大宗商品进口汇率传递及动态趋势

Exchange Rate Pass- through of Bulk Commodities and Its Dynamic Trend

本文采用两阶段模型,基于我国代表性大宗进口商品2000—2013年的月度数据,研究了汇率波动向进口价格的传递效应、其动态趋势及宏微观成因。研究发现,汇率波动对我国大宗进口商品价格的影响均为不完全传递,长期传递率仅为0.3左右,其程度因商品而异;滚动回归显示2008年以后汇率传递率呈下降趋势,表明人民币的缓慢升值并没有带来大宗进口商品人民币价格的同步下降。究其原因,大宗商品汇率传递率主要受到宏观因素而非微观行业因素的影响,近年传递率下降可由货币供给量较快上升、持续的经济增长予以解释,仅在原油的例子中发现进口原油所占市场份额上升对汇率传递率下降有显著影响。

Based upon monthly data of China＇s representative imported bulk commodity from 2000 to 2013, this paper studies the long- term ERPF and its dynamic and further examines both macro - and sources of the ERPT coefficients, using a two- stage estimation procedure. The long- term ERPI＂ coefficients for all commodities are around 0.3, showing pass - through is incomplete. The ERPr tends to decrease after 2008, which suggests the import prices do not fall down proportionally along with the appreciation of CNY. Our second stage study finds out the ERPT for bulk commodities are mainly influenced by macro factors instead of micro ones. The decreasing ERPT in recent years can be explained by rapid increase of China＇ s money supply and high economic growth rate, while only in the case of crude oil, we find the market share of the imported good is a source of ERPT and its changes as well.