通胀国际传递的动态关系研究——兼论中国汇率的“通胀屏蔽功能”

Journal of Financial Research

2016, Vol. 432

Issue (6): 1-17 DOI:

Current Issue | Archive | Adv Search

A Dynamic Investigation on the International Transmission of Inflation:Assessing the Inflation-insulating Properties of Chinese Exchange Rate

YANG Zihui, LI Guangzhong, ZHANG Ning

Lingnan College / Institute of Economics Research/ Business School, Sun Yat-Sen University;
Department of Economics/Institute of Resource, Environment and Sustainable Development, Jinan University

Abstract
Figure/Table
References
Related Citation (0)

Download:

PDF (1911KB)
Export: BibTeX | EndNote (RIS)

Abstract Based on the more recently developed technique of out-of-sample tests for Granger causality (McCracken, 2007), this paper investigates systematically the exported and imported characteristics of Chinese inflation. We also employ the technique of rolling impulse response analysis (Yang et al., 2006a) to investigate the role of China in international transmission of price and external imported feature of China’s inflation under different exchange rate regimes. We show that inflation in China exhibits external imported feature and China’s new exchange rate regime introduced in 2005 do not insulate the domestic price levels from foreign inflation shocks. Finally, we put forward to some advice to keep the price stability.

Key words： Insulation of Inflation Out-of-Sample Tests for Granger Causality Rolling Generalized Impulse Response Analysis

Received: 10 November 2015 Published: 13 April 2018

JEL分类号:	E31
	F41

	Service
	E-mail this article
	Add to my bookshelf
	Add to citation manager
	E-mail Alert
	RSS
	Articles by authors
	YANG Zihui
	LI Guangzhong
	ZHANG Ning

Cite this article:

YANG Zihui,LI Guangzhong,ZHANG Ning. A Dynamic Investigation on the International Transmission of Inflation:Assessing the Inflation-insulating Properties of Chinese Exchange Rate[J]. Journal of Financial Research, 2016, 432(6): 1-17.

URL:

http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2016/V432/I6/1

[1]	林伟斌和王艺明,2009,《汇率决定与央行干预——1994~ 2005年的人民币汇率决定研究》,《管理世界》第7期,第67~76页。
[2]	杨子晖,2008,《财政政策与货币政策对私人投资的影响研究——基于有向无环图的应用分析》,《经济研究》第5期,第81~93页。
[3]	杨子晖、赵永亮和柳建华,2013,《CPI 与PPI 传导机制的非线性研究:正向传导还是反向倒逼？》,《经济研究》第3期,第37~58页。
[4]	郑挺国和王霞,2011,《泰勒规则的实时分析及我国货币政策的适用性》,《金融研究》第8期,第31~46页。
[5]	Chen, S. 2005. “A Note on In-Sample and Out-of-Sample Tests for Granger Causality.” Journal of Forecasting, 24: 453~464.
[6]	Clark TE. and McCracken MW. 2001. “Tests of Equal Forecast Accuracy and Encompassing for Nested Models.” Journal of Econometrics, 105:85~110.
[7]	Clark, H., Higgins, M. and Yi, K. 2003. “The Chinese Juggernaut: How Has it Affected the World Economy.” Presentation at Federal Reserve Bank of New York, March 17.
[8]	Eun, C.S. and Jeong, J. 1999. “International Price Level Linkages: Evidence from the post-Bretton Woods Era.” Pacific-Basin Finance Journal, 7:331~349.
[9]	Friedman, M. 1953. “The Case for Flexible Exchange Rates.” in Essays in Positive Economics University of Chicago, pp. 157~201.
[10]	Ghosh, Atish R., Gulde, Anne-Marie, Ostry, Jonathan D., and Wolf, Holger C. 1997. “Does the Nominal Exchange Rate Regime Matter?.” National Bureau of Economic Research, Working Paper No.5874, Cambridge: NBER.
[11]	Harvey D., Leybourne S. and Newbold P. 1998. “Tests for Forecast Encompassing.” Journal of Business and Economic Statistics, 16:254~259.
[12]	Jeong, J., Fanara, P. and Mahone, C. 2002. “Intra and Inter Continental Transmission of Inflation in Africa.” Applied Financial Economics, 12:731~741.
[13]	Jeong, Jin-Gil and Youngho Lee. 2001. “International Transmission of Inflation Under Alternative Exchange Rate Regimes: Empirical Evidence and Its Implications.” Global Finance Journal, 12:121~37.
[14]	McCracken M. 2007. “Asymptotics for Out-Of-Sample Tests of Causality.” Journal of Econometrics, 140:719~752.
[15]	Ng, S. and Perron, P. 2001. “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power.” Econometrica, 69:1529~1554.
[16]	Noland, M. and Posen, A. 2002. “The Scapegoats for Japanese Deflation.” Financial Times, December 5.
[17]	Pesaran, M. H. and Shin,Y. 1998. “Generalized Impulse Response Analysis in Linear Multivariate Models.” Economics Letters, 58:17~29.
[18]	Wang, Z. 2010. “Dynamics and Causality in Industry-Specific Volatility.” Journal of Banking & Finance, 34, pp.1688~99.
[19]	Winer, Stanley L. 1986. “The Role of Exchange Rate Flexibility in the International Transmission of Inflation in Long and Shorter Runs: Canada, 1953 to 1981.” Canadian Journal of Economics:62~86.
[20]	Yang, J., Guo, H. and Wang, Z. 2006b. “International Transmission of Inflation among G-7 Countries: A Data-determined VAR Analysis.” Journal of Banking & Finance, 30:2681~2700.
[21]	Yang, J., Hsiao, C., Li, Q. and Wang, Z., 2006a, “The Emerging Market Crisis and Stock Market Linkages: Further Evidence.” Journal of Applied Econometrics, 21:727~744.