加工贸易经济中的汇率传递:一个DSGE模型分析

Exchange Rate Pass-Through in an Improvement Trade Economy: A DSGE Approach

本文建立一个具有加工贸易部门的随机动态开放宏观经济多国模型(DSGE模型),研究汇率传递效应。分析发现,进口中间投入品、出口最终消费品的加工贸易部门对于汇率传递和贸易平衡具有重要影响。在价格和工资粘性下,汇率变动对一国国内价格的传递表现出对进出口价格传递快,对生产者价格和消费者价格传递慢的特征。企业"依市场定价"的策略会影响汇率传递特征,尤其影响汇率对进出口价格的传递速度。加工贸易部门的存在对货币升值带来贸易逆差的结论提出了挑战。模拟发现,在加工贸易经济中,企业的定价策略对短期的马歇尔-勒纳条件是否成立具有重要影响。只有当贸易产品更多的采用本币定价,本币升值才会带来贸易逆差或降低顺差。

The paper sets up a multi-country open economy DSGE model with an improvement trade sector to analyze exchange rate pass-through. The simulation based on China data shows that the improvement trade sector exhibits a deep impact on exchange rate pass-through and trade balance. Under nominal stickiness setting, ex- change rate changes will change import and exports prices rapidly, then pass to the produce-price-index, and affect the CPI lastly. ＂Pricing-to-market＂ strategies have important effects on this pass-through, especially on the dynamics of import and export prices. Improvement trade challenges the traditional knowledge that apprecia- tion helps diminishing trade surpluses. The simulation shows that pricing strategies govern the short-run Mar- shall-Lerner condition in the improvement trade economy. The necessary condition to ensure the effect of appreciation to reduce trade surpluses is that the majority of trade adopts Home country＇s currency to price.