汇率制度与人民币汇率传递效应研究
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摘要
汇率是宏观经济发展的重要指标之一，它的变动对于一国进出口贸易、国际收支、资源配置等都会产生很大的影响。而通常我们认为，汇率变动对宏观经济的影响主要有两个途径：其一，汇率变动通过影响进口价格水平，进而影响一国贸易收支及分行业（尤其外贸部门）的发展水平，称之为直接传递机制；其二，汇率变动通过影响进口价格水平，从而带来一国国内物价水平的变化，并进一步影响到其货币政策的制定和执行，我们称之为间接传递机制。但无论是哪一种传递机制，汇率变动都是先影响价格水平，再通过价格水平来影响宏观经济，因此价格水平是我们考察汇率变动对宏观经济影响的关键因素。换句话说，研究汇率变动对宏观经济影响的重要前提就是必须弄清楚汇率是如何影响价格水平的，即汇率传递效应。
关于汇率传递的理论研究可以追溯到一价定律和购买力平价，以致传统的宏观经济学领域中的很多理论都是建立在汇率变动对价格水平的传递是充分、完全的基础之上，但现实情况并非如此。20世纪80年代很多经济现象表明，汇率变动对价格水平的传递并不是完全的，这促使很多学者分别从微观理论和新开放经济宏观经济学理论出发，去解释汇率不完全传递产生的原因，近期伴随对汇率传递研究的逐渐深入，研究重点从汇率传递不完全的原因分析转到汇率不完全传递对于宏观经济因素（比如通货膨胀、货币政策等）的影响，探讨了汇率传递对一国贸易收支、汇率制度选择及货币政策选择等的重要影响，这为其理论研究提供了一个全新的分析的框架。
伴随经济全球化进程的不断加快，尤其是2001年11月中国加入WTO以后，积极融入世界经济，国际贸易发展迅速。汇率作为国际贸易之间的重要桥梁，研究人民币汇率传递效应问题，对于探讨汇率变动对贸易的影响是十分必要的。另外，人民币汇率制度改革的不断深化，2005年7月21日人民币汇率制度由单一钉住美元转向以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度，汇率形成机制变得更富有弹性。与此同时，人民币汇率市场化的程度也在逐渐提高，2007年5月和2012年4月央行分别将银行间即期外汇市场人民币兑美元交易价浮动幅度由千分之三扩大至千分之五，并最终升至百分之一。由此可见，人民币汇率的变动越来越具有不可控性，汇率与价格水平之间的联动关系变得越来越复杂。结合中国汇率制度的变化，伴随人民币汇率市场化和波动幅度的不断提高，需要我们全面的去研究汇率传递效应，为汇率制度的选择及货币政策的制定提供参考建议。
本文主要运用自回归分布滞后模型，对汇率直接传递机制、汇率间接传递机制和汇率传递的非对称性三方面进行了研究，全文共设置了八个章节。
第一章导论，主要指出了论文的选题背景、选题意义、研究方法与思路框架，着重强调了研究的创新之处；第二章是国内外相关文献综述，主要是对汇率传递的相关理论与实证文献分别进行了回顾和总结，其中理论文献部分按照研究视角演变的时间顺序，依次归纳总结的，实证文献部分则主要按照后文研究内容，汇率直接传递机制、汇率间接传递机制和汇率传递非对称性三方面分别整理的，详细介绍了国内外具有代表性的实证文献所采用的研究方法、样本数据和研究结论，并在总结人民币汇率传递问题最新研究进展的基础上，进一步指出本研究的创新之处和研究特色，为后面各章节的研究内容打下坚实的理论基础；第三章汇率传递理论模型分析，主要通过理论模型推导的方式，考察汇率传递程度受哪些经济因素的影响，为后文实证模型的确定和经济变量的选取，提供了可靠的科学依据；第四章ARDL模型的构造与分析，介绍了现有研究汇率传递问题采用的模型，如VAR模型、协整检验，从模型原理、结构等方面出发比较分析了各自的优缺点，然后在这基础上对本文所选用的ARDL模型基本结构、建模方法等进行了详细的介绍；第五章汇改前后人民币汇率直接传递机制研究，首先选择最恰当的方法，重新编制了中国总体及分行业的进口价格指数，然后考虑到汇改因素对传递效应可能带来的影响，及传递过程中可能产生的时间滞后效应，分别考察了人民币汇率变动对中国总体和分行业、分贸易部门价格水平的传递效应；第六章汇改前人民币汇率间接传递机制研究，考察伴随汇改后汇率形成机制更富有弹性和市场化基础上，人民币汇率变动对国内物价水平（选用CPI和PPI两个衡量指标）的传递效应；第七章人民币汇率传递效应的非对称性研究，通过设置虚拟变量的方法，分别考察不同汇率变动方向及汇率变动幅度背景下，人民币汇率传递效应是否发生显著变化，即人民币汇率传递效应是否存在非对称性的特征；最后一章全文的研究结论及后续研究方向，这一部分将对前面各章研究内容及结果进行总结，并在此基础上为政策当局制定合适的宏观经济政策，单个企业选择最优的定价策略等提出具有参考性的建议，同时探讨了可以进一步研究的方向。
通过前文的理论与实证研究可以得到如下结论与启示：
第一，调整中国外部失衡不能过度依赖人民币升值。本文的实证研究表明，人民币汇率对进口价格水平的传递效应较大，因此通过调整汇率水平来平衡国际贸易收支是可以实现的。但人民币汇率对消费者价格水平和生产者价格水平的传递效应都较小，这在一定程度上会削弱支出转换效应，通过调整汇率水平来平衡国际贸易收支的作用减弱。这为2005年汇改以后虽然人民币不断升值但贸易顺差仍不断增加的现象提供了解释。因此，为了调整外部失衡，平衡贸易收支的方法，除了人民币适度升值以外，还应该从扩大内需、升级产业结构等方面入手。
第二，通过人民币升值来治理通货膨胀作用有限。从考察汇率传递程度的实证结果来看，仅仅依赖汇率政策来治理通过膨胀效果实在有限，随着我国经济体融入世界的步伐正在加快，国际大宗商品价格冲击，全球流动性过剩等非汇率变动的外来冲击对我国的宏观经济带来了愈来愈大的影响，这也加大了我国治理通货膨胀的难度。在通货膨胀国际化日趋明显的今天，世界各个国家在加强财政自律，实施有效的货币政策来积极应对通货膨胀的同时，国际协调机制在应对通货膨胀方面作用日趋重要。
第三，制定合理的产业政策，提高中国在进口贸易中的话语权。研究人民币汇率变动对分贸易部门进口价格水平的传递效应，由于各贸易部门的商品需求弹性和产品属性等不同，其模型估计结果在参数大小与其显著程度方面都有很大差异，这意味着一方面政策当局必须正确把握不同贸易行业对人民币汇率变动的敏感程度，优化产业结构和增长模式，大力发展自主品牌，减少对外依存度，以及进口贸易中受制于人的可能性，增强经济发展的自主性，提高经济发展的质量，从而为制定合理的产业政策、关税政策提供理论依据和实证支持；同时就单个企业而言，有必要正确认识所在行业贸易企业对人民币汇率变动的敏感程度，这也有利于企业自身制定合理的定价策略和竞争策略，提高在进口贸易中的定价权。
第四，推行渐进、稳步的人民汇率制度改革。本文关于人民币汇率传递效应的研究表明，在汇率变动对个别产业进口价格的传递中，以及对国内物价水平的传递中都产生了显著的影响。这意味着人民币汇率制度改革需要一个稳定的价格环境和宏观经济环境，面对国内外各种不确定性因素，应该尽量避免外部冲击成为不确定性来源或经济波动根源，我国货币当局面临着很大的挑战，为避免一步到位、激进改革所引致的汇率剧烈波动，进而破坏国内稳定的物价水平，我国需要渐进、稳步的推行人民币汇率制度改革。在不断深化人民币汇率制度改革的同时，动态管理和调节人民币汇率浮动，保持人民币在合理、均衡水平上基本稳定。
Exchange rate is one of the important indicators of macro economydevelopment, it influences one country's import and export trade, theinternational balance of payments, and allocation of resources a lot. And weusually think, exchange rate changes impact on the macro economy in two ways:first, the exchange rate affects a country's trade balance and divisions(especially the foreign trade department) by influencing the import price, it iscalled direct transmission mechanism; Second, the exchange rate affects acountry's domestic price changes and further affect the implementation ofmonetary policy, by influencing the import price level, we call it the indirecttransmission mechanism. But no matter which kind of the transfer mechanism,exchange rate changes all affect the price level first, then influence themacroeconomic, therefore the price level is the key factors. In other words,before we study the macroeconomic effects of exchange rate changes, we mustfind out how the exchange rate affects the price level, which is called exchangerate pass-through effect.
The theory of exchange rate pass-through can be traced back to the law ofone price and purchasing power parity, so that many theories in the field oftraditional macroeconomics all built on the basis of complete exchange ratepass-through effect, but the reality is not the case. A lot of economicphenomenon in the1980s showed that the exchange rate pass-through effect isnot complete, which has prompted many scholars explaining the reasonsrespectively from microeconomic theory and the new open economymacroeconomics theory. Recently the research focus transferred from theanalysis of reasons on exchange rate pass-through effect is not complete to theexchange rate pass-through’s influence on the macroeconomic factors(such asinflation, monetary policy, etc.), and further on a country's trade balance,exchange rate regime and monetary policy choice and so on, which provided anew analysis framework.
With the globalization of the economy, especially after China became themember of WTO in November2001, international trade develops rapidly.Exchange rate as an important bridge between the trade, the study on theRMB’s exchange rate pass-through effect is very necessary. In addition, withthe deepening reform of the RMB exchange rate, on July21,2005, the regime changes from a single peg to the dollar into based on market supply anddemand, reference to a basket of currencies, managed floating exchange rateregime, exchange rate formation mechanism becomes more flexible. At thesame time, the degree of marketization of RMB exchange rate has also beengradually improved, in May2007and April2012, the central bank respectivelythe inter-bank spot foreign exchange market the yuan against the dollar tradedfloating ranges changed from three over one thousand to five over one thousand,and eventually rose to one percent. Thus, the RMB exchange rate changes moreuncontrollable, and the relationship between exchange rate and price level isbecoming more and more complicated. Considering the changes of China'sexchange rate regime, along with the constant improvement of themarketization and volatility of RMB exchange rate, we should t study theexchange rate pass-through effect, and try to give recommendations on thechoice of exchange rate and monetary policy.
In this paper, we use the autoregressive distributed lag model to study theexchange rate direct pass-through mechanism, indirect pass-throughmechanism and the asymmetry of the exchange rate pass-through effect, herethis paper has eight chapters. Chapter1is introduction, mainly points out thetopic background, significance, research methods and framework, especiallyemphasizes the research innovation; Chapter2is the related literature both athome and abroad, reviews and summarizes the related theory and empiricalevidence, the theoretical literature part sums up according to the time sequenceof the research angle, the empirical literature part introduces the typicalliterature on the research methods, sample data and the research conclusion, indetail; Chapter3is exchange rate pass-though theory model, studies theeconomic factors influencing the exchange rate pass-through effect, to providereliable scientific basis to the later determination of the empirical model andthe selection of economic variables; Chapter4is the construction and analysisof ARDL model, this part introduces and compares VAR model andco-integration test adopted by the studies on exchange rate pass-through effect,and then gives the detailed introduction and explanation on ARDL model;Chapter5compares the RMB’s direct pass-through effect before and after theexchange rate revaluation, based on selecting the most appropriate method andcalculating China's import price index, this chapter considers the exchange rate revaluation’s impact on t China's overall and divisions direct pass-througheffect, and the possible time lag effect; Chapter6compares the RMB’s indirectpass-through effect before and after the exchange rate revaluation, this paperchooses two indicators CPI and PPI to describe the domestic price level;Chapter7explores the asymmetrical effect of RMB changes on the domesticprice level by setting the virtual variable method, study whether the exchangerate pass-though effect changed significantly, when the exchange rate changesin different direction and amplitude; The last chapter summarizes theconclusions and the discusses the future study direction.
Based on the above theoretical and empirical research, we can get thefollowing conclusion and revelation:
Firstly, the adjustment of China's external imbalances cannot overlydepend on the appreciation of RMB. In this paper, empirical research showsthat the RMB exchange rate direct pass-through effect is relatively large, so thegoal of balancing the international trade is achievable by adjusting theexchange rate. But the exchange rate indirect pass-through effect is relativelysmall, so the role of adjusting the exchange rate to balance the internationaltrade is weaken to a certain extent. The results provides the explanation for thephenomenon of along with the appreciating of RMB, trade surplus still growing.So therefore, in order to adjust the external imbalances, in addition to a modestappreciation of RMB, the government should also expanding domestic demand,upgrading industrial structure and other aspects.
Secondly, the effect of only relying on the exchange rate to control inflationis limited. Along with our country’s economy develops very fast, many factorssuch as international commodity price shock,global excess liquidity influencesthe macro economy a lot, which also increases the difficulty of the governanceon the inflation in China. Today the internationalization of inflation has becomeincreasingly obvious, each country strengthens the fiscal discipline, implementeffective monetary policy to actively cope with inflation at the same time, nowthe international coordination mechanism plays more important role in copingwith inflation.
Thirdly, the government should establish the reasonable industrial policyto improve China's voice in the import trade. The exchange rate pass-througheffect differs a lot for different trade sections, due to various demand elasticity, product properties, and so on. It means that the policy authorities shouldcorrectly learn about the sensitive degree of the exchange rate changes ondifferent trade industry, optimize the industrial structure and growth pattern,develop our country’s own brands, reduce external dependency, strengthen theautonomy of economic development, and improve the quality of economicdevelopment. This research provides the theoretical basis and empiricalsupport to set up reasonable industrial policies and tariff policy. At the sametime in terms of a single enterprise, it is also helpful to establish a reasonablepricing strategy and competition strategy, besides improving the pricing powerin the import trade.
Fourthly, the authority should keep the exchange rate reforming steadily.The results show that the exchange rate has significant impact on someindustries’ import price and the domestic price. It means that the RMBexchange rate reform needs stable price and macroeconomic environment.When facing all kinds of uncertainty factors at home and abroad, the authorityshould try to avoid external shocks or economic fluctuations. While deepeningthe reform of RMB exchange rate, currency authorities need to limit andmanage the hot money inflows, keep monetary policy independence, anddynamically manage the RMB exchange rate floating, to keep the exchange ratebasically stable at a reasonable and balanced level.
关于汇率传递的理论研究可以追溯到一价定律和购买力平价，以致传统的宏观经济学领域中的很多理论都是建立在汇率变动对价格水平的传递是充分、完全的基础之上，但现实情况并非如此。20世纪80年代很多经济现象表明，汇率变动对价格水平的传递并不是完全的，这促使很多学者分别从微观理论和新开放经济宏观经济学理论出发，去解释汇率不完全传递产生的原因，近期伴随对汇率传递研究的逐渐深入，研究重点从汇率传递不完全的原因分析转到汇率不完全传递对于宏观经济因素（比如通货膨胀、货币政策等）的影响，探讨了汇率传递对一国贸易收支、汇率制度选择及货币政策选择等的重要影响，这为其理论研究提供了一个全新的分析的框架。
伴随经济全球化进程的不断加快，尤其是2001年11月中国加入WTO以后，积极融入世界经济，国际贸易发展迅速。汇率作为国际贸易之间的重要桥梁，研究人民币汇率传递效应问题，对于探讨汇率变动对贸易的影响是十分必要的。另外，人民币汇率制度改革的不断深化，2005年7月21日人民币汇率制度由单一钉住美元转向以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度，汇率形成机制变得更富有弹性。与此同时，人民币汇率市场化的程度也在逐渐提高，2007年5月和2012年4月央行分别将银行间即期外汇市场人民币兑美元交易价浮动幅度由千分之三扩大至千分之五，并最终升至百分之一。由此可见，人民币汇率的变动越来越具有不可控性，汇率与价格水平之间的联动关系变得越来越复杂。结合中国汇率制度的变化，伴随人民币汇率市场化和波动幅度的不断提高，需要我们全面的去研究汇率传递效应，为汇率制度的选择及货币政策的制定提供参考建议。
本文主要运用自回归分布滞后模型，对汇率直接传递机制、汇率间接传递机制和汇率传递的非对称性三方面进行了研究，全文共设置了八个章节。
第一章导论，主要指出了论文的选题背景、选题意义、研究方法与思路框架，着重强调了研究的创新之处；第二章是国内外相关文献综述，主要是对汇率传递的相关理论与实证文献分别进行了回顾和总结，其中理论文献部分按照研究视角演变的时间顺序，依次归纳总结的，实证文献部分则主要按照后文研究内容，汇率直接传递机制、汇率间接传递机制和汇率传递非对称性三方面分别整理的，详细介绍了国内外具有代表性的实证文献所采用的研究方法、样本数据和研究结论，并在总结人民币汇率传递问题最新研究进展的基础上，进一步指出本研究的创新之处和研究特色，为后面各章节的研究内容打下坚实的理论基础；第三章汇率传递理论模型分析，主要通过理论模型推导的方式，考察汇率传递程度受哪些经济因素的影响，为后文实证模型的确定和经济变量的选取，提供了可靠的科学依据；第四章ARDL模型的构造与分析，介绍了现有研究汇率传递问题采用的模型，如VAR模型、协整检验，从模型原理、结构等方面出发比较分析了各自的优缺点，然后在这基础上对本文所选用的ARDL模型基本结构、建模方法等进行了详细的介绍；第五章汇改前后人民币汇率直接传递机制研究，首先选择最恰当的方法，重新编制了中国总体及分行业的进口价格指数，然后考虑到汇改因素对传递效应可能带来的影响，及传递过程中可能产生的时间滞后效应，分别考察了人民币汇率变动对中国总体和分行业、分贸易部门价格水平的传递效应；第六章汇改前人民币汇率间接传递机制研究，考察伴随汇改后汇率形成机制更富有弹性和市场化基础上，人民币汇率变动对国内物价水平（选用CPI和PPI两个衡量指标）的传递效应；第七章人民币汇率传递效应的非对称性研究，通过设置虚拟变量的方法，分别考察不同汇率变动方向及汇率变动幅度背景下，人民币汇率传递效应是否发生显著变化，即人民币汇率传递效应是否存在非对称性的特征；最后一章全文的研究结论及后续研究方向，这一部分将对前面各章研究内容及结果进行总结，并在此基础上为政策当局制定合适的宏观经济政策，单个企业选择最优的定价策略等提出具有参考性的建议，同时探讨了可以进一步研究的方向。
通过前文的理论与实证研究可以得到如下结论与启示：
第一，调整中国外部失衡不能过度依赖人民币升值。本文的实证研究表明，人民币汇率对进口价格水平的传递效应较大，因此通过调整汇率水平来平衡国际贸易收支是可以实现的。但人民币汇率对消费者价格水平和生产者价格水平的传递效应都较小，这在一定程度上会削弱支出转换效应，通过调整汇率水平来平衡国际贸易收支的作用减弱。这为2005年汇改以后虽然人民币不断升值但贸易顺差仍不断增加的现象提供了解释。因此，为了调整外部失衡，平衡贸易收支的方法，除了人民币适度升值以外，还应该从扩大内需、升级产业结构等方面入手。
第二，通过人民币升值来治理通货膨胀作用有限。从考察汇率传递程度的实证结果来看，仅仅依赖汇率政策来治理通过膨胀效果实在有限，随着我国经济体融入世界的步伐正在加快，国际大宗商品价格冲击，全球流动性过剩等非汇率变动的外来冲击对我国的宏观经济带来了愈来愈大的影响，这也加大了我国治理通货膨胀的难度。在通货膨胀国际化日趋明显的今天，世界各个国家在加强财政自律，实施有效的货币政策来积极应对通货膨胀的同时，国际协调机制在应对通货膨胀方面作用日趋重要。
第三，制定合理的产业政策，提高中国在进口贸易中的话语权。研究人民币汇率变动对分贸易部门进口价格水平的传递效应，由于各贸易部门的商品需求弹性和产品属性等不同，其模型估计结果在参数大小与其显著程度方面都有很大差异，这意味着一方面政策当局必须正确把握不同贸易行业对人民币汇率变动的敏感程度，优化产业结构和增长模式，大力发展自主品牌，减少对外依存度，以及进口贸易中受制于人的可能性，增强经济发展的自主性，提高经济发展的质量，从而为制定合理的产业政策、关税政策提供理论依据和实证支持；同时就单个企业而言，有必要正确认识所在行业贸易企业对人民币汇率变动的敏感程度，这也有利于企业自身制定合理的定价策略和竞争策略，提高在进口贸易中的定价权。
第四，推行渐进、稳步的人民汇率制度改革。本文关于人民币汇率传递效应的研究表明，在汇率变动对个别产业进口价格的传递中，以及对国内物价水平的传递中都产生了显著的影响。这意味着人民币汇率制度改革需要一个稳定的价格环境和宏观经济环境，面对国内外各种不确定性因素，应该尽量避免外部冲击成为不确定性来源或经济波动根源，我国货币当局面临着很大的挑战，为避免一步到位、激进改革所引致的汇率剧烈波动，进而破坏国内稳定的物价水平，我国需要渐进、稳步的推行人民币汇率制度改革。在不断深化人民币汇率制度改革的同时，动态管理和调节人民币汇率浮动，保持人民币在合理、均衡水平上基本稳定。
Exchange rate is one of the important indicators of macro economydevelopment, it influences one country's import and export trade, theinternational balance of payments, and allocation of resources a lot. And weusually think, exchange rate changes impact on the macro economy in two ways:first, the exchange rate affects a country's trade balance and divisions(especially the foreign trade department) by influencing the import price, it iscalled direct transmission mechanism; Second, the exchange rate affects acountry's domestic price changes and further affect the implementation ofmonetary policy, by influencing the import price level, we call it the indirecttransmission mechanism. But no matter which kind of the transfer mechanism,exchange rate changes all affect the price level first, then influence themacroeconomic, therefore the price level is the key factors. In other words,before we study the macroeconomic effects of exchange rate changes, we mustfind out how the exchange rate affects the price level, which is called exchangerate pass-through effect.
The theory of exchange rate pass-through can be traced back to the law ofone price and purchasing power parity, so that many theories in the field oftraditional macroeconomics all built on the basis of complete exchange ratepass-through effect, but the reality is not the case. A lot of economicphenomenon in the1980s showed that the exchange rate pass-through effect isnot complete, which has prompted many scholars explaining the reasonsrespectively from microeconomic theory and the new open economymacroeconomics theory. Recently the research focus transferred from theanalysis of reasons on exchange rate pass-through effect is not complete to theexchange rate pass-through’s influence on the macroeconomic factors(such asinflation, monetary policy, etc.), and further on a country's trade balance,exchange rate regime and monetary policy choice and so on, which provided anew analysis framework.
With the globalization of the economy, especially after China became themember of WTO in November2001, international trade develops rapidly.Exchange rate as an important bridge between the trade, the study on theRMB’s exchange rate pass-through effect is very necessary. In addition, withthe deepening reform of the RMB exchange rate, on July21,2005, the regime changes from a single peg to the dollar into based on market supply anddemand, reference to a basket of currencies, managed floating exchange rateregime, exchange rate formation mechanism becomes more flexible. At thesame time, the degree of marketization of RMB exchange rate has also beengradually improved, in May2007and April2012, the central bank respectivelythe inter-bank spot foreign exchange market the yuan against the dollar tradedfloating ranges changed from three over one thousand to five over one thousand,and eventually rose to one percent. Thus, the RMB exchange rate changes moreuncontrollable, and the relationship between exchange rate and price level isbecoming more and more complicated. Considering the changes of China'sexchange rate regime, along with the constant improvement of themarketization and volatility of RMB exchange rate, we should t study theexchange rate pass-through effect, and try to give recommendations on thechoice of exchange rate and monetary policy.
In this paper, we use the autoregressive distributed lag model to study theexchange rate direct pass-through mechanism, indirect pass-throughmechanism and the asymmetry of the exchange rate pass-through effect, herethis paper has eight chapters. Chapter1is introduction, mainly points out thetopic background, significance, research methods and framework, especiallyemphasizes the research innovation; Chapter2is the related literature both athome and abroad, reviews and summarizes the related theory and empiricalevidence, the theoretical literature part sums up according to the time sequenceof the research angle, the empirical literature part introduces the typicalliterature on the research methods, sample data and the research conclusion, indetail; Chapter3is exchange rate pass-though theory model, studies theeconomic factors influencing the exchange rate pass-through effect, to providereliable scientific basis to the later determination of the empirical model andthe selection of economic variables; Chapter4is the construction and analysisof ARDL model, this part introduces and compares VAR model andco-integration test adopted by the studies on exchange rate pass-through effect,and then gives the detailed introduction and explanation on ARDL model;Chapter5compares the RMB’s direct pass-through effect before and after theexchange rate revaluation, based on selecting the most appropriate method andcalculating China's import price index, this chapter considers the exchange rate revaluation’s impact on t China's overall and divisions direct pass-througheffect, and the possible time lag effect; Chapter6compares the RMB’s indirectpass-through effect before and after the exchange rate revaluation, this paperchooses two indicators CPI and PPI to describe the domestic price level;Chapter7explores the asymmetrical effect of RMB changes on the domesticprice level by setting the virtual variable method, study whether the exchangerate pass-though effect changed significantly, when the exchange rate changesin different direction and amplitude; The last chapter summarizes theconclusions and the discusses the future study direction.
Based on the above theoretical and empirical research, we can get thefollowing conclusion and revelation:
Firstly, the adjustment of China's external imbalances cannot overlydepend on the appreciation of RMB. In this paper, empirical research showsthat the RMB exchange rate direct pass-through effect is relatively large, so thegoal of balancing the international trade is achievable by adjusting theexchange rate. But the exchange rate indirect pass-through effect is relativelysmall, so the role of adjusting the exchange rate to balance the internationaltrade is weaken to a certain extent. The results provides the explanation for thephenomenon of along with the appreciating of RMB, trade surplus still growing.So therefore, in order to adjust the external imbalances, in addition to a modestappreciation of RMB, the government should also expanding domestic demand,upgrading industrial structure and other aspects.
Secondly, the effect of only relying on the exchange rate to control inflationis limited. Along with our country’s economy develops very fast, many factorssuch as international commodity price shock,global excess liquidity influencesthe macro economy a lot, which also increases the difficulty of the governanceon the inflation in China. Today the internationalization of inflation has becomeincreasingly obvious, each country strengthens the fiscal discipline, implementeffective monetary policy to actively cope with inflation at the same time, nowthe international coordination mechanism plays more important role in copingwith inflation.
Thirdly, the government should establish the reasonable industrial policyto improve China's voice in the import trade. The exchange rate pass-througheffect differs a lot for different trade sections, due to various demand elasticity, product properties, and so on. It means that the policy authorities shouldcorrectly learn about the sensitive degree of the exchange rate changes ondifferent trade industry, optimize the industrial structure and growth pattern,develop our country’s own brands, reduce external dependency, strengthen theautonomy of economic development, and improve the quality of economicdevelopment. This research provides the theoretical basis and empiricalsupport to set up reasonable industrial policies and tariff policy. At the sametime in terms of a single enterprise, it is also helpful to establish a reasonablepricing strategy and competition strategy, besides improving the pricing powerin the import trade.
Fourthly, the authority should keep the exchange rate reforming steadily.The results show that the exchange rate has significant impact on someindustries’ import price and the domestic price. It means that the RMBexchange rate reform needs stable price and macroeconomic environment.When facing all kinds of uncertainty factors at home and abroad, the authorityshould try to avoid external shocks or economic fluctuations. While deepeningthe reform of RMB exchange rate, currency authorities need to limit andmanage the hot money inflows, keep monetary policy independence, anddynamically manage the RMB exchange rate floating, to keep the exchange ratebasically stable at a reasonable and balanced level.
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