汇率传递效应研究:基于全球价值链的视角

Research on Exchange Rate Pass-Through Effect:From the Perspective of Global Value Chain

全球价值链深入发展对国际贸易模式产生了深远影响。近30年来,中间品贸易增加,逐渐成为国际贸易的重要组成部分,为汇率的价格传导机制提供了新的研究视角。为了解释汇率波动对核心消费者物价指数的传导机制,本文在Campa和Goldberg(2006)理论模型的基础上,使用WIOD数据库2000—2014年43个国家(或地区)的投入产出数据,实证分析汇率对其核心CPI的传递率,并量化中间品贸易在汇率传递中的贡献率。研究表明:(1)中间品贸易是汇率影响核心CPI的主要传导途径,这种基于生产成本的间接传导渠道比进口商品的直接消费更为重要;(2)分销成本既因分销部门生产过程中使用进口投入而提供汇率传导的渠道,也因降低进口投入在最终消费价格中的比重而阻碍汇率传递效应,两种力量几乎相互抵消;(3)生产经营灵活性较高的国家(或地区),其汇率传递效应较低。虽然中国国内商品生产中进口投入份额较其他国家偏低,但超过60%的汇率传递来自进口投入的使用。为了降低汇率对国内价格水平的冲击,需要提高国内企业的生产经营灵活性。

The in-depth development of global value chains has a profound impact on the international trade model.In the past 30 years,the increase in trade in intermediate goods has gradually become an important part of international trade,providing a new perspective on the effects of exchange rate transmission.In order to explain the transmission mechanism of exchange rate fluctuations on core CPI,based on the theoretical model of Campa and Goldberg(2006),we used the input-output data of 43 economies in the WIOD database from 2000 to 2014 to empirically analyze the exchange rate pass-through on the core CPI,and quantified the contribution of trade in intermediate goods to exchange rate pass-through.There are three findings.First,trade in intermediate goods is the main transmission path of exchange rate affecting core CPI.This indirect transmission channel based on production costs is more important than direct consumption of imported goods.Second,the distribution cost not only provides a channel for exchange rate pass-through due to the use of imported inputs in the production process of the distribution sector,but also reduces the proportion of imported inputs in the final consumer price that hinders exchange rate pass-through.The two forces almost offset each other.Third,for economies with high production and operation flexibility,the exchange rate pass-through effect is low.Although China’s domestic commodity production has a lower share of import inputs than other economies,more than 60%of the pass-through is from the use of import inputs.In order to reduce the impact of the exchange rate on domestic price levels,it is necessary to increase the flexibility of production and operation of domestic enterprises.