| 基于VAR模型的通货膨胀率与实际有效汇率关系的实证分析——汇改后数据的再检验 |
| |
| 引用本文： | 陈晓燕,江可申,李友普.基于VAR模型的通货膨胀率与实际有效汇率关系的实证分析——汇改后数据的再检验[J].数学的实践与认识,2014(12). |
| |
| 作者姓名： | 陈晓燕 江可申 李友普 |
| |
| 作者单位： | 南京航空航天大学经济与管理学院;中国人民银行镇江市中心支行; |
| |
| 摘 要： | 利用汇改后的数据2005年07月至2012年05月的数据,基于VAR模型实证分析了通货膨胀率与实际有效汇率的关系,实证结果表明,两者互为格兰杰因果关系,长期存在协整关系,实际有效汇率对通货膨胀率有正向的推动作用,说明通过实际有效汇率升值来抑制通货膨胀率的效果并不明显.
|
| 关 键 词： | 通货膨胀率 实际有效汇率 VAR模型 协整 |
Empirical Study on the Relationship Between Inflation and Effective Exchange Rate——Based on the monthly dataafter the exchange rate reform |
| |
| Abstract: | The appreciation of RMB corresponding with the CPI stays high level after the exchange rate reform in 2005.We use VAR model and the data from 200507 to 201205 to investigate the relationship between CPI and REER empirically.The results show that CPI granger causes REER and REER also granger causes CPI.And there is one cointegration relationship between CPI and REER.In other words,the appreciation of RMB has little effect on decreasing CPI;on the opposite,the appreciation of RMB pushed up the CPI under the strong exception of RMB's appreciation. |
| |
| Keywords: | CPI real effective exchange rate VAR model cointegration |
| 本文献已被 CNKI 等数据库收录！ |
