人民币汇率波动对我国出口价格传递效应分析

汇率传递效应不仅影响国内总需求与总供给的均衡．而且还会影响国内货币政策实施的有效性。人民币汇率变动对我国进口价格及其他价格水平的传递程度是决定汇率调节我国贸易收支以及稳定国内物价水平的一个关键因素。本文的目的在于运用协整等方法分析人民币汇率变动对我国出口价格水平的影响,研究结果表明：无论长期内还是短期内,进出口价格对汇率波动的反应都较为敏感,不完全汇率的传递广泛存在于中国的出口企业。     

贸易收支改善的汇率弹性条件与ML条件——兼论人民币汇率传递的贸易收支效应

如果汇率变动不传递给进出口价格,即使马歇尔-勒纳条件成立,汇率变动也不能影响进出口。本文通过将汇率变动对净出口的影响分解为汇率的价格效应和数量效应,在此基础上论证了汇率传递与马歇尔-勒纳条件的关系,重新构造了贸易收支改善的汇率弹性条件。然后用中国2005-2009年分类商品的月度面板数据估计了人民币名义汇率变动对中国各类商品进出口的价格效应、数量效应和贸易收支效应,以便理解近期人民币汇率升值影响中国贸易顺差持续扩大的过程和机制。     

汇率变动对进出口价格的影响

汇率变动对进出口价格的影响□傅建设汇率传递是指汇率变动所引起的进出口价格的变动。传统的汇率传递理论是以一价定律为基础的，一般假定本国是一个小国，世界市场是完全竞争的，本国只是一个价格接受者，在没有运输成本、关税和其它贸易障碍的情况下，国际套利使进口价...     

人民币汇率传递对我国价格水平的影响——基于非对称性视角的研究

本文运用滚动回归分析方法,研究自1995年至2013年人民币汇率变动对价格水平的影响。通过设置虚拟变量、运用门限模型等计量方法从汇率变动方向和汇率变动幅度两个层面考察了人民币汇率传递的非对称性。实证结果表明,不论采用OLS回归模型还是门限回归模型均得到人民币汇率传递是不完全的结论,且在2008年全球金融危机发生以后,人民币汇率变动对进口价格和国内物价水平的汇率传递效应都呈现下降趋势。并且由门限模型得到的实证结果表明:人民币贬值对进口价格和国内物价的传递效应都较大,人民币变动波幅较大时对进口价格的传递效应较大,人民币变动波幅较小时对国内物价水平的传递效应较大。     

人民币汇率变动对我国通货膨胀的影响：汇率传递视角的研究

在开放经济条件下,汇率变动对一国通货膨胀水平的决定具有重要作用。本文利用自回归分布滞后(ARDL)模型研究了人民币汇率变动对以消费者价格指数(CPI)衡量的国内通货膨胀的传递效应。研究结果表明,人民币汇率变动对以CPI衡量的通货膨胀水平的传递是不完全的且存在明显的时滞,长期和短期汇率传递效应都很低;汇率变动对我国CPI的传递效应受食品价格冲击的影响非常大。本文的研究结论对于我国的汇率制度改革和货币政策实施等具有重要的启示意义。     

不完全竞争市场结构中的汇率传递效应研究

汇率传递效应是国际经济学界的研究重点之一。本文从基础理论、传递程度、影响因素、政策含叉四个方面对已有文献进行了梳理和评述，发现汇率的传递效应是不完全的，并且不同国家、不同行业、不同时期的汇率传递效应有所差异，这种差异的主要原因是出口商的市场势力和进口国国内商品对进口品的替代能力有所不同。另外，本文根据我国实际情况提出了研究人民币汇率传递效应的分析视角，认为下一步的研究应基于我国不完全竞争的市场结构对现有模型和方法进行调整，进而准确判断人民币汇率变动产生的影响。     

汇率传递与原油进口价格关系——基于非对称性视角的研究

本文在国外理论研究的基础上,深化和拓展了汇率传递效应非对称性理论,分析了1995年1季度至2009年4季度期间人民币汇率变动对原油进口价格的动态影响以及人民币汇率变动对原油进口价格传递效应的非对称性。结论表明,第一,人民币汇率变动对原油进口价格存在较强的传递效应,部分时间存在超传递现象和逆传递现象。第二,汇率变动对原油进口价格的传递效应总体并未出现下降趋势,而呈现时大时小的特征,汇率变动对原油进口价格的传递效应与通货膨胀两者之间存在一定的负向关系,这与以往研究从宏观层面得到的结论截然不同。第三,无论本文单独考察升值和贬值条件下人民币汇率对原油进口价格传递的非对称性,还是加入汇率变动幅度这一约束条件来分析,本文均得到贬值的传递效应大于升值传递效应的结论。同时,汇率波动幅度大于某一特定临界值时,传递效应显著;反之,则不存在传递效应。     

中美双边汇率对美国消费价格传递效应的实证研究

人民币升值的价格传递效果是近年来的一个研究热点。已有学者利用人民币汇率变动与关国对我国进口价格指数等数据进行研究，得出了人民币汇率变动的价格传递极低的结论。本文选择美国与我国贸易品相关性较高的消费品价格指数，利用2005年7月至2008年10月之间的月度数据，采用Johsen＆Juselius协整检验、误差修正模型分析汇改以来人民币汇率升值期间中关双边名义汇率变动的价格传递效应。研究发现中关双边名义汇率波动对美国消费物价的影响是显著的，长短期传递系数分别为O．1871、0．1917，并在此研究中得到几点政策启示。     

人民币汇率变动对我国物价传递效应分析

本文在国内外学者研究的基础上,对2005年汇改以来汇率变动在我国价格的传递效应进行实证分析,实证研究表明,人民币汇率变动对国内各类物价指数存在一定的传递效应,且传导系数小于1,人民币升值不能有效抑制国内物价上涨。     

人民币汇率变动对我国物价传导效应的分析

本文对汇率传导理论及其效应进行了简要回顾,并在国内外学者研究的基础上,对2005年汇改以来汇率变动对我国价格的传递效应进行实证分析。实证结果表明,汇率变动对国内价格指数存在一定的传递效应,但作用较小,以人民币升值对抗物价上涨并不可行。     

Pass-Through of Exchange Rates and Competition between Floaters and Fixers

This paper studies how a rise in the share of U.S. imports from China, or any country with a fixed exchange rate, can explain a disproportionate fall in exchange rate pass-through to U.S. import prices. A theoretical model provides an explanation working through changes in markups, showing that a particular "local bias" condition is necessary and that free entry amplifies the effect. The model produces a structural equation for pass-through regressions including the China share; panel regressions over 1993–2006 indicate that the rising share of trade from China or other exchange rate fixers can explain as much as one-half of the observed decline in pass-through for the United States.     

Exchange rate pass-through into import prices revisited: What drives it?

A large sample of developed and emerging economies is utilized to investigate import exchange rate pass-through. Panel models reveal that various economic aspects of the destination country can explain about one third of the total variation in pass-through elasticities and the remaining variation comes largely in the form of unobserved country-specific effects. Inflation, exchange rate volatility, openness and relative wealth play a clear role as drivers of emerging markets’ pass-through whereas the output gap and protectionism appear influential more generally. Nonlinearity regarding large-versus-small changes in the exchange rate is quite pervasive. Our evidence challenges the widely-held view that pass-through has been universally falling in developed markets and that it is higher for emerging markets. The economic drivers are shown to play a role as out-of-sample predictors of pass-through. The findings confirm pricing-to-market theories and have implications for the optimal conduct of monetary policy.     

人民币汇率对国内物价传递效应的实证分析

本文基于1999年1月至2009年10月的月度数据,使用协整与误差修正模型,对人民币汇率对国内物价的传递效应进行了实证分析。同时,建立了2005年7月汇率改革前后的两个子样本,比较分析了汇率改革前后的长期汇率传递效应。研究结论表明,在整个样本期间内,人民币汇率对国内物价的传递效应较低,当人民币名义有效汇率变动一个百分点时,国内物价指数仅变动0.405410个百分点。但2005年7月汇率改革后,汇率传递系数有了明显的上升。     

人民币汇率变动的物价传递效应:多结构变化协整回归分析

现有研究物价传递效应的文献以线性模型为主,甚少关注物价传递过程中可能存在的结构变化,本文在充分考虑我国转轨时期所面临的各种经济冲击的条件下,利用最新发展的多结构变化协整回归方法考察了1994年1月至2008年12月间人民币汇率变动的物价传递效应。研究结果表明,人民币汇率变动的物价传递效应分别在1998年8月、2002年10月、2005年8月及2007年7月发生了四次结构变化,传递效应虽总体趋减,但2007年7月后出现了反复,且符号也发生了改变。在上述结论基础上,本文提出了相关政策建议。     

Asymmetric exchange rate pass-through in an emerging market economy: The case of Mexico

This paper applies a nonlinear Autoregressive Distribute Lag to examine the exchange rate pass-through into consumer price inflation in Mexico. Overall, the evidence confirmed that ignoring the asymmetric (sign) effect of exchange rate movements on inflation may lead to incorrect inferences and policy conclusions. Exchange rate fluctuation is transferred to prices level more during currency depreciation than appreciation. We compare the macroeconomic performances between pre- and post-inflation targeting, and our findings reaffirmed that the pass-through has weakened significantly after launching inflation targeting in 2001. This result implies that low inflation in the sample period examined is good for Mexico because exchange rate pass-through declines after 2001. Consumer prices have become less responsive to exchange rate movements. We further observe a revival (strengthening) of oil price pass-through to domestic inflation in the post- inflation targeting period.     

Exchange Rate Pass-Through and Monetary Policy: A Cross-Commodity Analysis

This paper investigates how a change in monetary policy affects the degree and the speed of exchange rate pass-through to import prices in the emerging market economy, using a newly constructed data set from Taiwan's trading commodities. First, the analytical framework is set up following Goldberg and Knetter (1997) and Campa and Goldberg (2005). Next, the period-by-period and the multiple-period cumulative effects of monetary policy on the degree of exchange rate pass-through can be traced out. The dynamic panel data model is then estimated by Bun and Carree's (2005) bias-corrected approach, which enjoys easy calculation and robust testing performances, leading to more reliable empirical results. Our cross-commodity evidence strongly supports the partial pass-through in the short run and the complete pass-through in the long run. Moreover, following a change in monetary policy, this pass-through effect increases during several initial periods and declines to zero over time.     

Incomplete Exchange Rate Pass-Through: Evidence from Exchange Rate Reform in China

Exchange rate disconnect is one of the central puzzles in international macroeconomics. Recently, there is a growing literature that studies the microeconomic foundations or mechanisms for incomplete exchange rate pass-through. However, the estimations of the exchange rate pass-through vary widely in the existing literature. Our article proposes the use of a policy-based instrumental variable for exchange rate, exploiting the exchange rate reform in China, and finds that 67% of exchange rate pass-through into the FOB export price of Chinese exports. This contrasts to the almost full exchange rate pass-through using OLS estimation. We further find that the export price of homogeneous goods, low-technology goods, and goods supplied by domestic non-SOEs is more sensitive to exchange rate changes.     

Exchange Rate Pass-Through in an Emerging Market: The Case of the Czech Republic

We examine exchange rate pass-through, or how domestic prices respond to exchange rate shocks, in the Czech Republic from 1998 to 2013 by employing vector autoregression models. Using the aggregate consumer price index and its subcomponents, we find that the peak response occurs between nine and thirteen months after the exchange rate shock. The average pass-through at the monetary policy horizon is approximately 20 percent at the aggregate level. Regarding the subcomponents, the degree of pass-through is greatest for food prices.