人民币进口汇率传递效应及国外出口商定价能力——产业视角下的实证研究

Exchange Rate Pass-Through on China's Import Prices and Foreign Exporters' Pricing Strategy:Evidence based on the Industry-Level Data

本文在局部均衡框架下建立了引入进口关税的成本加成模型分析国外出口厂商的定价行为,并构建了我国各产业的进口价格、名义有效汇率和国外出口商生产成本指数,利用分布滞后模型首次对各产业的汇率传递效应进行了实证研究。主要发现:无论短期还是长期,各产业进口价格的汇率传递效应都存在很大差异。以采掘、皮革、冶金和纺织为主的资源类产品的进口价格传递弹性普遍较高,甚至超过具有高附加值的机械产业。资源类中以进口稀有金属为主的采掘业长期传递弹性最高。短期内,几乎所有产业的外国出口厂商都会通过调整成本加成来吸收汇率变动;而在长期,汇率变动基本上对各产业进口价格都有不同程度的传递,尤其资源类产业更倾向于采取生产方货币定价方式。结果表明我国一方面可以通过汇率升值提高购买力,另一方面在产业结构调整中则强烈需要改变现有高耗能的增长模式。

Using China＇s industry-level data,this paper constructs nominal effective exchange rate,import price index and foreign exporters＇ production costs index for each industry.On this basis,we use distributed lag model to estimate the RMB nominal effective exchange rate pass-through elasticities to China＇s import prices of all industries.The results show that there are remarkable differences in exchange rate pass-through elasticities of various industries both in the short run and long run.The elasticities of resource industries,such as mining,leather,metallurgy and textile are higher than other industries.In the short run,almost all the foreign exporters adjust their cost markup to absorb the change of exchange rate,while most of them adjust the prices in the long run.The results indicate that RMB appreciation can improve the purchasing power of China.Meanwhile,the growth depending on high energy consumption in china should be changed.