Retrospect of the Chinese Exchange Rate Regime after Reform： Stylized Facts during the Period from 2005 to 2010

In the present paper, we estimate the de facto RMB exchange rate regime, the currency basket, the floating band and the foreign exchange market pressure before and after the reform of the Chinese exchange rate regime in 2005. We find the following stylized facts： the value of the RAIB became stable after the reform; the weight of the US dollar remained high in the basket, while other currencies remained statistically significant; and the floating band gradually increased to lO percent during 2005-2008, and then greatly narrowed from the late summer of 2008 under the assumption of a yearly resetting interval. We find that the foreign exchange market pressure increased from 2005 to 2008. A possible reason is that the weight of the US dollar in the basket was slightly lower than the share of the US dollar in total transactions on the Chinese foreign exchange market. Therefore, it is reasonable for China to adopt a dollar peg exchange rate regime.     

Industry-specific Real Effective Exchange Rate for China： 2000-2009

This paper measures the industry-specific real effective exchange rate （REER） for China by matching domestic and foreign industry-level price and trade data series. We find that after 2005 the REER appreciates more in the ＂chemical, plastics, rubber and fuels industry＂ and the ＂＇machinery and equipment industry,＂ but remains roughly constant or even depreciates in other industries. The nominal exchange rate generally accounts for over 50 percent of the aggregate real effective exchange rate JTuetuations, but this conclusion does not apply to three of nine industries. We apply the industry-specific REER to re-examine the relationship between the exchange rate and trade, and find that the industry-specific REER index performs better than the traditional aggregate REER index. We recommend that the Chinese Government officially adopt industry-specific exchange rates instead of using the aggregate effective exchange rates to evaluate the competitiveness of Chinese industries in the international market.     

Exchange Rate Pass-through in China

During the second half of 2007 and early part of 2008 when there were intense inflationary pressures in China, RMB appreciation was advocated as a means of helping to curb inflation. The effectiveness of appreciation in controlling inflation depends on the impact of exchange rate movements on import and domestic prices. Our analysis finds fairly large and speedy exchange rate pass-through （ERPT） to import prices： 50 and 60percent for the short run and long run, respectively. However, the degree of ERPT decreases along the price chain from upstream to downstream prices. ERPT for consumer prices, the most downstream prices, is much milder and has substantial lags. A 10-percent rise in the nominal effective exchange rate will dampen consumer prices by 1.1 percent within a year, with very little pass-through in the first half year, and by 2.0percent over the long run. These findings, particularly the ERPT to consumer prices, suggest that RMB appreciation can help to reduce inflationary pressures over the longer term. However, it is unlikely to provide rapid relief to the current round of high inflation because of the long lags in ERPZ. The RMB needs to strengthen in effective terms to exert the desired dampening impact on prices.     

Pass-through Effects of Global Commodity Prices on China＇s Inflation： An Empirical Investigation

The present paper uses a two-step approach to estimate the pass-through effects of changes in international commodity prices and the RMB exchange rate on domestic consumer price inflation in China. We first estimate the pass-through effects of international commodity prices on producer prices and then estimate the pass-through effects of producer price inflation on consumer price inflation. We find that a l O-percent increase in international commodity prices would lead to China＇ s producer prices increasing by 1.2 percent 3 months later, which in turn would increase China＇ s domestic inflation by 0.24 percent over the same period. However, a 10-percent appreciation of the RMB exchange rate against the US dollar would help to reduce increases in producer prices by 4.4 percent over the following 3 months, which in turn would lead to a 0. 89-percent decline in consumer price inflation over the same period. Our findings suggest that appreciation of the RMB in an environment of rising global commodity prices and a weak US dollar could be an effective instrument to help contain inflation in China.     

RMB Exchange Market Pressure and Central Bank Exchange Market Intervention

The present paper uses the model-dependent and the modeL independent approach to measure the RMB exchange market pressure （EMP） and the central bank＇s intervention using monthly data from January 1999 to June 2008. It is determined that the RMB has been under great appreciation pressure over the past decade. However, the pressure has been weakening since 2005. The two approaches provide significantly different results in terms of the estimated RMB EMP indices and the estimated central bank＇s interventions. The differences may lead to different predietions of potential currency crises. According to the estimation of the RMB EMP, and based on the model-independent approach, the paper shows that China has been under threat of an appreciation currency crisis since 2008. Therefore, China should adopt a moreflexible exchange rate regime to prevent a potential crisis.     

The RMB/US Dollar Exchange Rate——An International Political Economy Perspective

I. IntroductionOn July 21, 2005, China unexpectedly appreciated the RMB by 2 percent, and declared themoving of the RMB exchang rate regime into a managed floating regime, with reference toa basket of currencies. This brought respite to the long, ongoing debate over RMB’sappreciation. Due to the fact that the exchange rate is always considered a technical matter,best left to economists to handle, the mainstream approach of the RMB discussion is theeconomic approach. Although reviewing d…     

What Exchange Rate Regime Should China Follow

Exchange rate policy is one of the most important macroeconomic policy challenges for developing countries such as China. Should China continue to maintain a fixed exchange rate of the Chinese currency the Renminbi （RMB）, or should the exchange rate become more flexible？ The author argues that China should not apply extreme forms of fixed or floating exchange rare regimes, but should consider a crawling band intermediate exchange regime.     

Profitability and Productivity of the Chinese Textile Industry

This paper considers the cost structure, profitability and productivity of the Chinese textile industry and estimates the impacts of RMB appreciation on this industry. Using data for 1999-2006, we found that the industry has suffered from very low profit margins and returns on capital. Because input prices have been increasing, particularly since 2001, generating profits has become more difficult for the industry. Nevertheless, the industry achieved substantial productivity growth over the period examined. Although at an inadequate level the proJ~tability of the industry did show some signs of improvement. As long as this trend continues, the industry could obtain a decent level of profitability. Since 2005, however, the industry has faced a new challenge： the appreciation of the RMB. Based on 2006 data, we estimated the maximum rate of RMB appreciation that the industry would be able to sustain to be approximately 5percent a year.     

On China’s Exchange Rate Flexibility and Stability: The More Flexible against the U.S. Dollar, the More Stable in Effective Terms

I. IntroductionFor many years, the Chinese authorities have often expressed their appreciation for the merits of a flexible exchange rate regime for China and their willingness to make the exchange rate of the renminbi, China’s national currency, be determined by market forces. 1 In the same breath, however, they also stressed the importance of a “stable exchange rate” forChina, although it is not clear what the authorities meant by a “stable exchange rate.” (The People’s bank of Chin…     

Business Cycle in China since the Lehman Crisis： Interaction among Macroeconomic Policy,Economic Growth and Inflation

The major objectives of China＇s macroeconomic policy are to stabilize economic growth and inflation, which, in turn, are important factors determining key prices, such as the policy interest rate, the renminbi exchange rate and stockprices. In a framework that distinguishes different phases of the business cycle based on whether the current period＇s economic growth rate and inflation rate are above or below their ＂＇normal＂ values, this paper analyzes the interaction among macroeconomic policy, economic growth and inflation in China since the Lehman crisis, and the implications for these key prices. The path of China＇s economy indicates that stimulus measures taken by the government during the recession phase and tightening measures implemented during the overheating phase have helped minimize the fluctuation over the business cycle. Our analysis shows that Chinese authorities tend to rely more on adjusting the exchange rate than the interest rate to stabilize the economy. Comparing with conditions at the time of the post-Lehman recession, the current slowpace of economie growth in China may reflect not only weakening demand, but also a lowerpotential growth rate associated with the arrival of the Lewis turning point.     

我国出口汇率传递的非对称性:来自中日贸易的证据

文章扩展了Yang（2007）的厂商定价模型，对汇率传递非对称性、特点和成立条件进行理论分析，发现对称传递需要满足严格的条件，而现实中更常见的是非对称汇率传递。在一定条件下，商品需求弹性越大，越可能呈现出口国货币贬值传递率高而升值传递率低的特点。利用2000年1月至2011年12月我国出口日本的966种商品价格数据，发现汇率波动向价格传递具有非对称性：（1）人民币升值时，日元价格上涨较少；而贬值时，价格下降较多。我国出口商品的需求弹性较大，在日本市场上面对的是一个强竞争结构。（2）若月度升值超过一定幅度（测算约为2.43%），传递率又会有所上升，说明尽管日元价格易跌难涨，但在升值导致成本上涨较多、明显挤压利润时，厂商不得不适当提高日元售价。采用2000年至2018年9月日本从中国进口单位价值指数进行稳健性检验，得出类似结论。现阶段稳定的人民币名义汇率对我国出口企业是更为有利的。     

人民币汇率变动对中欧出口价格的传递效应

本文探讨了人民币升值对向欧元区出口价格的汇率传递效应及其对中欧贸易顺差的调节作用。作者利用1999年1月至2006年12月的月度数据,在SITC一位数商品分类层面上,考察了人民币/欧元汇率变动对中国向欧元区出口价格的影响。实证结果显示,不同类商品的出口价格汇率传递弹性存在较大差异,汇率变动引起中国向欧元区出口价格较大幅度的调整,人民币升值对占中欧出口总额一半以上的第6类和第7类商品出口没有抑制作用。因此,人民币升值对中欧贸易顺差的调节作用有限。     

人民币汇率对进出口贸易的影响研究——基于汇改前后的比较分析

本文运用Johansen协整方法对不同汇率制度环境下人民币汇率对我国进出口贸易的影响效应进行了比较分析,发现汇改前,无论是进口额还是出口额,均与人民币汇率不存在长期均衡关系,而汇改后的出口额却与人民币汇率存在显著的长期协整关系,且人民币汇率升值对出口的抑制效应非常显著。这意味着在研究人民币汇率对进出口贸易的影响效应时尤其不能忽略不同汇率制度环境的影响,所反映的政策含义表明政府当局在制定汇率制度时要保持审慎的态度,以避免人民币升值过快引起对我国出口的抑制效应。     

The Impact of Korea's Exchange Rate Volatility on Korean Trade

This study uses a GARCH-in-mean model to analyse the impact of Korea's nominal exchange rate volatility on exports and export prices over the current flexible-rate period. The volatility of Korea's won increases the exchange risk of exporters and leads to changes in export volume and price. This paper provides some evidence that nominal exchange rate volatility has had a statistically significant impact on real exports over the current floating-rate period. We show that persistence-in-variance of exchange rates affects the market for exports in Korea. An important result is that the effect of exchange rate volatility on trade variables is shown to be significant. We find that the GARCH conditional variance has a statistically significant impact on the reduced form equations. The magnitude of the effect is generally stronger for export quantities than prices. This result is contradicts that of Kroner and Lastrapes's analysis. This is explained by the fact that Korean exporters choose the strategy of pricing to maintain market share instead of adjusting export prices to reflect exchange rate changes, even when this cuts profit margins.     

The Impact of Korea's Exchange Rate Volatility on Korean Trade

This study uses a GARCH-in-mean model to analyse the impact of Korea's nominal exchange rate volatility on exports and export prices over the current flexible-rate period. The volatility of Korea's won increases the exchange risk of exporters and leads to changes in export volume and price. This paper provides some evidence that nominal exchange rate volatility has had a statistically significant impact on real exports over the current floating-rate period. We show that persistence-in-variance of exchange rates affects the market for exports in Korea. An important result is that the effect of exchange rate volatility on trade variables is shown to be significant. We find that the GARCH conditional variance has a statistically significant impact on the reduced form equations. The magnitude of the effect is generally stronger for export quantities than prices. This result is contradicts that of Kroner and Lastrapes's analysis. This is explained by the fact that Korean exporters choose the strategy of pricing to maintain market share instead of adjusting export prices to reflect exchange rate changes, even when this cuts profit margins.     

Exchange rates and the trade balance: the case of Singapore 1970 to 1996

The purpose of this paper is to examine the relationship between the real trade balance and the real exchange rate for bilateral trade in merchandise goods between Singapore and the USA on a quarterly basis over the period 1970 to 1996 using the partial reduced form model of Rose and Yellen (1989). We also hope to shed further light on what has become known as the ‘Singapore export puzzle’: the observation that, despite periods of rapid nominal and real appreciation of the Singapore dollar, export growth in aggregate has remained buoyant.Our findings suggest that the real exchange rate does not have a significant impact on the real bilateral trade balance for Singapore and the USA, thus confirming previous work which finds a weak relationship between changes in the exchange rate and changes in export and import prices and volumes for Singapore. We also found little evidence of a J-curve effect. Although positive coefficients linking real exports with lagged values of the real exchange rate might be indicative of ‘small country’ pricing by exporters in U.S. dollars, it is not clear that this is masking J-curve effects from an initial rise in import values as the home currency depreciates.     

牛、熊市状况下人民币汇率与股价关系分析

文章分析了2005年7月人民币汇率改革以后牛熊市下人民币汇率和股票价格的关系,本文发现,在牛市期间,汇率和股票指数在滞后一期上是互为Granger因果关系的,在其余的各滞后期,汇率都是股票指数的Granger原因,而股票指数都不是汇率变动的Granger原因。从两者的互相影响的关系上看,两者在一定程度上互相影响,但是汇率变化对股指变化的影响比股指变化对汇率变化的影响的程度要更深。而在熊市情况下,人民币汇率和股票指数之间不存在协整关系。     

Chinese RMB exchange rate and local currency price stability in ASEAN trade

The article uses trade data between China and ASEAN countries to test hypotheses related to pricing to market (PTM) and consequent local currency price stability (LCPS). The degree of price discrimination associated with real RMB exchange rate changes between China and ASEAN + 2 shows evidence of local currency price stability in some industries in which exporters may be less competitive. China's trade policy may have also played a role in the local currency price stability. The article finds no evidence that RMB appreciation creates a larger impact on price adjustment than RMB depreciation.     

人民币升值压力下存在J曲线效应吗

汇率有效调整可以改善贸易收支,但在短期内可能先出现进一步恶化贸易收支的J曲线效应,以往研究主要探讨人民币贬值的情况。本文发现,在人民币升值压力下,我国目前已经出现影响进出口贸易增速的近似J曲线效应,而贸易收支决定模型的实证结果表明汇率变动对贸易收支影响显著,人民币升值压力下的J曲线效应越来越明显。J曲线效应可能在短期内被其他诸多因素所掩盖,但在人民币升值压力不断增加的情况下值得警惕。