企业全球价值链位置与“汇率不相关之谜”——基于汇率传递效应的视角

Firms’ GVC Position and “the Exchange Rate Disconnect Puzzle”——Based on the Perspective of Exchange Rate Pass-Through

本文以"汇率不相关之谜"为切入点,在拓展Johnson(2018)模型的基础上,考察中国企业GVC位置变动对汇率传递效应的影响。结果表明,中国企业GVC位置的不断攀升会通过"溢出效应"和"瀑布效应"削弱汇率传递效应,进而导致"汇率不相关之谜"的发生。GVC位置可分解为基础位置和价值链长度位置,后者不仅对汇率传递效应发挥主导作用,而且在分解为简单GVC和复杂GVC后可以发现,复杂GVC中企业的汇率传递效应更小。在本币贬值期,GVC上游企业和复杂GVC中非外资企业的汇率传递效应更加不完全,容易导致"汇率不相关之谜"的发生。

Targeting at the phenomenon of"the exchange rate disconnect puzzle",this paper investigates the influence of Chinese firms’position in Global Value Chain(GVC)on the exchange rate pass-through(ERPT).Based on expanding Johnson(2018)model,we adopt the matched data from China Input-output Tables,World Inputoutput Tables,Chinese Customs Database and Chinese Industrial Enterprise Database during 2000—2013 to measure Chinese firms’GVC position and examine the effect on ERPT empirically.The results show that the rising GVC position will weaken ERPT through"spillover effect"and"waterfall effect".By decomposing the GVC position into basic position and value chain length position,the paper finds that the value chain length position plays a leading role in ERPT.Further dividing it into simple GVC and complex GVC,the paper finds that firms in the complex GVC system have low ERPT.During the period of RMB depreciation,the ERPT of non-foreign firms located in upstream GVC or complex GVC is more incomplete,which may easily lead to"the exchange rate disconnect puzzle".For the improvement of firms’ability to deal with exchange rate risks,this article gives three suggestions.Firstly,gradually increasing the input for technological innovation,so that firms could improve the ability to deal with exchange rate risks through technological innovation.Secondly,upgrading GVC position which may not only improve firms’ability to deal with exchange rate risks but also improve their profits.Thirdly,encouraging firms to deepen the GVC connection with developed countries,which is more conducive to enhancing the ability to deal with exchange rate risks.