人民币汇率传递效应研究
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摘要
汇率传递效应指的是汇率变化对本国价格水平的影响。本文对2005年7月汇率改革之后的人民币汇率传递效应进行了研究，研究内容主要分为了两个部分，一是人民币汇率传递效应水平的考察，二是人民币汇率不完全传递效应原因分析。人民币汇率传递效应水平的考察选取了居民消费价格，企业商品价格，进口商品价格作为汇率向价格水平传递的指标，并采用符号识别SVAR模型对汇率传递效应水平进行了估计。人民币不完全汇率传递效应原因分析，主要研究了非均衡汇率——汇率存在低（高）估时对汇率传递效应的影响，将其与长期以来人民币汇率存在低估或高估的争论相联系；汇率波动对汇率传递效应水平的影响，将其与人民币汇率形成机制改革相联系。研究结论表明，我国汇率传递效应水平低，具有滞后性，不同价格水平指标的传递效应差别较大等特点；汇率低（高）估对汇率向进口商品价格传递效应较低的原因作出一定程度解释；汇率弹性增大将有利于提高汇率传递效应水平；影响人民币汇率不完全传递的原因主要有价格粘性和货币政策因素。最后，依据研究结论提出了，加快人民币汇率形成机制改革，提高人民币汇率弹性和治理通货膨胀的政策建议。
本文研究主要包括了以下六个部分内容，
第一章引言。选题背景，研究意义，基本思路，创新之处和主要观点。
第二章汇率传递效应理论与文献综述。包括了汇率传递效应涵义和传导机制，汇率传递理论与文献综述，汇率传递效应研究新进展四个部分。
第三章人民币汇率传递效应水平估计。研究旨在对2005年7月汇率改革之后的人民币汇率传递效应水平作出整体估算，对我国汇率传递效应水平有一个整体认识。选取了居民消费价格、企业商品价格和进口商品价格三个指标，并采用符号识别冲击SVAR模型，以消除早期学者脉冲响应值偏离经济理论导致汇率传递效应水平降低现象的出现，估算出更真实地人民币汇率传递效应水平。研究结论指出人民币汇率传递存在不完全性，且传递水平较低，不同价格指标的汇率传递效应存在较大差别。
第四章人民币非均衡汇率与汇率传递效应分析。本部分借鉴Ghosh和Rajan（2006）汇率传递效应模型，从理论角度证明了汇率存在低估或高估时，汇率向价格水平的传递具有天然的不完全性。并将理论用于人民币汇率传递效应的分析，首先利用行为均衡汇率方法（BEER）估算了2005年到2012年4月间人民币汇率的低（高）估水平；其次借鉴Campa和Goldberg（2005）研究进口价格的汇率传递效应的模型，实证检验了汇率存在低（高）估时对人民币汇率向居民消费价格、企业商品价格和进口商品价格传递效应的影响。研究结论指出，人民币汇率低估或高估可以对汇率向进口商品价格的传递作出一定程度解释。
第五章人民币汇率波动、价格粘性与汇率传递效应分析。本章研究借鉴了Devereux，Yetman（2010）粘性价格下的小国开放宏观经济的汇率传递效应模型，并加入了汇率波动风险变量，对模型进行了扩展，求解出外国利率冲击，货币政策冲击，技术冲击和汇率波动冲击下的汇率传递效应表达式。并以人民币汇率为例，估计了汇率传递效应决定模型中相关变量的取值，计算了人民币汇率传递效应水平。最后放松了模型中不同冲击的相关变量取值，以研究影响人民币汇率不完全传递的原因。研究结论指出，价格粘性和货币政策是影响人民币汇率不完全传递的主要原因，汇率弹性增大有利于人民币汇率传递效应的提高，但由于汇率弹性增大也意味着企业经营过程中汇率风险增大，会影响到汇率传递效应水平。
第六章主要结论及政策建议。
Exchange rate pass-through effect is defined as exchange rate change impacted on thedomestic prices. In this paper, I researched the RMB exchange rate pass-through effect sincereform in July2005, and divided it into two main parts: Firstly I estimated the levels of RMBexchange rate pass-through effects, Secondly analyzed the factors of incomplete RMBexchange rate pass-through. In the first part, I selected three price indicators: consumer priceindex, enterprise commodity prices and import prices for the research of exchange ratepass-through effects, and used sign restriction SVAR model. In the second part, I discussedthe factors of incomplete exchange rate pass-through effects from the perspective of exchangerate under(over) estimation correlated with debate of RMB exchange rate under(over)estimation, and he perspective of exchange rate fluctuation risk correlated with the reform ofRMB exchange rate regime. I concluded RMB exchange rate pass-through effect had lowlevels, hysteresis effect and large difference in different price indexes features, RMBunder(over) estimation could explained a certain degree of incomplete RMB exchange ratepass-through;The more elasticity of exchange rate would improve the RMB exchange ratepass-through effect; and price stickiness and monetary policy were the main factors ofincomplete exchange rate pass-through. Last, I put forward suggestion of accelerating thereform of RMB exchange rate and improving the elasticity of exchange rate, managing theinflation based on the conclusions.
In this paper, it’s contained6parts,
Chapter1, Introduction. Background, Significance of Research, Basic ideas, Innovationsand Main arguments.
Chapter2, Theory and literature exchange rate pass-through effect reviews. Its containedfour parts: the meaning and mechanism of exchange rate pass-through; theory and literaturereviews; and new process of research in exchange rate pass-through.
Chapter3, the level of RMB exchange rate pass-through effect estimation. This chapteraimed to make a whole estimation and understanding of RMB exchange rate pass-throughsince the reform of RMB exchange rate pass-through effect in July2005. I selected three priceindexes consumer price index, the enterprise commodity prices and import prices, and usedsign restriction SVAR model to eliminate the phenomenon of deviation from economic theorythat lower the level of exchange rate pass-through effects in earlier study, and estimated themore real level of RMB exchange rate pass-through. Its concluded that RMB exchange ratepass-through effect had low levels, hysteresis effect and large difference in different price indexes features.
Chapter4, RMB non-equilibrium exchange rate and exchange rate pass-through. In thispart, I used Ghosh and Rajan(2006) exchange rate pass-through effect model, and testifiedexchange rate pass-through effects is naturally incompletion when the exchange rate hadunder or over estimation. And use the theory into RMB exchange rate pass-through research,Firstly estimating the level of under or over estimation of RMB exchange rate used the BEERmethods between July2005and April2012. Secondly used Campa and Goldberg(2005)import goods price exchange rate pass-through model, empirical analyzed the level of underor over estimation of RMB exchange rate impact on consumer price index, the enterprisecommodity prices and import prices. Its concluded, RMB under or over estimation couldexplain a certain degree of RMB exchange rate pass-through incomplete effect.
Chapter5, RMB exchange rate fluctuations,sticky prices and exchange rate pass-througheffect. Borrowed Devereux, Yetman(2010) sticky price small open macroeconomic exchangerate pass-through determinate model, added the exchange rate fluctuation risk variables toexpand the model, and solved expression of exchange rate pass-through effect under theforeign interest rate shock, monetary policy shock, technology shock and exchange ratefluctuation shock. Take RMB as an example, I estimated the value of variables in the model,and calculated the level of RMB exchange rate pass-through. Last I relaxed the model relatedvariable values under different shocks, in order to analyze the influencing factors ofincomplete RMB exchange rate pass-through. Its concluded, price stickiness and monetarypolicy were the main factor of incomplete exchange rate pass-through effects, the moreelasticity of RMB exchange rate pass-through could improve the exchange rate pass-througheffect, but the more elasticity exchange rate mean higher exchange rate risk in the process ofenterprise operation, and it would affected the exchange rate pass-through.
Chapter6, Main conclusions and Policy suggestions.
本文研究主要包括了以下六个部分内容，
第一章引言。选题背景，研究意义，基本思路，创新之处和主要观点。
第二章汇率传递效应理论与文献综述。包括了汇率传递效应涵义和传导机制，汇率传递理论与文献综述，汇率传递效应研究新进展四个部分。
第三章人民币汇率传递效应水平估计。研究旨在对2005年7月汇率改革之后的人民币汇率传递效应水平作出整体估算，对我国汇率传递效应水平有一个整体认识。选取了居民消费价格、企业商品价格和进口商品价格三个指标，并采用符号识别冲击SVAR模型，以消除早期学者脉冲响应值偏离经济理论导致汇率传递效应水平降低现象的出现，估算出更真实地人民币汇率传递效应水平。研究结论指出人民币汇率传递存在不完全性，且传递水平较低，不同价格指标的汇率传递效应存在较大差别。
第四章人民币非均衡汇率与汇率传递效应分析。本部分借鉴Ghosh和Rajan（2006）汇率传递效应模型，从理论角度证明了汇率存在低估或高估时，汇率向价格水平的传递具有天然的不完全性。并将理论用于人民币汇率传递效应的分析，首先利用行为均衡汇率方法（BEER）估算了2005年到2012年4月间人民币汇率的低（高）估水平；其次借鉴Campa和Goldberg（2005）研究进口价格的汇率传递效应的模型，实证检验了汇率存在低（高）估时对人民币汇率向居民消费价格、企业商品价格和进口商品价格传递效应的影响。研究结论指出，人民币汇率低估或高估可以对汇率向进口商品价格的传递作出一定程度解释。
第五章人民币汇率波动、价格粘性与汇率传递效应分析。本章研究借鉴了Devereux，Yetman（2010）粘性价格下的小国开放宏观经济的汇率传递效应模型，并加入了汇率波动风险变量，对模型进行了扩展，求解出外国利率冲击，货币政策冲击，技术冲击和汇率波动冲击下的汇率传递效应表达式。并以人民币汇率为例，估计了汇率传递效应决定模型中相关变量的取值，计算了人民币汇率传递效应水平。最后放松了模型中不同冲击的相关变量取值，以研究影响人民币汇率不完全传递的原因。研究结论指出，价格粘性和货币政策是影响人民币汇率不完全传递的主要原因，汇率弹性增大有利于人民币汇率传递效应的提高，但由于汇率弹性增大也意味着企业经营过程中汇率风险增大，会影响到汇率传递效应水平。
第六章主要结论及政策建议。
Exchange rate pass-through effect is defined as exchange rate change impacted on thedomestic prices. In this paper, I researched the RMB exchange rate pass-through effect sincereform in July2005, and divided it into two main parts: Firstly I estimated the levels of RMBexchange rate pass-through effects, Secondly analyzed the factors of incomplete RMBexchange rate pass-through. In the first part, I selected three price indicators: consumer priceindex, enterprise commodity prices and import prices for the research of exchange ratepass-through effects, and used sign restriction SVAR model. In the second part, I discussedthe factors of incomplete exchange rate pass-through effects from the perspective of exchangerate under(over) estimation correlated with debate of RMB exchange rate under(over)estimation, and he perspective of exchange rate fluctuation risk correlated with the reform ofRMB exchange rate regime. I concluded RMB exchange rate pass-through effect had lowlevels, hysteresis effect and large difference in different price indexes features, RMBunder(over) estimation could explained a certain degree of incomplete RMB exchange ratepass-through;The more elasticity of exchange rate would improve the RMB exchange ratepass-through effect; and price stickiness and monetary policy were the main factors ofincomplete exchange rate pass-through. Last, I put forward suggestion of accelerating thereform of RMB exchange rate and improving the elasticity of exchange rate, managing theinflation based on the conclusions.
In this paper, it’s contained6parts,
Chapter1, Introduction. Background, Significance of Research, Basic ideas, Innovationsand Main arguments.
Chapter2, Theory and literature exchange rate pass-through effect reviews. Its containedfour parts: the meaning and mechanism of exchange rate pass-through; theory and literaturereviews; and new process of research in exchange rate pass-through.
Chapter3, the level of RMB exchange rate pass-through effect estimation. This chapteraimed to make a whole estimation and understanding of RMB exchange rate pass-throughsince the reform of RMB exchange rate pass-through effect in July2005. I selected three priceindexes consumer price index, the enterprise commodity prices and import prices, and usedsign restriction SVAR model to eliminate the phenomenon of deviation from economic theorythat lower the level of exchange rate pass-through effects in earlier study, and estimated themore real level of RMB exchange rate pass-through. Its concluded that RMB exchange ratepass-through effect had low levels, hysteresis effect and large difference in different price indexes features.
Chapter4, RMB non-equilibrium exchange rate and exchange rate pass-through. In thispart, I used Ghosh and Rajan(2006) exchange rate pass-through effect model, and testifiedexchange rate pass-through effects is naturally incompletion when the exchange rate hadunder or over estimation. And use the theory into RMB exchange rate pass-through research,Firstly estimating the level of under or over estimation of RMB exchange rate used the BEERmethods between July2005and April2012. Secondly used Campa and Goldberg(2005)import goods price exchange rate pass-through model, empirical analyzed the level of underor over estimation of RMB exchange rate impact on consumer price index, the enterprisecommodity prices and import prices. Its concluded, RMB under or over estimation couldexplain a certain degree of RMB exchange rate pass-through incomplete effect.
Chapter5, RMB exchange rate fluctuations,sticky prices and exchange rate pass-througheffect. Borrowed Devereux, Yetman(2010) sticky price small open macroeconomic exchangerate pass-through determinate model, added the exchange rate fluctuation risk variables toexpand the model, and solved expression of exchange rate pass-through effect under theforeign interest rate shock, monetary policy shock, technology shock and exchange ratefluctuation shock. Take RMB as an example, I estimated the value of variables in the model,and calculated the level of RMB exchange rate pass-through. Last I relaxed the model relatedvariable values under different shocks, in order to analyze the influencing factors ofincomplete RMB exchange rate pass-through. Its concluded, price stickiness and monetarypolicy were the main factor of incomplete exchange rate pass-through effects, the moreelasticity of RMB exchange rate pass-through could improve the exchange rate pass-througheffect, but the more elasticity exchange rate mean higher exchange rate risk in the process ofenterprise operation, and it would affected the exchange rate pass-through.
Chapter6, Main conclusions and Policy suggestions.
引文
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