人民币汇率波动对我国出口价格的传递效应研究——区分持久性与暂时性汇率变动的不同影响

Research on the Exchange Rate Pass-through of RMB's Fluctuation to Chinese Export Price:Differentiation of the Effect between Persistent and Temporary Fluctuations

实体经济的变化和货币政策与金融市场的扰动,分别造成汇率的持久性变动与暂时性变动。为了研究这两种不同的汇率变动对出口价格产生的影响,本文通过研究不完全竞争市场中出口企业的定价行为,建立理论分析框架,并使用Blanchard-Quah方法对汇率变动进行分解,得出两种不同的汇率变动。基于VEC模型,采用1997年1月至2012年12月我国的出口价格数据进行实证分析,结果表明:人民币实际有效汇率的持久性变动和暂时性变动对我国出口价格的传递系数分别为0.84和0.67。因此,加快出口行业的转型与升级以及维持好货币政策与金融市场的稳定,对降低汇率波动对我国出口企业的影响具有重要的意义。

The change of real economy, as well as disturbance of monetary policy and financial market, respec- tively gives rise to persistent and temporary fluctuations of exchange rate. In order to study the impact of the two different kinds of RMB exchange fluctuations on Chinese export prices, this paper constructs a theoretical model to analyze the pricing behavior of export enterprises in the condition of the imperfect competition market. Mean- while,Blanchard-quah decomposition is introduced to study fluctuations of exchange rate and, the nature of the two different changes of exchange rate is obtained. Based on VEC model, the empirical study shows that, persis- tent and temporary fluctuations of the RMB exchange bring about pass-through coefficients to Chinese export price, which respectively reaches 0.84 and 0.67 during January 1997 to December 2012. Therefore,it is of high significance to accelerate transformation and upgrade of the export sector as well as maintain the stability of mone- tary policy and financial market , for reducing the impact of RMB exchange rate fluctuations on Chinese export enterprises.