关键词: 人民币汇率, 汇率传递, 物价, 向量自回归

Abstract: In order to investigate whether RMB exchange rate pass-through into multiple price indices is smooth, this paper firstly employs VAR to establish five-variable baseline model including supply shocks, demand shocks, money shocks, exchange rate shocks and certain single price shocks. The results show that the exchange rate pass-through into single price is smooth. Therefore, it is appropriate to carry out the research on exchange rate pass-through into multiple prices in line with pricing chain. This paper takes the eight-variable expanded model as the best according to the test results. Through impulse response functions of baseline and expanded models, it can be concluded that effects of exchange rate pass-through are reduced along the pricing chain. From the variance decomposition of expanded model, it can be found that the monetary factor changes contribute larger than other factors to CPI, meanwhile, the explanation of exchange rate change is small. Finally, this paper proposes that China should not curb prices through RMB appreciation, but reduce money supply and control imported inflation.

Key words: Exchange Rate of RMB, Exchange Rate Pass-through, Price, VAR