A regime-switching analysis of pass-through

We empirically investigate how various economic factors affect the changes in the pricing policies of exporters, in particular changes in the exchange rate pass-through. Assuming exporters set prices following either a high or a low pass-through pricing policy, and assuming that the transition probabilities between these pricing policies depend on market concentration, exporting country??s market share and monetary stability, we estimate a Markov regime-switching model, using data we have collected on imported cars to the United States. Our findings show that the ??low pass-through?? regime is characterized by: lower exchange rate pass-through, low response to misalignments in the firm??s relative price, low volatility of exogenous shocks, and higher duration. When we decompose the changes in the pass-through in our sample, we find that monetary stability has been the most important factor behind the decline in the pass-through. Monetary stability explains more than 50% of the decline in the exchange rate pass-through, while country market share and market concentration explain about 25 and 10%, respectively.     

Optimal Monopolist Export Pricing with Dynamic Demand and Learning Curve Effects

This paper addresses incomplete exchange rate pass-through (ERPT) and pricing-to-market (PTM) by proposing an optimal control model of dynamic monopolistic pricing on a foreign market, which accounts for dynamic demand effects (such as diffusion or saturation) and learning curve effects. It is shown how the optimal dynamic export pricing results in partial or full ERPT in the long-term equilibrium. Moreover, transitional price dynamics are illustrated, which may explain dumping, i.e., temporary prices below unit costs, and (asymmetric) short-run overshooting dynamics of the optimal export price level as a reaction to exchange rate changes.     

Vertical Trade,Exchange Rate Pass-Through,and the Exchange Rate Regime

We compare the welfare of different combinations of monetary and currency policies in an open-economy macroeconomic model that incorporates two important features of many small open economies: a high level of vertical international trade and a high degree of exchange rate pass-through. In this environment, a small economy prefers a fixed exchange rate regime over a flexible regime, while the larger economy prefers a flexible exchange rate regime. There are two main causes underlying our results. First, in the presence of sticky prices, relative prices adjust through changes in the exchange rate. Multiple stages of production and trade make it more difficult for one exchange rate to balance the whole economy by adjusting several relative prices simultaneously throughout the vertical chain of production and trade. More specifically, there is a tradeoff between delivering an efficient relative price between home and foreign final goods and delivering an efficient relative price between home and foreign intermediate goods. Second, because the small economy faces a high degree of exchange rate pass-through under a flexible regime, it suffers from a lack of efficient relative prices in vertical trade. The larger economy, however, does not face this problem because its level of exchange rate pass-through is low.     

Exchange Rate Pass-through in a Small Open Economy: the Importance of the Distribution Sector

The degree of exchange rate pass-through to domestic goods prices has important implications for monetary policy in small open economies with floating exchange rates. Evidence indicates that pass-through is faster to import prices than to consumer prices. Price setting behaviour in the distribution sector is suggested as one important explanation. If distribution costs and trade margins are important price components of imported consumer goods, adjustment of import prices and consumer prices to exchange rate movements may differ. We present evidence on these issues for Norway by estimating a cointegrated VAR model for the pricing behaviour in the distribution sector, paying particular attention to exchange rate channels likely to operate through trade margins. Embedding this model into a large scale macroeconometric model of the Norwegian economy, which inter alia includes the pricing-to-market hypothesis and price-wage and wage-wage spirals between industries, we find exchange rate pass-through to be quite rapid to import prices and fairly slow to consumer prices. We show the importance of the pricing behaviour in the distribution sector in that trade margins act as cushions to exchange rate fluctuations, thereby delaying pass-through significantly to consumer prices. A forecasting exercise demonstrates that exchange rate pass-through to trade margins has not changed in the wake of the financial crises and the switch to inflation targeting. We also find significant inflationary effects of exchange rate changes even in the short run, an insight important for inflation targeting central banks.     

生产分割条件下人民币汇率出口传递效应研究

本文利用国内附加值指标(DVS)衡量国际生产分割中"国内成分"相对"国外成分"的比重,并将DVS指标引入到传统的汇率传递模型中考察了我国21类61章CH商品在1998～2007年间季度出口数据的汇率弹性系数。得出结论是:生产分割条件下的商品国内附加值比重是影响汇率出口传递效应的重要变量,国内附加值比重越大,汇率出口传递效应越明显,国内附加值比重越小,汇率出口传递效应越不完全。在我国大部分出口商品国内附加值比重偏低的情况下,汇率波动将通过进口中间产品的成本变化显著削弱我国出口产品价格及数量波动,最终造成汇率的不完全传递。由于各类商品DVS值的不同,这种不完全汇率传递效应在具有Low-DVS特征的高科技产品中表现最为明显,其次是劳动力密集型产品,最后是资源密集型产品。     

Exchange rate exposure and risk management: The case of Japanese exporting firms

This paper investigates the relationship between Japanese firms’ exposure to the exchange rate risk and their risk management. Following Dominguez (1998) and others, we first estimate the firms’ exposure to the exchange rate risk by regressing their stock prices on the exchange rate and the market portfolio. We next investigate possible influences of various risk management measures on the firms’ foreign exchange exposure. Risk management variables include financial and operational hedging, the invoice currency choice, and the price revision strategy (pass-through) of 227 listed firms in 2009, which were collected from a questionnaire survey of Japanese firms listed in the Tokyo Stock Exchange. Our main findings are as follows: First, firms with greater dependency on sales in foreign markets have greater foreign exchange exposure, judged by the market. Second, the higher the US dollar invoicing share, the greater the foreign exchange exposure is, which can be reduced by both financial and operational hedging. Third, yen invoicing reduces foreign exchange exposure. These findings indicate that Japanese firms use a combination of risk management tools to mitigate the degree of exchange rate risk.     

汇率变动对我国进口产品价格的传递效应——基于细分商品层面的分析

本文在汇率价格传递理论分析的基础上,采用自回归分布滞后模型在细分商品层面就人民币汇率变动对进口商品价格的传递进行了研究。研究发现,汇率传递的大小在我国不同行业的不同商品间有较大差异,我国进口商品价格存在不完全传递现象,甚至部分商品存在逆传递。对于原材料类产品,汇率对价格的影响是相当迅速的,随着深加工的进行影响会出现时滞。     

Measuring Pricing to Market in the Eurozone: The Case of the Automobile Industry

In this paper we measure the pricing to market for the main export products in the Eurozone automobile industry. Results reveal that significant markup adjustments exist following exchange rate variations. In general, these adjustments allow a strong stabilization of prices in buyer's currency terms. Nevertheless, the degree of pricing to market is quite heterogeneous and differs highly across both product categories and destination markets.     

Slow Pass-through Around the World: A New Import for Developing Countries?

Developing countries traditionally experience pass-through of exchange rate changes that is greater and more rapid than high-income countries experience. This is true equally of the determination of prices of imported goods, prices of local competitors’ products, and the general CPI. But developing countries in the 1990s experienced a rapid downward trend in the degree of pass-through and speed of adjustment, more so than did high-income countries. As a consequence, slow and incomplete pass-through is no longer exclusively a luxury of industrial countries. Using a new data set—prices of eight narrowly defined brand commodities, observed in 76 countries—we find empirical support for some of the factors that have been hypothesized in the literature, but not for others. Significant determinants of the pass-through coefficient include per capita incomes, bilateral distance, tariffs, country size, wages, long-term inflation, and long-term exchange rate variability. Some of these factors changed during the 1990s. Part (and only part) of the downward trend in pass-through to imported goods prices, and in turn to competitors’ prices and the CPI, can be explained by changes in the monetary environment—including a fall in long-term inflation. Real wages work to reduce pass-through to competitors’ prices and the CPI, confirming the hypothesized role of distribution and retail costs in pricing to market. Rising distribution costs, due perhaps to the Balassa-Samuelson-Baumol effect, could contribute to the decline in the pass-through coefficient in some developing countries.     

人民币汇率变动与出口价格:一个分析框架与实证检验

汇率在维持一国经济内部平衡和外部平衡时起着至关重要的作用,是开放经济环境下的核心工具变量。本文在现有研究的基础上,基于不完全竞争市场结构建立了一个适合于我国汇率传递研究的分析框架,并将其应用于我国商品出口价格汇率传递的实证检验。细分行业的实证研究表明,我国商品出口价格存在不完全汇率传递现象,而且不同商品分类之间的汇率传递程度存在较大差异。     

美元本位与中美贸易顺差之谜

在传统理论中,本币升值会导致净出口减少。但是,自2005年以来,伴随着人民币持续升值,中美贸易顺差不但没有减少反而大幅上升,由此产生了所谓的"中美贸易顺差之谜"。本文借鉴新开放经济宏观经济学Redux模型,在动态一般均衡的分析框架下分析美元本位对中美贸易顺差的影响,通过数值模拟和经验检验发现,美元本位是导致"中美贸易顺差之谜"的重要原因。美元本位的作用越强,汇率的传递效应越弱,汇率变动对经常项目的影响越小。在汇率传递的不对称影响下,美元本位可能导致汇率对经常项目影响的逆转。     

Tariff and exchange rate pass-through for Chinese exports: A firm-level analysis across customs regimes

We examine whether a firm's import content share differentially affects the degree of tariff and exchange rate pass-through into its export prices. Our pricing-to-market model suggests that a firm's import content share negatively affects the degree of exchange rate pass-through but does not affect the degree of tariff pass-through. Using firm-level data for Chinese exporting firms during the period 2000–2006, we find evidence of an almost complete exchange rate pass-through. As expected, when we distinguish firms by their trade regime, processing-trade firms, especially pure-assembly firms which tend to have higher import-content share, have a lower exchange rate pass-through than ordinary trade firms. We find no evidence that the tariff pass-through differs across the various trade regimes.     

Sectoral Price Movements under the Yen Appreciation

This paper analyzes the movements of tradable goods prices in Japan. The import price indices and the export price indices are matched with the domestic wholesale price indices at the most detailed level available for Japan, and the pricing behavior in the yen appreciation period (1985–1995) is examined. In the import-side analysis, we investigate how far the price movements under currency appreciation deviate from the law of one price. We find that internal–external price differentials have surprisingly expanded for most of the products since 1985. For a number of commodities, the import prices do not decline as far as the exchange rate appreciates, and the domestic wholesale prices do not decrease as far as the import prices decline. Although the expanded price gaps cannot necessarily be interpreted as a result of deliberate trade barriers, they suggest that some sort of handicap is imposed on imported goods and the large fraction of rent generated by the yen appreciation is intercepted in the middle. In the export-side analysis, the relationship between the globalization of firms' activities and export pass-through is investigated. Our cross-sectional regression analysis indicates that the export path-through rates tend to be low when the value added ratios of foreign production of Japanese firms are high. Low export pass-through under currency appreciation is often interpreted as a result of firms' attempts to keep their foreign market share, but the globalization of firms' activities may be another important factor in lowering the pass-through.J. Japan Int. Econ.,December 1997,11(4), pp. 611–641. Department of Economics, Keio University, 2-15-45 Mita, Minato-ku, Tokyo 108, Japan.     

Does quality differentiation matter in exporters' pricing behaviour? Comparing China and India

The product quality dimension has been rarely mentioned as a factor explaining the heterogeneous pricing strategies of exporters. This could underestimate the degree of mark-up adjustment and the extent of incomplete exchange rate pass-through (ERPT) at a disaggregated level across products and destination markets. This paper investigates the role of quality differentiation in price discrimination using data for China and India's exports disaggregated at the 6-digit product level across destination markets. The paper adopts an empirical approach that incorporates gravity model explanatory factors and allows disentangling the effect of quality on trade prices and volumes from that of other sources of price variation. After excluding short duration export spells, China's export prices denominated in foreign currency terms increase with the yuan's depreciation, implying an increase in exporters' mark-ups, but they decrease as expected in the case of India. However, mark-up increases decline with product quality and destination market income, as the elasticity of demand perceived by exporters increases. These findings remain robust to different measures of quality, samples, specifications, and to the potential endogeneity of quality.     

国内价格的汇率传递性——基于VAR模型的实证研究

本文利用VAR模型研究了我国国内价格的汇率传递性。VAR模型的脉冲反应函数显示,存在人民币汇率对国内价格的不完全传递性,但是,传递弹性极低,进口价格指数的汇率传递弹性要强于消费价格指数的汇率传递弹性,且进口价格指数向消费价格指数传导逐渐衰减。因此,通过汇率升值来抑制通胀效果并不理想,从紧的货币政策才是医治通胀的良药。     

加工贸易与一般贸易进出口价格的汇率传递估计与比较分析

本文从不同的贸易方式角度对人民币升值的进出口价格传递效应进行了理论建模和实证分析。文章首先依据利润最大化的厂商目标对进出口厂商的定价行为进行模型设定,其次对两种不同贸易方式中进出口价格的汇率传递进行估计和实证检验,最后得出分析结论:人民币升值对我国一般贸易价格的影响较小且不显著,而对我国加工贸易价格的影响较大且显著。     

中国外汇市场的微观结构

本文从外汇市场微观结构理论出发来分析中国外汇市场微观结构的变迁和特征。2006年年初,中国在人民币外汇市场引入了做市商制度,做市商是市场的定价中心,中国外汇市场具备了市场的微观结构。做市商在人民币汇率形成和决定中发挥着重要的作用,但是中国外汇市场以银行间市场为主,交易量相对较小,客户结构单一,这些都限制了汇率基本面信息的传递。     

金融危机背景下中国澳大利亚汇率波动的贸易传递效应

本文利用中国和澳大利亚两国贸易的月度数据,分析了在美国金融危机冲击下澳元和人民币汇率变化对中国和澳大利亚出口厂商定价行为的影响。研究发现,厂商的价格歧视及歧视程度随产品的不同各异。由于中国某些产品和澳洲当地产品具有较强的可替代性,"出口价格粘性"现象在中国向澳大利亚出口定价中有所体现;另一方面,由于澳大利亚的资源禀赋优势,某些产品拥有国际定价权,"出口价格粘性"现象在澳大利亚对中国的出口产品中没有得以体现。     

Exchange Rate Pass-through,Unemployment and Optimal Implementable Monetary Policy Rule for Emerging Economies

Abstract

This paper develops a small open economy model with nominal rigidities and search-matching frictions to study the implications of exchange rate pass-through for monetary policy in emerging countries. I find that, with complete exchange rate pass-through, the optimal policy rule features unemployment targeting as well as inflation targeting. However, the welfare gain from responding to unemployment fluctuations diminishes as the rate of exchange rate pass-through to import prices decreases. With low exchange rate pass-through, the optimal monetary policy is strict inflation targeting.     

人民币汇率形成机制的实证研究(2006～2011)

本文在构建两个关于人民币汇率形成机制假说的基础上,利用TARCH模型和篮子货币模型实证研究了人民币汇率的形成机制,得出了人民币汇率交易价格的市场化程度偏低和人民币汇率依旧是钉住美元进行调节的两个结论。据此,我们认为人民币汇率形成机制改革方向应该是减少对外汇市场交易的干预和参照篮子货币调节汇率。