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本文运用VAR模型估算了人民币有效汇率变动对山东省工业品出厂价格指数和消费价格指数的传递效应。结果表明,人民币有效汇率变动对于山东省价格指数的冲击程度很小,且对山东省消费价格水平的冲击程度低于全国水平,但传递速度高于全国水平。结论是,人民币汇率对山东省价格的传递效应不完全,不存在“支出转换”效应;影响山东省消费价格指数的主要金融因素仍是货币供应量。
In this paper, the VAR model is used to estimate the effect of the change of the RMB effective exchange rate on the ex-factory price index and consumer price index of industrial products in Shandong Province. The result shows that the impact of the change of RMB effective exchange rate on the price index in Shandong Province is very small, and the impact on the consumer price level in Shandong Province is lower than the national level, but the transmission speed is higher than the national level. The conclusion is that the effect of RMB exchange rate on the price of Shandong Province is incomplete and does not have the effect of “expenditure conversion.” The main financial factor affecting Shandong consumer price index is still the money supply.