The Pass-Through of RMB Nominal Effective Exchange Rate Changes into CPI Inflation

内容提要：本文采用两阶段最小二乘法（TSLS）对1994Q1-2011Q1期间人民币名义有效汇率变动对中国CPI通货膨胀的传递效应进行了实证研究。文章发现，在控制了通胀惯性、实质GDP增长、国际能源和食品涨价、流动性过剩等影响CPI通货膨胀的重要因素后，人民币名义有效汇率变动对中国通货膨胀的影响非常有限，并且以半年前的变动对当期通货膨胀的影响最大，不过幅度非常小：假定其它不变的情况下，人民币名义有效汇率升值10%，CPI衡量的通货膨胀将下降不到1个百分点。在考虑了2005年7.21汇率形成机制改革的影响后，上述结论仍然成立。This paper employs the Two Stage Least Square (TSLS) to investigate the pass-through of RMB nominal effective exchange rate (NEER) into China's CPI inflation during the period 1994Q1-2011Q1. It is found that after controlling for the major determinants of the China's CPI inflation, the effect of RMB NEER changes on CPI inflation is very limited, and the biggest effect is from the second lag of NEER change, however, the magnitude is very small: Keep other things equal, if RMB NEER appreciates 10%, the CPI inflation will be lowered less than 1%. Considering the effect of RMB exchange rate formation mechanism reform taking place on July 21, 2005, the conclusion still holds. And the results are robust to real effective exchange rate