Pricing to Market： Chinese Export Pricing to the USA after the Peg

In July 2005, the Chinese Government unpegged the RMB from the US dollar. As the RMB has followed a remarkably predictable appreciation over time, I examine the price of Chinese exports to the USA after unpegging the exchange rate. Results suggest that the Chinese industries with greater import market share were able to raise their prices after the removal of the pegged exchange rate regime; however, over time there is a significant deflationary trend. Chinese export prices tended to decrease under an unanticipated RMB appreciation; this effect was more pronounced for industries with more pricing flexibility. This suggests that Chinese exporters are consistently ＂pricing to market＂ and thus creating a significant foreign exchange policy implication. Specifically, a more flexible exchange rate regime will likely have little impact on the prices of Chinese exports to the USA but might increase the profit volatility of Chinese firms.     

人民币实际汇率波动对中欧进出口贸易影响的实证研究

本文通过建立GARCH模型量度了人民币对欧元实际汇率的波动性,并运用协整检验模型、误差修正模型、脉冲响应函数和方差分解技术就人民币实际汇率变动对中国与欧元区之间进出口贸易的影响进行分析。分析结果表明,中国对欧元区出口在长期内随汇率波动而增加,而进口却随汇率波动而减少;在短期内汇率波动推动中国进口,抑制中国出口。人民币升值在长期内给双边出口均造成伤害,但对中国出口伤害更大;在短期内人民币贬值将对中国进出口均有推动作用。本文分析还表明,在长期内,中国对欧元区出口收入效应远远大于欧元区对华出口收入效应;在短期内,中国实际收入变动对欧元区出口表现负向冲击,而欧元区实际收入变动对中国出口表现为正向冲击。中国汇率制度改革对中国出口欧元区产生推动作用,对欧元区出口产生抑制作用,且前者大于后者。实际汇率水平及其波动性变化对欧元区对华出口变动的解释力高于中国实际收入水平变化的解释力,而对于中国对欧元区出口的变动,欧元区实际收入水平变动的解释力高于实际汇率水平及其波动性变化的解释力。     

China＇s Share of US Imports and Exchange Rate Pass-through to US Import Prices

The present paper investigates the effect of China's share of US imports on the aggregate‐level exchange rate pass‐through to US import prices over the period from January 1999 to December 2008. The paper also focuses on the post‐reform period, after 2005, allowing greater flexibility of the RMB to explore the change in the role of the Chinese import share in determining the trend in the US exchange rate pass‐through. Evidence reveals that China's share of US imports has a negative effect on the exchange rate pass‐through. However, this negative effect has been moderated to a negligible level since China's exchange rate reform. An important implication is that the exchange rate flexibility of the RMB has been raised to a significant level may no longer cause distortion in the US competitive environment and prevent the USA from adjusting current accounts.     

人民币汇率传递对我国物价水平影响的实证分析:2005～2008

本文考察了2005年7月至2008年2月期间人民币汇率变动对我国物价水平的影响。研究表明,人民币名义有效汇率变动对进口价格的传递是不完全的,当人民币名义有效汇率每变动一个百分点时,进口价格指数仅变化0.22个百分点;人民币名义有效汇率与国内物价水平存在负相关性,这与以往的研究结论恰好相反,对此,本文从人民币升值预期和人民币均衡汇率两个视角作了解释;全球商品价格指数并非影响我国国内物价水平的最重要因素,我国经济体具备较强的抵御外来冲击的能力。     

The International Transmission of Monetary Policy in a Dollar Pricing Model

This paper analyses the international transmission of monetary policy in the case where all export prices are set in US dollars. “Dollar pricing” implies that the international effects of US monetary shocks are different from those of European shocks because of an asymmetric exchange rate pass-through to import prices. A dollar pricing model can explain the observed asymmetry in the transmission of monetary policy: US monetary policy affects US output more than European monetary policy affects European output. I also show that the current account is an important channel through which monetary policy affects welfare. The paper concludes that under dollar pricing a monetary expansion is a beggar-thy-neighbour policy.     

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。     

Exchange Rate Volatility,Heterogeneous Firms and Market Concentration

With the gradual promotion of market‐oriented reform of the RMB exchange rate, the fluctuation range of the RMB exchange rate is increasing. How to deal with the impact of exchange rate volatility on Chinese exports is an important challenge faced by China. This paper finds that although exchange rate volatility, as a whole, has a negative impact on exports, high‐productivity exporters are less prone to exchange rate volatility shock in both intensive and extensive margins. As high‐productivity firms are less affected by exchange rate risk, they account for larger market shares. This paper, from a new perspective, provides evidence that increasing productivity helps mitigate the negative impact of exchange volatility on exports.     

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。     

人民币升值对我国资产价格波动的影响

随着我国经济持续增长和外汇储备的逐年增加,人民币升值步伐有越来越快的趋势。自2005年7月,我国宣布结束维持十年之久的人民币汇率盯住美元政策以来,人民币已累计升值30%。人民币升值导致了我国资产价格的波动,特别是我国股票和房地产价格的起伏波动。如何应对由人民币升值引起的国内流动性过剩导致资产价格波动,成为政府面临的新挑战。     

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.     

SYNCHRONISATION BETWEEN SOUTH AFRICA AND THE U.S.: A STRUCTURAL DYNAMIC FACTOR ANALYSIS

This paper studies the synchronisation of the South African and the US cycles and transmission channels through which supply and demand shocks from the US affect economic activity in South Africa in a structural dynamic factor model framework. We find, using the full-sample period, US supply shocks are transmitted to South Africa through business confidence and imports of goods and services; while US demand shocks are transmitted via interest rates, stock prices, exports of goods and services, and real effective exchange rates. Second, there is a decrease in integration over time translated by a drop in synchronisation of cycles. The impact of an increase in comovement of GDP is outweighed by the structural reforms initiated by the government after the end of apartheid. Finally, the idiosyncratic component still plays an important role in the South African economy.     

Global commodity prices and global stock market volatility shocks: Effects across countries

We investigate the time-varying dynamics of global stock market volatility, commodity prices, domestic output and consumer prices. We find (i) stock market volatility and commodity price shocks impact each other and the economy in a gradual and endogenous adjustment process, (ii) impact of commodity price shock on global stock market volatility is significant during global financial crises, (iii) effects of global stock market volatility on the US output are amplified by endogenous commodity price responses, (iv) effects of global stock market volatility shocks on the economy are heterogeneous across nations and relatively larger in twelve developed countries, (v) four developing/small economies are more vulnerable to commodity price shocks.     

Does exchange rate volatility deter Japan-China trade? Evidence from pre- and post-exchange rate reform in China

This paper is an empirical investigation of the effect of RMB-JPY volatility on Japan-China trade with a special emphasis on the impacts of the reform of the RMB exchange rate regime implemented on July 21, 2005. We estimated two types of volatility measures (one based on the ARCH model and the other the usual standard deviation) utilizing daily data from Jan. 2002 through Dec. 2011 and examined both short-run and long-run effects of this volatility on exports of each country to the other with an ARDL approach. The results indicate that Japan's exports to China are not affected by the exchange rate volatility, but China's exports to Japan are negatively influenced during the reform period. Furthermore, the level of the exchange rate has no influence on Japanese exports, but it has a significant impact on Chinese exports. This asymmetric result may be due to differences in the depth of financial markets and in the maturity of exporters of the two countries.     

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.     

浅析人民币升值的利与弊

随着人民币汇率的屡创新高,人民币升值已成为世界经济的一个热门话题,以美日为代表的发达国家坚持人民币应该升值。人民币升值的影响是多方面多层次的,不仅关系到进出口贸易,还关系到宏观经济运行,并影响社会、乃至世界经济的发展。我们必须要以国家利益为着眼点,以提高国家整体经济水平和人民生活水平为依归,正确分析、评估人民币升值的利与弊,既要看到人民币升值对我国经济发展的积极作用,也要认识到其带来的消极影响。     

The Renminbi as a Trading Currency: Evidence from Selected Countries Participating in the Belt and Road Initiative

This paper investigates the effects of the renminbi (RMB) exchange rate on trade prices and volumes in selected Belt and Road Initiative (BRI) countries in comparison with the effects of the US dollar. The stylized facts show that the RMB is underused in bilateral trade with selected BRI countries where intermediate goods dominate. By estimating the level of exchange rate pass‐through and trade volume elasticity, we find that the RMB is significantly correlated with the volume of imports in the sample countries, predicted by the producer currency pricing (PCP) paradigm. We also regroup intermediate and final goods between China and the BRI countries. The evidence shows that dollar fluctuation affects export volumes, reflecting the role of the US as a final goods destination, whereas the RMB exerts a significant impact on the volume of intermediate goods imported from China to the sample countries due to China's important position in global value chains.     

人民币汇率再度升值的国际政治经济博弈

中国与美、日、欧等发达国家的国际政治经济博弈构成人民币汇率升值压力的的外部环境。日本是鼓吹人民币升值的始作俑者,美国则是向人民币汇率施压的主力军,欧盟是人民币升值论中的“搭便车”者。中国缓解人民币升值压力的对策包括完善外汇市场结构、加强对跨境资本流动的监测和管理、逐步扩大人民币汇率浮动区间、完善中央银行外汇干预机制及提高亚洲区域内货币的结算功能等。     

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.     

Exchange rate movements and foreign direct investment (FDI): Japanese investment in Asia, 1987–2008

The paper estimates the impact of exchange rate movements on foreign direct investment (FDI). By using the panel data of Japanese FDI flows to nine dynamic Asian economies during 1987–2008, the paper finds that (i) FDI declined with a depreciation of the yen against host country currencies; (ii) it increased with exchange rate volatility; and (iii) it was little affected by the Asian financial crisis, especially when disguised financial flows were removed from the data. A novel result concerns the negative response of FDI to the third moment of monthly exchange rate changes: the volume of FDI was smaller when the distribution was positively skewed (i.e., when the yen was biased towards relatively large depreciation shocks). If skewness proxies for expected mean-reverting changes, this supports the idea that source country investors care about the future stream of revenues and returns denominated in their own currency. These results are robust, with other standard control variables having statistically significant coefficients with expected signs.     

Price convergence in the EU—an aggregate and disaggregate approach

This article examines the price dispersion in the European Union (EU) over 15 years (1990–2005). An extensive overview of the literature offers inconclusive results with the half-lives of price shocks from 2.8 to 282 months. Until now, most of the empirical research has been either micro or macro based. In contrast, we conducted a complex analysis utilizing both aggregate and disaggregate price data. The macro approach is based on a Comparative Price Level index calculated as the ratio between PPPs and exchange rate. The disaggregate analysis utilizes the actual prices of almost 150 individual products sold in the 15 capital cities of the EU. We conducted sigma and beta convergence in the analysis of both datasets. There are several differences in results depending on whether the calculation was based on indices or actual prices. Additionally, the model is tested to measure the contribution of different factors in explaining the observed convergence pattern. Most of the explanatory power comes from the differences in GDP (or wages), exchange rate volatility and differences in taxes. The Euro effect when controlling for exchange rate volatility, is not significant.