人民币汇率波动对价格传导效应的研究
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摘要
汇率作为重要的宏观经济变量,不仅是观察一国经济状况的重要指标,而且也是一国进行宏观调控的重要政策手段。本文试图将汇率与价格水平两个宏观经济变量联系在一起,对汇率波动对于国内价格水平的传导效率进行分析,通过实证检验反映我国汇率波动对于价格的影响效果和时滞,进而分析在当前汇率—价格传导效率的情况下相应的汇率制度的优劣。
学术界对于汇率—价格的传导问题有着广泛的研究,特别是新开放宏观经济学创立以来,以此为基础的研究对汇率—价格的传导做了深入的理论分析。本文首先对新开放宏观经济模型,以及以该理论为基础构建的汇率—价格不完全传导理论进行了分析和比较,以期使本文有清晰的理论脉络。而后,为了比较准确的反映目前我国的汇率—价格传导的效率,本文通过误差修正模型和脉冲分析对我国汇率波动对于价格传导的效率和时滞进行了定量的分析。最后,在以上的理论和实证分析基础上,本文从汇率—价格传导效率的角度对于我国目前应采用的汇率制度进行的分析和探讨。
通过实证研究,我们发现我国汇率波动对于价格的传导效率处于较低的水平。因而本文认为在目前的情况下保持固定汇率制度或是盯住汇率制度更加符合我国的经济利益,更加有助于我国经济的长期发展。
As one of the important macroeconomic variable, foreign exchange rate is not only index of the economy, but also a macroscopic policy tool. Meanwhile many academic researches force on the influence of foreign exchange rate on the economy and the price level. And these researches and discussions about this topic just prompt the development of the theory and the macroscopic policy. As the growth of the economy and globalization of China, the appeal for the appreciation of RMB grows stronger. So the study of pass-through effect will benefit the decision of foreign exchange policy and foreign exchange rate regime and prompt the steady growth of China’s economy.
Among the dissertations of foreign exchange rate pass-through effect, they all base on the model of New Open Economy Macroeconomic (NOEM) which created by Obstfeld and Rogoff. With differences from previous macroeconomic model, NOEM try to create a macroeconomic model with a microeconomic basement, moreover the NOEM model uses the assumption of sticky price, sticky wage and non-market clearing to replace the assumption of rigid price, rigid wage of Keynes Model and the assumption of market clearing of neoclassical model. So the NOEM model not only provide an effective tool for analyzing the pass-through effect, but also provide new methods to researches on the issues of the monetary policy, economic shocks, incorporation of international economic policy.
In the theory analysis of my dissertation, I force on the LCP (Local Currency Pricing)/PCP (Producer Currency Pricing) theory and PTM (Price to Market) theory which all base on the NOEM model. And these two theories analyze the low pass-through effect from different views. PCP/LCP theory manipulates the pricing assumption of NOEM and concludes that the pass-though is effective under the PCP condition; however the pass-through effect is low under the LCP condition. While PTM theory just emphasis on the micro factors that influence the pass-through effect. In the PTM theory, there are two reasons that bring about the low pass-through effect. One is the different price markup in different place which caused by market segmentation. The other is logistic cost in the import country. So in the PTM model, it introduces the two factors above in order to explain the low pass-through effect.
The purpose of analysis of the foreign exchange rate pass-through effect in my dissertation is to build connection between the pass-through theory and the foreign exchange regime theory in order to find the proper foreign exchange regime under the current condition in China. So I make the comparison of the fixed exchange rate regime and the floating exchange regime from four different views which are the stabilization, adjustment efficiency, insulation of inflation and policy mix of microscopic. Furthermore my dissertation analyzes the connection between pass-through theory and foreign exchange rate regime theory from two aspects. One is the expenditure-switch effect; the other is insulation of imported inflation. Through the theory analysis, we find that floating exchange rate regime has more benefits when expenditure-switch effect is strong or the insulation of imported inflation is effective. And fixed exchange rate regime is more proper in the opposite situation.
It is nature that theory analysis always needs the support of the empirical analysis in order to have the concise view of the economy. So I use cointegration test, error correction model (ECM) and impulse analysis method to analyze the influence of foreign exchange rate on CPI and PPI. From the result, I find that foreign exchange rate pass-through effect is low in China, so it is appropriate to adopt fixed exchange rate regime or pegging exchange rate regime under the current condition.
学术界对于汇率—价格的传导问题有着广泛的研究,特别是新开放宏观经济学创立以来,以此为基础的研究对汇率—价格的传导做了深入的理论分析。本文首先对新开放宏观经济模型,以及以该理论为基础构建的汇率—价格不完全传导理论进行了分析和比较,以期使本文有清晰的理论脉络。而后,为了比较准确的反映目前我国的汇率—价格传导的效率,本文通过误差修正模型和脉冲分析对我国汇率波动对于价格传导的效率和时滞进行了定量的分析。最后,在以上的理论和实证分析基础上,本文从汇率—价格传导效率的角度对于我国目前应采用的汇率制度进行的分析和探讨。
通过实证研究,我们发现我国汇率波动对于价格的传导效率处于较低的水平。因而本文认为在目前的情况下保持固定汇率制度或是盯住汇率制度更加符合我国的经济利益,更加有助于我国经济的长期发展。
As one of the important macroeconomic variable, foreign exchange rate is not only index of the economy, but also a macroscopic policy tool. Meanwhile many academic researches force on the influence of foreign exchange rate on the economy and the price level. And these researches and discussions about this topic just prompt the development of the theory and the macroscopic policy. As the growth of the economy and globalization of China, the appeal for the appreciation of RMB grows stronger. So the study of pass-through effect will benefit the decision of foreign exchange policy and foreign exchange rate regime and prompt the steady growth of China’s economy.
Among the dissertations of foreign exchange rate pass-through effect, they all base on the model of New Open Economy Macroeconomic (NOEM) which created by Obstfeld and Rogoff. With differences from previous macroeconomic model, NOEM try to create a macroeconomic model with a microeconomic basement, moreover the NOEM model uses the assumption of sticky price, sticky wage and non-market clearing to replace the assumption of rigid price, rigid wage of Keynes Model and the assumption of market clearing of neoclassical model. So the NOEM model not only provide an effective tool for analyzing the pass-through effect, but also provide new methods to researches on the issues of the monetary policy, economic shocks, incorporation of international economic policy.
In the theory analysis of my dissertation, I force on the LCP (Local Currency Pricing)/PCP (Producer Currency Pricing) theory and PTM (Price to Market) theory which all base on the NOEM model. And these two theories analyze the low pass-through effect from different views. PCP/LCP theory manipulates the pricing assumption of NOEM and concludes that the pass-though is effective under the PCP condition; however the pass-through effect is low under the LCP condition. While PTM theory just emphasis on the micro factors that influence the pass-through effect. In the PTM theory, there are two reasons that bring about the low pass-through effect. One is the different price markup in different place which caused by market segmentation. The other is logistic cost in the import country. So in the PTM model, it introduces the two factors above in order to explain the low pass-through effect.
The purpose of analysis of the foreign exchange rate pass-through effect in my dissertation is to build connection between the pass-through theory and the foreign exchange regime theory in order to find the proper foreign exchange regime under the current condition in China. So I make the comparison of the fixed exchange rate regime and the floating exchange regime from four different views which are the stabilization, adjustment efficiency, insulation of inflation and policy mix of microscopic. Furthermore my dissertation analyzes the connection between pass-through theory and foreign exchange rate regime theory from two aspects. One is the expenditure-switch effect; the other is insulation of imported inflation. Through the theory analysis, we find that floating exchange rate regime has more benefits when expenditure-switch effect is strong or the insulation of imported inflation is effective. And fixed exchange rate regime is more proper in the opposite situation.
It is nature that theory analysis always needs the support of the empirical analysis in order to have the concise view of the economy. So I use cointegration test, error correction model (ECM) and impulse analysis method to analyze the influence of foreign exchange rate on CPI and PPI. From the result, I find that foreign exchange rate pass-through effect is low in China, so it is appropriate to adopt fixed exchange rate regime or pegging exchange rate regime under the current condition.
引文
[1]姜波克,杨长江.国际金融学(第二版) [M].北京:高等教育出版社, 2004
[2]高鸿业.西方经济学(宏观部分).[M].北京:中国人民大学出版社, 2004
[3]张世英,许启发,周红.金融时间序列分析[M].北京:清华大学出版社, 2008
[4]邹平.金融计量学[M].上海:上海财经大学出版社, 2005
[5]罗默.高级宏观经济(第二版) [M].上海:上海财经大学出版社,2003
[6]陈浪南,何秀红,陈云.人民币汇率波动的价格传导效应研究[J].国际金融研究,2008(6)
[7]毕玉江,朱钟棣.人民币汇率变动的价格传递效应[J].财经研究,2006(7)
[8]王健,吴振球.新凯恩斯主义开放经济理论新进展[J].财经理论与实践,2004(11)
[9]陈六傅,刘厚俊.人民币汇率的价格传递效应[J].金融研究,2007(4)
[10]王爱俭.国际金融理论研究:进展与评述[M].北京:中国金融出版社,2005
[11]杨可扬.基于VAR模型的人民币汇率传导率实证研究[J].知识经济,2009(3)
[12]朱路,于李娜.有效汇率波动对国内价格的传递效应研究[J].世界经济研究,2008(6)
[13]中国人民银行营业部课题组.外部冲击与我国物价水平的决定—基于结构VAR模型的分析[J].财经研究,2009(8)外文参考文献
[1] Burstein, Neves and Rebelo.Distribution costs and real exchange rate dynamics during exchange rate based stabilizations [J].Journal of Monetary Economics, 2003, Vol. 50, pp. 1189-1214
[2] Campa and Goldberg.Exchange rate pass-through into import price: macro or micro phenomenon [J].IESE Research Paper, 2002, No. 475
[3] Corsetti and Dedola..A macroeconomic model of international price discrimination [J].Journal of International Economics, 2005, Vol. 67, pp. 129-155
[4] Dornbusch, R. Exchange Rates and Price [J]. The American Economic Review, 1987, Vol. 77, pp. 93-106
[5] Ghironi, F. Towards new open economy macroeconometrics [J].Mimeo, Federal Reserve Bank of New York,2000
[6] Menon, J. The Degree and Determinants of Exchange Rate Pass-through: Market Structure, Non-Tariff Barriers and Multinational Corporation [J].The Economic Journal, 1996, Vol. 106, pp. 434-444.
[7] Obstfeld, M.Pricing to Market, the Interest Rate Rule, and the Exchange Rate [C]. 2006
[8] Obstfeld, M..Exchange rate dynamics redux [J].The Journal of Political Economy, 1995, Vol. 103, pp.624-660
[9] Obstfeld, M. and Rogoff.The Mirage of Fixed Exchange Rate [J] . Journal of Economic Perspectives, 1995, Vol. 9, pp.73-96
[10] Obstfeld, M. and Rogoff.Exchange rates and adjustment: Perspective from the new open-economy macroeconomics [C] .2002
[11] Devereux and Yetman.Price Adjustment and exchange rate pass-through [J].Journal of International Money and Finance, 2008
[12] Smets and Wouters.Openness, imperfect exchange rate pass-through and monetary policy [J].Journal of Monetary Economics, 2002, Vol. 49, pp. 947-981
中华人民共和国国家统计局. www.stats.gov.cn
U.S. Bureau of Labor Statistics. www.bls.gov
[2]高鸿业.西方经济学(宏观部分).[M].北京:中国人民大学出版社, 2004
[3]张世英,许启发,周红.金融时间序列分析[M].北京:清华大学出版社, 2008
[4]邹平.金融计量学[M].上海:上海财经大学出版社, 2005
[5]罗默.高级宏观经济(第二版) [M].上海:上海财经大学出版社,2003
[6]陈浪南,何秀红,陈云.人民币汇率波动的价格传导效应研究[J].国际金融研究,2008(6)
[7]毕玉江,朱钟棣.人民币汇率变动的价格传递效应[J].财经研究,2006(7)
[8]王健,吴振球.新凯恩斯主义开放经济理论新进展[J].财经理论与实践,2004(11)
[9]陈六傅,刘厚俊.人民币汇率的价格传递效应[J].金融研究,2007(4)
[10]王爱俭.国际金融理论研究:进展与评述[M].北京:中国金融出版社,2005
[11]杨可扬.基于VAR模型的人民币汇率传导率实证研究[J].知识经济,2009(3)
[12]朱路,于李娜.有效汇率波动对国内价格的传递效应研究[J].世界经济研究,2008(6)
[13]中国人民银行营业部课题组.外部冲击与我国物价水平的决定—基于结构VAR模型的分析[J].财经研究,2009(8)外文参考文献
[1] Burstein, Neves and Rebelo.Distribution costs and real exchange rate dynamics during exchange rate based stabilizations [J].Journal of Monetary Economics, 2003, Vol. 50, pp. 1189-1214
[2] Campa and Goldberg.Exchange rate pass-through into import price: macro or micro phenomenon [J].IESE Research Paper, 2002, No. 475
[3] Corsetti and Dedola..A macroeconomic model of international price discrimination [J].Journal of International Economics, 2005, Vol. 67, pp. 129-155
[4] Dornbusch, R. Exchange Rates and Price [J]. The American Economic Review, 1987, Vol. 77, pp. 93-106
[5] Ghironi, F. Towards new open economy macroeconometrics [J].Mimeo, Federal Reserve Bank of New York,2000
[6] Menon, J. The Degree and Determinants of Exchange Rate Pass-through: Market Structure, Non-Tariff Barriers and Multinational Corporation [J].The Economic Journal, 1996, Vol. 106, pp. 434-444.
[7] Obstfeld, M.Pricing to Market, the Interest Rate Rule, and the Exchange Rate [C]. 2006
[8] Obstfeld, M..Exchange rate dynamics redux [J].The Journal of Political Economy, 1995, Vol. 103, pp.624-660
[9] Obstfeld, M. and Rogoff.The Mirage of Fixed Exchange Rate [J] . Journal of Economic Perspectives, 1995, Vol. 9, pp.73-96
[10] Obstfeld, M. and Rogoff.Exchange rates and adjustment: Perspective from the new open-economy macroeconomics [C] .2002
[11] Devereux and Yetman.Price Adjustment and exchange rate pass-through [J].Journal of International Money and Finance, 2008
[12] Smets and Wouters.Openness, imperfect exchange rate pass-through and monetary policy [J].Journal of Monetary Economics, 2002, Vol. 49, pp. 947-981
中华人民共和国国家统计局. www.stats.gov.cn
U.S. Bureau of Labor Statistics. www.bls.gov