人民币汇率变动对中国农产品价格的动态传递效应分析——基于TVP-VAR模型

Dynamic pass-through effects of RMB exchange rate on China's agricultural products price: Based on TVP-VAR model

关键词:  人民币汇率  农产品价格  动态传递  TVP-VAR模型  时变特征

Key words:  RMB exchange rate  agricultural product price  dynamic pass-through effects  TVP-VAR model  time varying characteristics

摘要:

为探索人民币汇率变动对中国农产品价格的动态影响，基于1999年1月-2017年2月的相关数据，采用时变参数向量自回归（TVP-VAR）模型分析了人民币汇率变动对中国农产品进口价格、生产价格和消费价格的动态传递效应。结果表明：人民币汇率变动对农产品价格的传递效应具有明显的时变特征；人民币汇率对农产品进口价格、农产品生产价格和农产品消费价格传递效应存在显著差异，其中，对农产品进口价格的传递效应最大，其次是对农产品生产价格的传递效应，对农产品消费价格的传递效应最小；从长期来看，1999年以来人民币汇率对农产品进口价格和农产品生产价格的传递效应总体呈波动增加态势，而对农产品消费价格的传递效应呈先增后降的态势；不同汇率制度改革时期人民币汇率变动对农产品价格的传递效应存在明显差异。

Abstract:

To explore the dynamic effect of RMB exchange rate change on China's agricultural product price, this study analyzed the effects by time varying parameter vector auto regression (TVP-VAR) model based on the data from January 1999 to February 2017. The results showed that the change of RMB exchange rate pass through effect on the price of agricultural products had obvious time-varying characteristics. There were significant differences in the pass-through effect of RMB exchange rate on agricultural products. The pass-through effects on import prices of agricultural products were high. The pass-through effects on the production of agricultural products prices and consumer prices were relatively small. In the long term, the RMB exchange rate pass-through effects on the import of agricultural products prices and agricultural products prices were increasing since 1999. The effect of RMB exchange rate on the consumption price of agricultural products was increased firstly and then decreased. There were significant differences in the effect of RMB exchange rate changes on the price of agricultural products during different exchange rate system reform stages.