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汇率传递的实质即汇率波动时的商品价格变动,对居民消费决策和总体物价水平有着重要影响,而这一作用机制又可能受到宏观经济环境的影响。本文结合1996年1月至2014年12月的月度数据,基于门限向量自回归模型,以居民消费价格指数等为衡量变量,实证性地探讨了不同经济增长状态下,汇率变动对消费物价变动的影响及其作用机制。实证研究发现,不同增长情景下汇率变动对消费物价变动的影响呈非线性形态:在高经济增长状态中变弱,而在低经济增长状态中则增强。此外,研究还发现经济增长状态在一定程度上也可以解释汇率变动对消费物价变动的动态影响。
The essence of exchange rate transfer, that is, the change of commodity prices when the exchange rate fluctuates, has an important influence on the household consumption decision and the overall price level, and this mechanism may be affected by the macroeconomic environment. This paper, based on the monthly data from January 1996 to December 2014, based on the threshold vector autoregressive model and the consumer price index as variables, explores empirically the impact of exchange rate changes on consumer price changes under different economic growth conditions Impact and its mechanism of action. Empirical studies show that the impact of exchange rate changes on consumer price movements is nonlinear in different growth scenarios: weakened in high economic growth and increased in low economic growth. In addition, the study also found that the state of economic growth to a certain extent, can also explain the dynamic impact of changes in exchange rates on consumer price movements.