不完全汇率传导理论在中国的应用
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摘要
2005年7月21日,中国人民银行宣布人民币升值2%,人民币汇率制度不再钉住美元,而是以市场供求为基础、参考一篮子货币进行调节、有管理的浮动汇率制度。从此人民币汇率告别长达10年的固定汇率体制,进入了有管理的浮动汇率制度。自汇改两年多来,汇率波动已经成为经济生活中的重要组成部分,随着汇率波动幅度的扩大,汇率变动是否会对国内物价水平的稳定造成重大影响,中央银行应如何实施货币政策以应对汇率变动对政策目标的未预期冲击,这些问题引起国内经济学家开始关注人民币汇率和国内不同物价的关系研究。
在对相关理论进行综述的基础上,本文利用国内有关指标2000年1月——2007年3月的相关数据,从实证角度着重考察了人民币汇率变动对国内不同价格指标的传导机制和传导效果,并利用比较分析方法,论证了人民币汇率形成机制改革对人民币汇率传导效果的影响。研究发现,人民币汇率变动对进口价格的影响最显著,其次是生产者价格,最后是消费者价格,且人民币汇改后,人民币汇率对进口价格的生产者价格的传导效果下降,而对消费者价格的传导效果有所加强。本文在结构安排上共分五章:
第一章为导论。汇率变动会影响物价,使不同价格指标不同程度地相应变化,这是不争的事实。但汇率对物价的传导效果怎样,是一对一的传导关系,还是不完全的传导?了解汇率对物价的传导效果大小、影响传导效果的主要因素及其变化趋势,对于一国中央银行调控管理汇率、采取合适的货币政策对冲汇率波动对物价稳定的干扰,具有重要的经济和政策含义。本文的研究目的就是全面地考察人民币汇率变动对国内不同价格指标的传导机制和传导效果及影响传导效果的主要因素。为此,本文对汇率传导的有关概念、汇率对物价的传导机制和传导过程以及不完全汇率传导理论进行了详细阐述,并针对目前国内研究中存在的不足和缺陷,提出了本文的创新之处。
第二章是对国内外相关研究成果的综述。国外对汇率传导效果的研究兴起于20世纪60、70年代对购买力平价失效的解释;20世纪80年代开始的汇率传导机制的研究,主要侧重于产业组织和不同产品市场上的市场分割以及价格差异化;20世纪90年代很多国家经历了货币的大幅贬值,但许多工业化国家的经济运行实践似乎表明汇率对消费者价格的传导在下降,这一现象促使经济学家开始研究汇率对物价传导效果的稳定性,以及各国汇率传导效果普遍而持久下降的原因;最近的研究则关注汇率传导效果与宏观经济政策有效性之间的关系,并将汇率传导与最优的货币政策和汇率制度的选择联系在一起。经济学家采用不同实证方法对汇率传导效果所做的大量实证研究表明,汇率对进口价格和国内一般价格的传导都是不完全的,但对进口价格的传导效果大于对其他一般价格指标的传导效果,对此经济学家从宏观和微观两个方面作出了解释。本章最后对目前国内理论界的相关研究进行了评析,明确了本文的研究重点和创新之处。
第三章是人民币汇率对进口品价格传导效果的理论和实证研究。本部分首先采用简单的图形分析和数学推导,分析了人民币汇率变动对国内进口品价格的影响;进而采用计量模型检验的方法,利用2000年1月——2007年3月相关数据从实证角度深入分析了人民币汇率对总体进口价格指标及分类别进口价格指标的影响效果。实证检验结果显示,人民币名义有效汇率对国内总体进口价格的传导效果无论在短期还是长期基本都是大于一,表明国外出口商对人民币汇率冲击的持续反应过度;不同类别的进口价格对汇率变动的反应程度存在显著的差异,食品、小麦和糖这三类进口价格指标无论短期还是长期对人民币名义有效汇率变动都较敏感,其价格波动受汇率冲击的影响也较大;而原料燃料动力类进口价格以及原油、橡胶、原木等商品的进口价格指标对汇率变动的反应较迟缓,其价格波动受汇率冲击的影响也较小。
第四章是人民币汇率对国内一般物价水平传导效果的理论和实证研究。本部分首先利用前人的理论模型简单分析了运输成本、中间分配成本和货币政策如何影响汇率对一般物价的传导效果,在此基础上利用2000年1月——2007年3月相关指标的月度数据实证检验了人民币名义有效汇率对国内一般价格指标的传导效果,并利用子样本数据考察了人民币汇率形成机制改革对人民币汇率传导效果的影响。实证检验结果表明,人民币名义有效汇率变动对进口价格和企业商品价格无论在长期还是短期都有显著的负面影响,而且汇率波动对进口价格的传导效果大于对企业商品价格的传导效果,但人民币汇率制度改革后,汇率对进口价格和企业商品价格的传导效果都下降了;人民币名义有效汇率变动对消费者价格的影响很微弱,且人民币名义有效汇率升值会先带动消费者价格上涨,而后带动消费者价格下降,人民币汇率形成机制改革后,消费者价格对汇率变动的反应更加滞后,但经过一段时间,汇率对消费者价格的传导效果相比于汇改前有所上升。
第五章是结论解释和政策建议。本章对前面两章的实证结果进行了总结,并结合相关理论和我国的实际国情分别作出了合理解释。最后,在本文实证检验结果的基础上,针对我国目前应采取的政策提出了相应建议。
本文的创新之处在于改进了进口价格的度量指标,利用较新和较全面的数据实证考察了人民币汇率对国内不同价格指标的传导效果及其影响因素。未来可进一步细化指标,考察人民币汇率对分类价格指数的传导效果,以及人民币汇率传导效果与货币政策的相互作用。
On July 21st, 2005, The people' s bank of China declared that RMB exchange rate aginst US dollar appreciated 2%, and RMB exchange rate regime was turned from pegging against US dollar to managed floating exchange rate regime based on market demand and supply and adjusted to a basket of foreign curreicies. From then on RMB exchange rate said good bye to more than ten years long fixed exchange rate regime and entered the era of managed floating exchange rate regime. In the past two years fluctuations of exchange rates have become a indispensable part of economy. With the increased expansion of exchange rate fluctuations, whether this will affect the stability of domestic prices, and what monetary policies the central bank should take to deal with the unexpected impact of exchange rate fluctuations on policy aims, have attracted the attention of domestic economists to study the relationship between RMB exchange rates and prices at different levels.
Based on summation on relevant theories, using data from Janruary 2000 to March 2007, this paper focuses on empirically study the effect of RMB exchange rate movement on domestic prices. Comparative analysis method is used to analyze the effect Of RMB exchange rate reform on RMB exchange rate pass through effects. The empirical results reveal that, import prices are most sensitive to movement of RMB exchange rate, next is corporate goods prices, and consumer prices are least sensitive to RMB exchange rate movement. After RMB exchange rate reform, the pass through effect of RMB exchange rate to import prices and coporate goods prices is less, while the pass through effect of RMB exchange rate to consumer prices is more. The structure of this article is organized as the following:
The first chapter is an introduction. It is undoubted that exchange rate fluctuations will affect prices and cause different price indices to change correspondently to different extents. However, whether the exchange rate pass-through effect is complete or incomplete is indeterminate. To grasp the pass-through effects, the determinant factors and future movements has important economic and policy implications for the central bank which is responsible to control exchange rates and take appropriate monetary policies to offset the disturbation of exchange rate fluctuations on prices stability. This article aims to pin down the pass-through mechanism and effects of RMB exchange rates on different price indices and their determinants. So, this part introduces the concepts and mechanisms of exchange rate pass through and theories on incomplete exchange rate pass through. After pointing out the shortages and disadvantages in domestic relevant research, this paper proposes the innovations in this article.
Chapter two is a summation on relevant research. Research interests in exchange rate pass through originated from the explanation for the invalidity of PPP theory in 1960s and 1970s. From 1980s the direction of research on exchange rate pass through turned to industrial organization, market segmentation and product differentiation. In 1990s many industrial countries experienced great depreciations of currencies, however their economic performances showed that the exchange rate pass through was in decline. This phenomenon promoted the economists to study the stability of exchange rate pass through and the reasons for the wide and persistent decline in the exchange rate pass through in these countries. Recent research focused on the relationship between exchange rate pass through and the validity of macroeconomic policies, and related the exchange rate pass through to the choice of optimal monetary policy and exchange rate regime. A great amount of empirical research on exchange rate pass through suggested the pass through of exchange rates to both import price and other general prices were incomplete, however the pass through effect to import price was larger than that to other general price indices. Economists tried to explain these conclusions from micro and macro aspects. Finanlly this chaper made a comment on domestic relevant research and pointed out the research focus and innovations in this article.
Chapter three presents theoretical and empirical research on RMB exchange rate pass through to import prices. This part first analyzes the effect of change in RMB exchange rate on dometic import prices by virture of graphical analysis and mathematical deduction. Then econometric models are employed to further study the pass-through effect of RMB exchange rate to the general import price index and sub-group import prices by using relevant quarterly data from January 2000 to March 2007. The empirical tests reveal that the pass-through effects of RMB nominal effective exchange rate to the general import price are larger than one both in short term and in long term, which indicates that the exports abroad overreact to the fluctuations in RMB exchange rates. The reactions of sub-group import indices to exchange rate fluctuations have significant differences. The import prices of food, wheat and sugar are more sensitive to changes in RMB nominal effective exchange rate both in short term and in long term, and their price fluctuations are also more liable to exchange rate fluctuations. The import prices of raw materials, raw petroleum, rubber and log are less sensitive to exchange rate fluctuations and their price fluctuations are also less liable to exchange rate fluctuations.
In chapter four this paper theoretically and empirically analyzes RMB exchange rate pass through to domestic general prices. This part first utilizes a classical model to delineate the effect of transportation costs, intermediate distribution costs and monetary policy on exchange rate pass through to general prices. Basd on theories this paper uses relevant quarterly date from January 2000 to March 2007 to test the pass-through effects of RMB nominal effective exchange rate to domestic general prices and further uses the sub-sample data to investigate the effect of RMB exchange rate formation reform on RMB exchange rate pass through. The empirical tests show that the change in RMB nominal effective exchange rate has significant negative effects on import price and corporate goods price both in short term and in long term, and furthermore the pass through of exchange rate fluctuations to import price is larger than that to corporate goods price. Nevertheless, after RMB exchange rate formation reform, both the pass-through effect of exchange rate to import price and that to corporate goods price have declined. The pass-through effect of RMB nominal effective exchange rate to consumer price is quite weak. The appreciation of RMB nominal effective exchange rate will first increase the consumer price and then decrease the consumer price. After the RMB exchanage rate formation reform, the reaction of consumer price to exchange rate fluctuations is lagged. However, in comparison to the effect before RMB exchange rate formation reform, the pass-through effect of exchange rate to the consumer price increases.
Chapeter five is conclusions and policy recommendations. This part presents a summation on previous empirical results and recommends reliable explanations based on relevant theories and status quo in China. Relevant political implications are proposed toward those empirical conclusions.
在对相关理论进行综述的基础上,本文利用国内有关指标2000年1月——2007年3月的相关数据,从实证角度着重考察了人民币汇率变动对国内不同价格指标的传导机制和传导效果,并利用比较分析方法,论证了人民币汇率形成机制改革对人民币汇率传导效果的影响。研究发现,人民币汇率变动对进口价格的影响最显著,其次是生产者价格,最后是消费者价格,且人民币汇改后,人民币汇率对进口价格的生产者价格的传导效果下降,而对消费者价格的传导效果有所加强。本文在结构安排上共分五章:
第一章为导论。汇率变动会影响物价,使不同价格指标不同程度地相应变化,这是不争的事实。但汇率对物价的传导效果怎样,是一对一的传导关系,还是不完全的传导?了解汇率对物价的传导效果大小、影响传导效果的主要因素及其变化趋势,对于一国中央银行调控管理汇率、采取合适的货币政策对冲汇率波动对物价稳定的干扰,具有重要的经济和政策含义。本文的研究目的就是全面地考察人民币汇率变动对国内不同价格指标的传导机制和传导效果及影响传导效果的主要因素。为此,本文对汇率传导的有关概念、汇率对物价的传导机制和传导过程以及不完全汇率传导理论进行了详细阐述,并针对目前国内研究中存在的不足和缺陷,提出了本文的创新之处。
第二章是对国内外相关研究成果的综述。国外对汇率传导效果的研究兴起于20世纪60、70年代对购买力平价失效的解释;20世纪80年代开始的汇率传导机制的研究,主要侧重于产业组织和不同产品市场上的市场分割以及价格差异化;20世纪90年代很多国家经历了货币的大幅贬值,但许多工业化国家的经济运行实践似乎表明汇率对消费者价格的传导在下降,这一现象促使经济学家开始研究汇率对物价传导效果的稳定性,以及各国汇率传导效果普遍而持久下降的原因;最近的研究则关注汇率传导效果与宏观经济政策有效性之间的关系,并将汇率传导与最优的货币政策和汇率制度的选择联系在一起。经济学家采用不同实证方法对汇率传导效果所做的大量实证研究表明,汇率对进口价格和国内一般价格的传导都是不完全的,但对进口价格的传导效果大于对其他一般价格指标的传导效果,对此经济学家从宏观和微观两个方面作出了解释。本章最后对目前国内理论界的相关研究进行了评析,明确了本文的研究重点和创新之处。
第三章是人民币汇率对进口品价格传导效果的理论和实证研究。本部分首先采用简单的图形分析和数学推导,分析了人民币汇率变动对国内进口品价格的影响;进而采用计量模型检验的方法,利用2000年1月——2007年3月相关数据从实证角度深入分析了人民币汇率对总体进口价格指标及分类别进口价格指标的影响效果。实证检验结果显示,人民币名义有效汇率对国内总体进口价格的传导效果无论在短期还是长期基本都是大于一,表明国外出口商对人民币汇率冲击的持续反应过度;不同类别的进口价格对汇率变动的反应程度存在显著的差异,食品、小麦和糖这三类进口价格指标无论短期还是长期对人民币名义有效汇率变动都较敏感,其价格波动受汇率冲击的影响也较大;而原料燃料动力类进口价格以及原油、橡胶、原木等商品的进口价格指标对汇率变动的反应较迟缓,其价格波动受汇率冲击的影响也较小。
第四章是人民币汇率对国内一般物价水平传导效果的理论和实证研究。本部分首先利用前人的理论模型简单分析了运输成本、中间分配成本和货币政策如何影响汇率对一般物价的传导效果,在此基础上利用2000年1月——2007年3月相关指标的月度数据实证检验了人民币名义有效汇率对国内一般价格指标的传导效果,并利用子样本数据考察了人民币汇率形成机制改革对人民币汇率传导效果的影响。实证检验结果表明,人民币名义有效汇率变动对进口价格和企业商品价格无论在长期还是短期都有显著的负面影响,而且汇率波动对进口价格的传导效果大于对企业商品价格的传导效果,但人民币汇率制度改革后,汇率对进口价格和企业商品价格的传导效果都下降了;人民币名义有效汇率变动对消费者价格的影响很微弱,且人民币名义有效汇率升值会先带动消费者价格上涨,而后带动消费者价格下降,人民币汇率形成机制改革后,消费者价格对汇率变动的反应更加滞后,但经过一段时间,汇率对消费者价格的传导效果相比于汇改前有所上升。
第五章是结论解释和政策建议。本章对前面两章的实证结果进行了总结,并结合相关理论和我国的实际国情分别作出了合理解释。最后,在本文实证检验结果的基础上,针对我国目前应采取的政策提出了相应建议。
本文的创新之处在于改进了进口价格的度量指标,利用较新和较全面的数据实证考察了人民币汇率对国内不同价格指标的传导效果及其影响因素。未来可进一步细化指标,考察人民币汇率对分类价格指数的传导效果,以及人民币汇率传导效果与货币政策的相互作用。
On July 21st, 2005, The people' s bank of China declared that RMB exchange rate aginst US dollar appreciated 2%, and RMB exchange rate regime was turned from pegging against US dollar to managed floating exchange rate regime based on market demand and supply and adjusted to a basket of foreign curreicies. From then on RMB exchange rate said good bye to more than ten years long fixed exchange rate regime and entered the era of managed floating exchange rate regime. In the past two years fluctuations of exchange rates have become a indispensable part of economy. With the increased expansion of exchange rate fluctuations, whether this will affect the stability of domestic prices, and what monetary policies the central bank should take to deal with the unexpected impact of exchange rate fluctuations on policy aims, have attracted the attention of domestic economists to study the relationship between RMB exchange rates and prices at different levels.
Based on summation on relevant theories, using data from Janruary 2000 to March 2007, this paper focuses on empirically study the effect of RMB exchange rate movement on domestic prices. Comparative analysis method is used to analyze the effect Of RMB exchange rate reform on RMB exchange rate pass through effects. The empirical results reveal that, import prices are most sensitive to movement of RMB exchange rate, next is corporate goods prices, and consumer prices are least sensitive to RMB exchange rate movement. After RMB exchange rate reform, the pass through effect of RMB exchange rate to import prices and coporate goods prices is less, while the pass through effect of RMB exchange rate to consumer prices is more. The structure of this article is organized as the following:
The first chapter is an introduction. It is undoubted that exchange rate fluctuations will affect prices and cause different price indices to change correspondently to different extents. However, whether the exchange rate pass-through effect is complete or incomplete is indeterminate. To grasp the pass-through effects, the determinant factors and future movements has important economic and policy implications for the central bank which is responsible to control exchange rates and take appropriate monetary policies to offset the disturbation of exchange rate fluctuations on prices stability. This article aims to pin down the pass-through mechanism and effects of RMB exchange rates on different price indices and their determinants. So, this part introduces the concepts and mechanisms of exchange rate pass through and theories on incomplete exchange rate pass through. After pointing out the shortages and disadvantages in domestic relevant research, this paper proposes the innovations in this article.
Chapter two is a summation on relevant research. Research interests in exchange rate pass through originated from the explanation for the invalidity of PPP theory in 1960s and 1970s. From 1980s the direction of research on exchange rate pass through turned to industrial organization, market segmentation and product differentiation. In 1990s many industrial countries experienced great depreciations of currencies, however their economic performances showed that the exchange rate pass through was in decline. This phenomenon promoted the economists to study the stability of exchange rate pass through and the reasons for the wide and persistent decline in the exchange rate pass through in these countries. Recent research focused on the relationship between exchange rate pass through and the validity of macroeconomic policies, and related the exchange rate pass through to the choice of optimal monetary policy and exchange rate regime. A great amount of empirical research on exchange rate pass through suggested the pass through of exchange rates to both import price and other general prices were incomplete, however the pass through effect to import price was larger than that to other general price indices. Economists tried to explain these conclusions from micro and macro aspects. Finanlly this chaper made a comment on domestic relevant research and pointed out the research focus and innovations in this article.
Chapter three presents theoretical and empirical research on RMB exchange rate pass through to import prices. This part first analyzes the effect of change in RMB exchange rate on dometic import prices by virture of graphical analysis and mathematical deduction. Then econometric models are employed to further study the pass-through effect of RMB exchange rate to the general import price index and sub-group import prices by using relevant quarterly data from January 2000 to March 2007. The empirical tests reveal that the pass-through effects of RMB nominal effective exchange rate to the general import price are larger than one both in short term and in long term, which indicates that the exports abroad overreact to the fluctuations in RMB exchange rates. The reactions of sub-group import indices to exchange rate fluctuations have significant differences. The import prices of food, wheat and sugar are more sensitive to changes in RMB nominal effective exchange rate both in short term and in long term, and their price fluctuations are also more liable to exchange rate fluctuations. The import prices of raw materials, raw petroleum, rubber and log are less sensitive to exchange rate fluctuations and their price fluctuations are also less liable to exchange rate fluctuations.
In chapter four this paper theoretically and empirically analyzes RMB exchange rate pass through to domestic general prices. This part first utilizes a classical model to delineate the effect of transportation costs, intermediate distribution costs and monetary policy on exchange rate pass through to general prices. Basd on theories this paper uses relevant quarterly date from January 2000 to March 2007 to test the pass-through effects of RMB nominal effective exchange rate to domestic general prices and further uses the sub-sample data to investigate the effect of RMB exchange rate formation reform on RMB exchange rate pass through. The empirical tests show that the change in RMB nominal effective exchange rate has significant negative effects on import price and corporate goods price both in short term and in long term, and furthermore the pass through of exchange rate fluctuations to import price is larger than that to corporate goods price. Nevertheless, after RMB exchange rate formation reform, both the pass-through effect of exchange rate to import price and that to corporate goods price have declined. The pass-through effect of RMB nominal effective exchange rate to consumer price is quite weak. The appreciation of RMB nominal effective exchange rate will first increase the consumer price and then decrease the consumer price. After the RMB exchanage rate formation reform, the reaction of consumer price to exchange rate fluctuations is lagged. However, in comparison to the effect before RMB exchange rate formation reform, the pass-through effect of exchange rate to the consumer price increases.
Chapeter five is conclusions and policy recommendations. This part presents a summation on previous empirical results and recommends reliable explanations based on relevant theories and status quo in China. Relevant political implications are proposed toward those empirical conclusions.
引文
1 数据来源:《国际金融统计》。人民币兑美元汇率是月平均值,而人民币名义有效汇率则是以2000为基期的指数。
1 消费者价格指数来源与《中国宏观经济景气月报》,利用公布的同比和环比数据转换为以2000年1月为基期的定基数据。
1 20世纪70年代主要工业国相继爆发两位数的通货膨胀,高通胀部分是由于石油冲击和为了应对此冲击各国政府采取的适应性政策。
2 80年代,西方国家政策目标的优先次序发生了重要转变,控制通货膨胀率代替了失业率成为政府的首要目标,实际经济增长率的地位也下降了。在政策工具方面,一个明显的特点是许多国家相继放弃了通过冻结工资和物价来控制通货膨胀的收入政策,其中重要原因是收入政策的实施结果是不成功的。结构性的微观经济政策部分地替代了收入政策。由于财政政策的频繁使用,使债务占gdp的比重不断增长,80年代不少国家相继把减少赤字预算、平衡财政收支当作重要的经济目标。如日本的“巩固财政计划”,英国削减财政赤字和公共借款的中期战略。克林顿执政后,重要的政策目标是削减财政赤字,且成效显著。另外,经济结构的优化、世界市场竞争力的提升及有利的供给冲击等也有助于通货膨胀率的降低。
3 这一思想初始由Krugman(1989)提出,Bettes和Devereux(1996)做了进一步研究。
1 Obstfeld和Rogoff(2000)及其它众多研究者均证明,进口品价格对名义汇率变动的反应一般要比消费品价格更敏感。
2 见Bachetta和Wincoop(2003),Campa和Goldberg(2005)。
3 为阐述的方便,以下分析以本币升值为例。
1 与此相对,Burstein,Nerves和Rebelo(2003)将本币贬值所引起的国内商品替代进口品的现象定义为“逃离质量”(flight from quality)。
1 见Rogoff(1996)对购买力平价和一价定律检验文献的综述。
2 汇率传导效果对最优货币政策的意义研究,可参阅Corsetti & Pesenti(2001),Obstfeld(2000),Devereux (2000),Deverux & Engel(2000)。
1 该现象最早由Ricardo提出,Balassa和Samuelson(1964)将其理论化,即Balassa-Samuelson效应。
2 这些机制的详细描述见Dombusch的宏观经济学(1980)。
1 这一行为在美国进口市场中普遍存在,详细讨论见Krugman(1987)。
1 该表达方法是采用的Hooper和Mann(1989)。
1 见Goldberg&Knetter(1996) "Goods prices and exchange rates:what have we learned",NBER Paper No.5862。
1 本文结合一般形式的回归方程,在实证模型中加入了影响进口品价格的国内需求压力指标,分别以国内宏观经济景气一致指标和工业增加值作为替代变量,但无论哪个指标,回归系数均不显著。因此,本文正文所报告的实证检验和结果仅以一价定律为基础。
2 此类研究主要以产业组织理论为基础,侧重研究市场结构和外国企业定价行为对汇率传导效果的影响,如Yang(1998),Kardasz和Stollery(2001),Campa和Goldberg(2005)等。
3 此类文献主要使用总体价格指标来研究宏观层面的汇率传导效果,如汇率对总体进口价格、生产者价格以及消费者价格的传导,以及宏观经济形势对汇率传导效果的影响,以便为宏观经济决策提供政策建议。如Kenny和McGettigan(1998)、McCarthy(2000)、Hahn(2003),Faruqee(2004)等。
1 汇率传导效果应为汇率变动1%所引起的价格变化百分比。
2 该方法见Leigh和Rossi(2002)以及Belaisch(2003)。
3 依据包含五变量的向量误差修正模型计算的汇率对进口价格的传导效果与第三章依据购买力平价计算的
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1 消费者价格指数来源与《中国宏观经济景气月报》,利用公布的同比和环比数据转换为以2000年1月为基期的定基数据。
1 20世纪70年代主要工业国相继爆发两位数的通货膨胀,高通胀部分是由于石油冲击和为了应对此冲击各国政府采取的适应性政策。
2 80年代,西方国家政策目标的优先次序发生了重要转变,控制通货膨胀率代替了失业率成为政府的首要目标,实际经济增长率的地位也下降了。在政策工具方面,一个明显的特点是许多国家相继放弃了通过冻结工资和物价来控制通货膨胀的收入政策,其中重要原因是收入政策的实施结果是不成功的。结构性的微观经济政策部分地替代了收入政策。由于财政政策的频繁使用,使债务占gdp的比重不断增长,80年代不少国家相继把减少赤字预算、平衡财政收支当作重要的经济目标。如日本的“巩固财政计划”,英国削减财政赤字和公共借款的中期战略。克林顿执政后,重要的政策目标是削减财政赤字,且成效显著。另外,经济结构的优化、世界市场竞争力的提升及有利的供给冲击等也有助于通货膨胀率的降低。
3 这一思想初始由Krugman(1989)提出,Bettes和Devereux(1996)做了进一步研究。
1 Obstfeld和Rogoff(2000)及其它众多研究者均证明,进口品价格对名义汇率变动的反应一般要比消费品价格更敏感。
2 见Bachetta和Wincoop(2003),Campa和Goldberg(2005)。
3 为阐述的方便,以下分析以本币升值为例。
1 与此相对,Burstein,Nerves和Rebelo(2003)将本币贬值所引起的国内商品替代进口品的现象定义为“逃离质量”(flight from quality)。
1 见Rogoff(1996)对购买力平价和一价定律检验文献的综述。
2 汇率传导效果对最优货币政策的意义研究,可参阅Corsetti & Pesenti(2001),Obstfeld(2000),Devereux (2000),Deverux & Engel(2000)。
1 该现象最早由Ricardo提出,Balassa和Samuelson(1964)将其理论化,即Balassa-Samuelson效应。
2 这些机制的详细描述见Dombusch的宏观经济学(1980)。
1 这一行为在美国进口市场中普遍存在,详细讨论见Krugman(1987)。
1 该表达方法是采用的Hooper和Mann(1989)。
1 见Goldberg&Knetter(1996) "Goods prices and exchange rates:what have we learned",NBER Paper No.5862。
1 本文结合一般形式的回归方程,在实证模型中加入了影响进口品价格的国内需求压力指标,分别以国内宏观经济景气一致指标和工业增加值作为替代变量,但无论哪个指标,回归系数均不显著。因此,本文正文所报告的实证检验和结果仅以一价定律为基础。
2 此类研究主要以产业组织理论为基础,侧重研究市场结构和外国企业定价行为对汇率传导效果的影响,如Yang(1998),Kardasz和Stollery(2001),Campa和Goldberg(2005)等。
3 此类文献主要使用总体价格指标来研究宏观层面的汇率传导效果,如汇率对总体进口价格、生产者价格以及消费者价格的传导,以及宏观经济形势对汇率传导效果的影响,以便为宏观经济决策提供政策建议。如Kenny和McGettigan(1998)、McCarthy(2000)、Hahn(2003),Faruqee(2004)等。
1 汇率传导效果应为汇率变动1%所引起的价格变化百分比。
2 该方法见Leigh和Rossi(2002)以及Belaisch(2003)。
3 依据包含五变量的向量误差修正模型计算的汇率对进口价格的传导效果与第三章依据购买力平价计算的
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