中文摘要：

自2005年人民币汇率制度改革以来,汇率波动的幅度逐渐扩大,其对宏观经济的影响因此而愈加显著。以国内商品价格和资产价格所表征的价格变量为着眼点,首先从不同的渠道就汇率变动影响价格的传导机制进行了理论分析,同时构建了人民币汇率影响物价以及资产价格的向量自回归模型,并进一步采用脉冲响应函数对此进行了冲击分析,以检验人民币汇率影响价格的传导路径。研究结果显示,汇率对商品价格和资产价格的影响周期较长,但传导不完全,因此,汇率变动对国内价格的影响具有很强的滞后效应;人民币汇率对商品价格的影响从长期来看较为显著,但对房地产价格和股票价格的影响则存有差异。

英文摘要：

Since the RMB exchange rate system reform in 2005, the exchange rate volatility is gradually expanded and its impact on macroeconomic therefore becomes even more significant. This study focuses on the domestic commodity prices and asset prices. At first, a theoretical analysis is provided on the different channels through which the exchange rate changes affect the prices and a vector auto regression model is built to show how the RMB exchange rates affect the price and the assets prices. Further, the impulse response function is applied to conduct the impact analysis and to examine the conduction path of how the RMB exchange rates affect prices. The main conclusions show that： the effect of the exchange rate on commodity prices and asset prices lasts longer but the transmission is not complete; therefore, the impact of exchange rate changes on domestic prices has a strong hysteresis effect; the impact of RMB exchange rate on commodity prices is more significant in the long run, but the impact is different on real estate prices and stock prices.