中美双边汇率对美国消费价格传递效应的实证研究

An Empirical Study on the Sino-US bilateral exchange rate pass-through effect on U.S. consumer prices

人民币升值的价格传递效果是近年来的一个研究热点。已有学者利用人民币汇率变动与美国对我国进口价格指数等数据进行研究,得出了人民币汇率变动的价格传递极低的结论。本文选择美国与我国贸易品相关性较高的消费品价格指数,利用2005年7月至2008年10月之间的月度数据,采用Johsen&Juselius协整检验、误差修正模型分析汇改以来人民币汇率升值期间中美双边名义汇率变动的价格传递效应。研究发现中美双边名义汇率波动对美国消费物价的影响是显著的,长短期传递系数分别为0.1871、0.1917,并在此研究中得到几点政策启示。

In recent years, something becomes a hotspot topic which is about the transmission effect of the price of RMB appreciation. Based on analyzing the relation between the exchange rate of the RMB and the correlative data of Chinese export to America, the current researches showed that the RMB exchange rate pass-through to the import price from China to U.S. is very low. Based on the monthly datum about the higher correlative consume price of U.S. and China trade-related goods between July 2005 and October 2008, this paper analyzes the Sino-US bilateral nominal exchange rate pass-through to the consumer price through Johsen＆Juselius cointegration analysis, error correction mode. The results show that the impact of Sino-US bilateral nominal exchange rate fluctuations on the U.S. consumer prices is significant, the long and short term transfer coefficients were 0.1871,0.1917. This conclusion can be explained in two ways： one explanation is that the pricing power of U.S.-China trade is controlled by U.S., so the exchange rate is impossible pass-through to the import price; another explanation is that the ＂price gains＂ of RMB appreciation are obtained partly by U.S. Importers, but made the Chinese foreign-trade enterprises deterioration in the efficiency.