预期作用下人民币汇率对出口价格的非线性传递效应研究
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摘要
对外贸易中贸易款项的支付大多数都在远期,因此对未来汇率变化幅度的预期,会影响汇率对出口价格的传递效应,从而导致汇率传递出现非线性特点。本文对此进行了理论分析,结果显示,预期未来汇率变化幅度较大时,汇率对出口价格的传递程度会下降甚至可能出现负向传递。实证部分本文使用STR模型分析了1999年1月—2016年7月在汇率预期的作用下人民币汇率对出口价格的传递效应。研究发现当人民币汇率预期变动幅度较小时,汇率传递系数为正,人民币汇率升值会导致出口价格上涨,贬值导致出口价格的下降。但是当人民币预期汇率的变化幅度达到一定的阈值后,人民币汇率升值会导致出口价格下降,而贬值会导致出口价格上涨。因此货币当局有必要关注汇率预期尤其是大幅度汇率变化预期的存在对进出口价格和需求的影响。
The payment time is mostly in the future in foreign trade.The expectations of future exchange rate changes will affect the pass-through effect of exchange rate on export prices, resulting in non-linear characteristics of exchange rate pass-through.This paper theoretically analyzes this phenomenon and the results show that when the extent of exchange rate change in the future are expected to be large, the exchange rate pass-through degree will decline or there may even be a negative pass-through.In the empirical study, we analyze the pass-through effect of RMB exchange rate on export prices under the exchange rate expectation with data from January 1999 to July 2016 using the STR model.We find that when the extent of expected change in RMB exchange rate is small, the exchange rate pass-through coefficient is positive, and the RMB appreciation will lead to an increase in export prices and the devaluation will lead to decline in export prices.When the extent of expected change in RMB exchange rate reached a certain threshold, the appreciation of the RMB will lead to drop in export prices, and the devaluation will lead to rise in export prices.Therefore, it is necessary for the monetary authorities to pay attention to the impact of exchange rate expectations on prices of and demand for imports and exports, especially when the expectation of exchange rate change is large.
The payment time is mostly in the future in foreign trade.The expectations of future exchange rate changes will affect the pass-through effect of exchange rate on export prices, resulting in non-linear characteristics of exchange rate pass-through.This paper theoretically analyzes this phenomenon and the results show that when the extent of exchange rate change in the future are expected to be large, the exchange rate pass-through degree will decline or there may even be a negative pass-through.In the empirical study, we analyze the pass-through effect of RMB exchange rate on export prices under the exchange rate expectation with data from January 1999 to July 2016 using the STR model.We find that when the extent of expected change in RMB exchange rate is small, the exchange rate pass-through coefficient is positive, and the RMB appreciation will lead to an increase in export prices and the devaluation will lead to decline in export prices.When the extent of expected change in RMB exchange rate reached a certain threshold, the appreciation of the RMB will lead to drop in export prices, and the devaluation will lead to rise in export prices.Therefore, it is necessary for the monetary authorities to pay attention to the impact of exchange rate expectations on prices of and demand for imports and exports, especially when the expectation of exchange rate change is large.
引文
郭凯、张笑梅,2014:《人民币汇率预期与股票价格波动》,《国际金融研究》第8期。
蒋先玲、刘微、叶丙南,2012:《汇率预期对境外人民币需求的影响》,《国际金融研究》第10期。
李艳丽、彭红枫、胡利琴,2015:《汇率预期对出口价格的传递效应——基于结构变化协整检验的分析》,《国际金融研究》第11期。
刘子寅、范科才,2015:《汇率传递与通货膨胀动态的非线性关系研究(1996—2009)》,《世界经济研究》第5期。
王胜,2014:《我国汇率传递的非线性特征分析》,《世界经济研究》第8期。
Caselli,F.,and A.Roitman,2016,“Non-linear Exchange Rate Pass-through in Emerging Markets”,International Monetary Fund Working Paper No.16/1.
Correa,A.D.S.,and André Minella,2010:“Nonlinear Mechanisms of the Exchange Rate Pass-through:A Phillips Curve Model with Threshold for Brazil”,Revista Brasileira de Economia,64(3):231-243.
Donayre,L.,and I.Panovska,2016,“State-dependent Exchange Rate Pass-through Behavior”,Journal of International Money and Finance,64:170-195.
Feenstra,R.C.,J.E.Gagnon,and M.M Knetter,1996,“Market Share and Exchange Rate Pass-through in World Automobile Trade”,Journal of International Economics,40(1-2):187-207.
Froot,K.A.,and P.D Klemperer,1989,“Exchange Rate Pass-through When Market Share Matters”,American Economic Review,79(4):637-654.
Herger,and Nils,2015,“Market Entries and Exits and the Nonlinear Behavior of the Exchange Rate Pass-through into Import Prices”,Open Economies Review,26(2):313-332.
Krugman,P.,1986,Strategic Trade Policy and the New International Economics,Boston:MIT Press.
Nidhaleddine,B.C.,2012,“Asymmetric Exchange Rate Pass-through in the Euro Area:New Evidence from Smooth Transition Models”,Economics:The Open-Access,Open-Assessment E-Journal,6(39).
Nogueira,R.P.,and M.Leon-Ledesma,2008,“Exchange Rate Pass-through into Inflation:The Role of Asymmetries and Nonlinearities”,University of Kewt Working Paper.
Shintani,M.,A.Terada-Hagiwara,and T.Yabu,2013,“Exchange Rate Pass-through and Inflation:A Nonlinear Time Series Analysis”,Journal of International Money and Finance,32:512-527.
Terasvirta,T.,and H.M.Anderson,1992,“Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models”,Journal of Applied Econometrics,7(S):119-136.
Xiang,H.,and Q.Wang,2010,“RMB Exchange Rate Pass-through from a Perspective of Inflationary Environment:Theoretical Model and Empirical Study” ,Journal of Finance and Economics,11:51-82.
(1)出口价格和生产成本的原始数据以指数形式公布并以上年同期为100,本文通过累乘将所有的数据转化为以1998年同月数据为基准,然后计算2005年12个月指数的算术平均值,将所有数据除以该数值,得到最终数据。人民币有效汇率的原始数据以2010年全年100为基准公布,本文对2005年和2010年全年的数据计算算数平均值,将所有数据乘以2010年的算术平均值,再除以2005年的算术平均值,可以得到以2005年全年为基准的数据。对于国外需求,首先将所有国家的进口额换算成以美元为单位,使用的汇率为同期美元与该国的即期汇率,然后将所有数据除以2005年全年的进口额的算术平均值,再乘以100可以得到以2005年为基准的最终数据。
蒋先玲、刘微、叶丙南,2012:《汇率预期对境外人民币需求的影响》,《国际金融研究》第10期。
李艳丽、彭红枫、胡利琴,2015:《汇率预期对出口价格的传递效应——基于结构变化协整检验的分析》,《国际金融研究》第11期。
刘子寅、范科才,2015:《汇率传递与通货膨胀动态的非线性关系研究(1996—2009)》,《世界经济研究》第5期。
王胜,2014:《我国汇率传递的非线性特征分析》,《世界经济研究》第8期。
Caselli,F.,and A.Roitman,2016,“Non-linear Exchange Rate Pass-through in Emerging Markets”,International Monetary Fund Working Paper No.16/1.
Correa,A.D.S.,and André Minella,2010:“Nonlinear Mechanisms of the Exchange Rate Pass-through:A Phillips Curve Model with Threshold for Brazil”,Revista Brasileira de Economia,64(3):231-243.
Donayre,L.,and I.Panovska,2016,“State-dependent Exchange Rate Pass-through Behavior”,Journal of International Money and Finance,64:170-195.
Feenstra,R.C.,J.E.Gagnon,and M.M Knetter,1996,“Market Share and Exchange Rate Pass-through in World Automobile Trade”,Journal of International Economics,40(1-2):187-207.
Froot,K.A.,and P.D Klemperer,1989,“Exchange Rate Pass-through When Market Share Matters”,American Economic Review,79(4):637-654.
Herger,and Nils,2015,“Market Entries and Exits and the Nonlinear Behavior of the Exchange Rate Pass-through into Import Prices”,Open Economies Review,26(2):313-332.
Krugman,P.,1986,Strategic Trade Policy and the New International Economics,Boston:MIT Press.
Nidhaleddine,B.C.,2012,“Asymmetric Exchange Rate Pass-through in the Euro Area:New Evidence from Smooth Transition Models”,Economics:The Open-Access,Open-Assessment E-Journal,6(39).
Nogueira,R.P.,and M.Leon-Ledesma,2008,“Exchange Rate Pass-through into Inflation:The Role of Asymmetries and Nonlinearities”,University of Kewt Working Paper.
Shintani,M.,A.Terada-Hagiwara,and T.Yabu,2013,“Exchange Rate Pass-through and Inflation:A Nonlinear Time Series Analysis”,Journal of International Money and Finance,32:512-527.
Terasvirta,T.,and H.M.Anderson,1992,“Characterizing Nonlinearities in Business Cycles Using Smooth Transition Autoregressive Models”,Journal of Applied Econometrics,7(S):119-136.
Xiang,H.,and Q.Wang,2010,“RMB Exchange Rate Pass-through from a Perspective of Inflationary Environment:Theoretical Model and Empirical Study” ,Journal of Finance and Economics,11:51-82.
(1)出口价格和生产成本的原始数据以指数形式公布并以上年同期为100,本文通过累乘将所有的数据转化为以1998年同月数据为基准,然后计算2005年12个月指数的算术平均值,将所有数据除以该数值,得到最终数据。人民币有效汇率的原始数据以2010年全年100为基准公布,本文对2005年和2010年全年的数据计算算数平均值,将所有数据乘以2010年的算术平均值,再除以2005年的算术平均值,可以得到以2005年全年为基准的数据。对于国外需求,首先将所有国家的进口额换算成以美元为单位,使用的汇率为同期美元与该国的即期汇率,然后将所有数据除以2005年全年的进口额的算术平均值,再乘以100可以得到以2005年为基准的最终数据。