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。

The Asymmetry of Exchange Rate Pass-through to China's Exporting Prices: Evidence from the Trade between China and Japan

Until recently, standard theoretical models explaining incomplete exchange rate pass-though (ERPT) assumed that both the appreciation and depreciation of the local currency are transmitted by the same magnitude and at the same pace to the prices of tradable goods and domestic price levels. However, will manufacturers facing negative exchange rate shocks make the same pricing decision as facing positive shocks, even if it goes against the firms' optimal pricing strategy? This paper extends the model by Yang(2007) and goes one step further to analyze the asymmetry of exchange rate pass-through and its patterns under different conditions. It is proved that the pass-though is complete and symmetric only with the strict assumption of constant demand elasticity. When the demand curve becomes more elastic as the price rises, pass-though becomes incomplete and asymmetric. Therefore, if the exporter is facing a quite elastic demand curve in the target market, ERPT increases as exporting country's currency depreciates. In other words, export prices rise less than they fall in a very competitive market, and vice versa. Using 966 highly disaggregated HS 8-digit commodities that China exported to Japan from Jan. 2000 to Dec. 2011, this paper runs various empirical tests, including threshold panel tests, to examine the asymmetry of ERPT. During the sample period, RMB appreciated by 23% from Jan. 2005 to Dec. 2008, and depreciated by 31.5% between Jan. 2009 and Dec. 2011, providing good chances to observe how different exporters change the selling prices in appreciation and depreciation. Empirical tests find that the exchange rate pass-through is asymmetric in both the direction and magnitude of exchange rate changes:(1) when RMB depreciates, China's exporters lower the Yen selling prices more proportionally; but when RMB appreciates, exporters tends to absorb more exchange rate shocks, and raise the Yen prices less. In Japan, China's exports may face strong competitive market structure and hence a rather elastic demand. (2) Though exporters tend to pass less to Yen selling prices when RMB appreciates, they have to raise Yen prices more to cover the sharply increased cost when the appreciation is large for a specific month (the threshold is tested to be around 2.43%). But such asymmetric pattern is not found when RMB depreciates. For the robustness, this paper further uses the monthly unit value indexes of Japan's imports from China to re-examine the asymmetry of ERPT and extends the sample period to Sep. 2018. The robustness check lends strong support to the asymmetric pattern of pass through found with highly disaggregated data. This paper suggests that, from the perspective of Chinese exporters, currently it may be more favorable to have a rather stable RMB.