汇率对出口价格传递率的经验研究:以1971～2003年的日本为例

本文研究的是日本进入浮动汇率以来日元汇率对出口价格的传递率及其特征。通过建立汇率的出口价格传递率模型进行经验分析得到以下结论:日本进入浮动汇率的33年来,日元汇率的短期和长期出口价格传递率分别为-0.4956和-0.6583,日元汇率升值幅度越大,其出口价格传递率越高;日元汇率对出口价格的短期传递率呈现下降趋势;20世纪80年代中期以后,日本国内批发物价对出口价格没有明显的影响。     

我国进口汇率传递的商品异质性

本文基于高度分解的商品单价和成本数据构建面板模型,通过对18个我国从美国进口商品组合计229种HS八位数编码商品的研究,证实进口汇率传递的商品异质性显著。按照Lall（2000）的方法将商品归类后进一步发现,汇率不完全传递的商品组均为资源密集和低技术制成品,研究时间段内此类商品具有成本上升和需求刚性的特点,人民币升值并没能带来进口商品价格的等比例下降;完全（或过度）传递的商品组则均为中高技术制造业商品,成本变化稳定或呈下降趋势,需求更富弹性,进口价格下降与人民币升值幅度相当。研究还发现2005年7月汇率制度改革后,进口商品价格的汇率传递率小幅上升,说明汇率波动性加大后厂商更积极地调整其商品报价。     

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。     

人民币汇率及预期对进口价格的门限传递效应:考虑边际成本可变性的分析

文章通过构建不完全竞争市场条件下的两期动态模型,分析了汇率预期的存在和厂商边际成本的可变性对汇率传递效应的影响,并使用Hansen(1999)提出的门限回归法就人民币汇率和汇率预期对进口价格的传递效应进行了实证检验。理论分析显示,汇率对进口价格的传递系数受消费需求弹性的影响可正可负,汇率升值预期会降低进口价格水平,而边际成本的可变性使得汇率对进口价格的传递会随着汇率和汇率预期的变化存在门限效应。实证分析结果表明,人民币汇率对进口价格的传递系数为负,人民币升值预期的存在导致了进口价格下降,且当汇率和汇率预期变化达到一定门限值后,汇率传递程度会发生显著变化。     

人民币汇率及预期对进口价格的门限传递效应:考虑边际成本可变性的分析北大核心CSSCISSCI

文章通过构建不完全竞争市场条件下的两期动态模型,分析了汇率预期的存在和厂商边际成本的可变性对汇率传递效应的影响,并使用Hansen(1999)提出的门限回归法就人民币汇率和汇率预期对进口价格的传递效应进行了实证检验。理论分析显示,汇率对进口价格的传递系数受消费需求弹性的影响可正可负,汇率升值预期会降低进口价格水平,而边际成本的可变性使得汇率对进口价格的传递会随着汇率和汇率预期的变化存在门限效应。实证分析结果表明,人民币汇率对进口价格的传递系数为负,人民币升值预期的存在导致了进口价格下降,且当汇率和汇率预期变化达到一定门限值后,汇率传递程度会发生显著变化。     

我国进口汇率传递的商品异质性——基于中美贸易高度分解数据的测算

本文基于高度分解的商品单价和成本数据构建面板模型,通过对18个我国从美国进口商品组合计229种HS八位数编码商品的研究,证实进口汇率传递的商品异质性显著.按照Lall(2000)的方法将商品归类后进一步发现,汇率不完全传递的商品组均为资源密集和低技术制成品,研究时间段内此类商品具有成本上升和需求刚性的特点,人民币升值并没能带来此类进口商品价格的等比例下降;完全(或过度)传递的商品组则均为中高技术制造业商品,成本变化稳定或呈下降趋势,需求更富弹性,进口价格下降与人民币升值幅度相当.研究还发现2005年7月汇率制度改革后,进口商品价格的汇率传递率小幅上升,说明汇率波动性加大后厂商更积极地调整其商品报价.     

汇率波动对日本物价指数的影响

本文以日本1985到2004年的相关数据为研究对象,评估日元汇率的波动对日本物价指数的影响。研究发现汇率对进口物品和出口物品价格有显著的影响,汇率的异常波动制约了日本经济的发展。思考人民币升值对我国经济的影响应以日本为鉴。     

东亚经济体的汇率稳定与出口结构因素

本文从理论视角描述了汇率对出口价格传递机制:在进口的投入品比例高时,或出口产品与外国产品相似、竞争激烈时,出口变化对汇率的变动不敏感。而东亚地区出口结构符合这一特性。对于不可避免地增加汇率弹性的中国,也只有使出口结构高级化,才是人民币升值坚实的基础。     

人民币汇率变动的进口价格传递效应——基于贸易方式的实证研究

汇率传递是汇率变动与其经济影响的中间环节,进口价格传递弹性在很大程度上决定了汇率变动对进口的影响大小。本文利用分布滞后模型、协整、向量自回归等方法,研究了三种主要贸易方式的进口价格对人民币汇率变动的传递。结果显示,进料加工进口价格的传递弹性要大于一般贸易。在其他条件不变的情形下,人民币升值对进料加工进口的促进作用明显大于一般贸易;而来料加工装配进口受人民币升值影响比较有限,更主要受世界需求、国内劳动力成本等影响。     

新兴市场体的出口结构与汇率稳定

本文介绍了汇率对出口价格传递机制的模型。该模型中描述了汇率对出口价格的传递机制与出口结构有关:在进口的投入品比例高时,或出口产品与外国产品相似、竞争激烈时,出口变化对汇率的变动不敏感。由于以东亚为代表的新兴市场体普遍采取了出口导向型战略,因此出口结构决定了该地区对汇率稳定的钉住汇率制度有着偏爱本质。而对于不可避免地增加汇率弹性的中国而言,只有使出口结构高级化,才是人民币升值坚实的基础。     

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.     

Newton’s gravity law and import prices in the Asia Pacific

This paper investigates the proposition that an exchange rate depreciation will cause import prices to rise by more than the same magnitude appreciation which will cause them to fall. This asymmetry proposition is undertaken for 8 countries across the Asia Pacific using the Johansen and Engle and Granger procedures. The results show that six out of seven countries cannot reject the hypothesis of asymmetry. It is also found that one estimate each exhibits absolute PPP, complete asymmetric pass-through and partial symmetric pass-through. Partial asymmetric pass-through occurs in nine cases, and two cases exhibit explosive asymmetric pass-through. Malaysia lacked a co-integrating vector.     

美元汇率对美国进出口商品价格传递率的实证分析

本文实证分析了美元汇率按美国总进出口价格、分段进出口价格、分类商品进出口价格的传递率。实证结果表明,无论美元升值还是贬值,美国的进出口价格指数都会下降,而且美国出口价格的传递率比同期进口价格的传递率要小得多,升值期的传递率也比贬值期的传递率要小;美元升值比贬值对美国经常账户赤字的纠正更有利。因此,建议美国实行美元适度升值的政策,而且要结合其他政策才能改善其巨额经常账户赤字。     

EXCHANGE RATE PASS‐THROUGH TO IMPORT PRICES IN SOUTH AFRICA: IS THERE ASYMMETRY?1

This paper examines the magnitude and speed of exchange rate pass‐through (ERPT) to import prices in South Africa. It further explores whether the direction and size of changes in the exchange rate have different pass‐through effects on import prices, i.e. whether the exchange rate pass‐through is symmetric or asymmetric. The findings of the study suggest that ERPT in South Africa is incomplete but relatively high. Furthermore, ERPT is found to be higher in periods of rand depreciation than appreciation, which supports the binding quantity constraint theory. There is also evidence to suggest that pass‐through is slightly higher in periods of small changes than large changes in the exchange rate in harmony with the menu cost theory when the invoices are denominated in the exporters' currency.     

A Comparative Analysis of Export Price Pass-through in Three Open Asian Economies: Korea,Singapore and Thailand

Abstract

The degree of exchange rate pass-through is of paramount importance to small and open economies as it has a direct impact on domestic inflation as well as the effectiveness of exchange rate as an adjustment tool. High exchange rate pass-through (ERPT) is often cited as a reason for a “fear of floating”. This article analyzes the degree of ERPT into the export prices of three Asian economies—Korea, Thailand and Singapore for the period 1980: Q1–2006: Q4 using both US dollar bilateral rates as well as nominal effective exchange rates. The study also examines whether there are asymmetries in ERPT between exchange rate appreciation and depreciation.     

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.     

Firms’ heterogeneity,demand accumulating,and exchange rate pass-through

In this article, we study how the export behaviors of new and incumbent exporters differentially respond to exchange rate shocks. We establish a dynamic model, in which new exporters strategically charge a lower price than incumbent exporters to grow their customer base and increase future sales. The model predicts that new exporters adjust their prices more aggressively relative to their incumbent counterparts in response to exchange rate fluctuations. Using a transaction-level data set containing all Chinese exporters during the 2000–2009 period, we find supporting evidence for the model's predictions: new exporters adjust their price 1.5 times more than incumbent exporters. This, in turn, results in export quantities being less responsive to exchange rate shocks among new exporters. The result holds for a series of robustness checks. The findings imply that there are different degrees of exchange rate pass-through among new and incumbent exporters.     

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。