prices,while Russian domestic prices are influenced severely by the domestic money supply.These results are beneficial to the judgment of external shocks of exchange rate and the internal mechanism and its trends for both countries,contrib-uting to the further research on RMB internationalization strategies and processed competition and cooperation with Russia especially after the 2008 financial crisis.