汇率价格传递效应理论的发展

传统的汇率价格传递效应理论是建立在一价定律基础上的,认为汇率变动会对进出口价格产生完全的传递效应。但是,大量的实证研究表明,汇率变动引致的进出口价格相应的变动往往是不完全的。关于汇率变动对进出口价格的不完全传递效应,多数学者从微观经济学的视角展开研究,如不完全竞争、价格歧视、沉淀成本、厂商定价策略等;近年来也有一些学者试图从宏观经济学的视角进行解释,如一国通货膨胀环境、货币政策稳定性等。     

人民币进口汇率传递效应及国外出口商定价能力——产业视角下的实证研究

本文在局部均衡框架下建立了引入进口关税的成本加成模型分析国外出口厂商的定价行为,并构建了我国各产业的进口价格、名义有效汇率和国外出口商生产成本指数,利用分布滞后模型首次对各产业的汇率传递效应进行了实证研究。主要发现:无论短期还是长期,各产业进口价格的汇率传递效应都存在很大差异。以采掘、皮革、冶金和纺织为主的资源类产品的进口价格传递弹性普遍较高,甚至超过具有高附加值的机械产业。资源类中以进口稀有金属为主的采掘业长期传递弹性最高。短期内,几乎所有产业的外国出口厂商都会通过调整成本加成来吸收汇率变动;而在长期,汇率变动基本上对各产业进口价格都有不同程度的传递,尤其资源类产业更倾向于采取生产方货币定价方式。结果表明我国一方面可以通过汇率升值提高购买力,另一方面在产业结构调整中则强烈需要改变现有高耗能的增长模式。     

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。     

Macroeconomic sources of foreign exchange risk in new EU members

We address the issue of foreign exchange risk and its macroeconomic determinants in several new EU members. We derive the observable macroeconomic factors—consumption and inflation—using the stochastic discount factor (SDF) approach. The joint distribution of excess returns in the foreign exchange market and the factors are modeled using a multivariate GARCH-in-mean specification. Our findings show that both real and nominal factors play important roles in explaining the variability of the foreign exchange risk premium. Both types of factors should be included in monetary general equilibrium models employed to study excess returns. To contribute to the further stability of domestic currencies, the new EU members should strive to implement stabilization policies aimed at achieving nominal as well as real convergence with the core EU members.     

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.     

Is the Exchange Rate Pass-Through into Import Prices Declining? Evidence from Chile

Several empirical studies have found that the exchange rate pass-through (ERPT) into import prices is not complete and declined during the 1990s. In this paper we carry out a reexamination of these findings using a unique database of disaggregated import prices both at the border and wholesale levels for Chile. Our results do not support previous conclusions. We find a complete and nondeclining ERPT in the long run at both pricing levels of Chilean imports. We extend previous evidence by showing that, in the short run, wholesale prices seem to be less sensitive to exchange rate variations. In addition, we find weak evidence of asymmetric pass-through from appreciations versus depreciations for the aggregate import indexes in the short run and the long run.     

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.     

Inflation targeting in Brazil: constructing credibility under exchange rate volatility

This paper assesses the challenges faced by the inflation-targeting regime in Brazil. The inflation-targeting framework has played a critical role in macroeconomic stabilization. We stress two important challenges: construction of credibility and exchange rate volatility. The estimations indicate the following results: (i) the inflation targets have worked as an important coordinator of expectations; (ii) the Central Bank has reacted strongly to inflation expectations; (iii) there has been a reduction in the degree of inflation persistence; and (iv) the exchange rate pass-through for “administered or monitored” prices is two times higher than for “market” prices.     

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.     

人民币汇率变动对中国进口商品价格传递效应的实证研究

通过选取国民经济的24个重点行业,使用从2009~2013年的共60个月度数据为研究样本,采用ADL 模型,对汇率变动对按国民经济分类行业的进口价格的传递弹性系数进行实证研究。结果表明：从长期来看,我国人民币汇率变动与进口价格存在着负相关关系,不同行业和产品的传递弹性存在着较大差异。     

Monetary shocks,exchange rates,and the extensive margin of exports

This paper develops a two-country Dynamic General Equilibrium model to assess the relationship between the real exchange rate and the extensive margin of exports. Exchange rate pass-through to consumer prices governs the relative strength of a demand channel onto the exporting decision of a firm. With incomplete pass-through, a favorable movement in the real exchange rate generates increased export participation and an expansion in the extensive margin of exports. This result is consistent with firm-level studies, and contributes to an ongoing empirical debate as to the importance of changes in export participation over the business cycle.     

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。     

人民币汇率传递的不对称效应

在不同的汇率波动方向及波动幅度下,汇率传递可能是不对称的。利用中国17个主要贸易伙伴1994～2008年年度数据对人民币汇率传递的不对称性实证研究发现,在不同的汇率波动方向下,汇率传递弹性是不同的。人民币汇率贬值时的汇率传递弹性为负,升值时的汇率传递弹性为正。在不同的汇率波动幅度下,汇率传递同样是不对称的。当人民币汇率波动幅度小于2．68％时,汇率传递弹性为-0．5815;当汇率波动幅度大于2．68％时,汇率传递弹性为-0．0578。     

Price adjustment and exchange rate pass-through

This paper develops a simple theoretical model that can be used to account for the determinants of exchange rate pass-through to consumer prices. While recent evidence has found low estimates of pass-through in many countries, there is little consensus on an explanation for this. Our paper argues that sticky prices represent a key determinant of exchange rate pass-through. We make this argument in two stages. First, holding the frequency of price change constant, we show that our model calibrated to data from low-inflation countries can reproduce the estimates of very low pass-through for these countries. The principal determinant of low pass-through in this case is the slow adjustment of prices. We then extend the model to allow the frequency of price change to be endogenous. Calibrating to a wider set of countries, including both low-inflation and high-inflation countries, we show that our model implies that exchange rate pass-through is increasing in average inflation, but at a declining rate. Performing the identical exercise on the data, we find a striking correspondence between the predictions of the model and those of the data.     

International transmission of inflation under alternative exchange rate regimes: Empirical evidence and its implications

This is a study of the transmission pattern of inflation under alternative exchange rate regimes, fixed and flexible, among the Group of Seven (G-7) countries and their subsets, including four members of the European Union (EU) and two countries from North America. Our key empirical findings are as follows. The price levels of several countries that we found move together as a cointegrated system, forming an equilibrium relationship under both fixed and flexible exchange regimes. Second, the speed of adjustment estimates show that the transmission of inflationary disturbances across countries is less pronounced under the flexible exchange rate regime than under the fixed exchange rate regime. Third, the US was found to be the main producer of inflationary innovations among G-7 countries, whereas the UK was found to be the main producer of inflationary innovations among the EU countries, regardless of exchange rate regime.     

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.     

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。     

人民币名义有效汇率对进口价格的传递效应研究

本文基于一个成本加成模型,实证分析了人民币名义有效汇率对进口价格的传递效应。结果表明,1995年第一季度到2007年第二季度期间,人民币名义有效汇率的进口价格传递是不完全的:汇率若升值1%,短期内进口价格下降约0.26个百分点,长期下降0.25—0.29个百分点。利用滚动回归方法发现1995至2007年期间汇率对进口价格的传递程度呈先下降后上升的趋势。进一步检验表明,人民币名义有效汇率对进口价格的传递一定程度上内生于国内通货膨胀环境,同时也可能和进口产品结构的演变有关。     

企业生产效率异质性、汇率传递与净出口

汇率波动的价格传递以及对国际收支的影响与传统的理解存在差异。汇率波动如果影响了市场结构和企业生产效率分布,那么汇率传递具有长期效应。决定贸易顺差的关键因素是国内外市场需求特征和国内外相对生产成本的大小,汇率波动影响物价、贸易收支的大小取决于生产企业的效率分布状况和市场结构。     

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.