“一带一路”背景下人民币汇率变动的进口价格传递效应研究

RMB Exchange Rate Pass-through to Import Prices Against the Backdrop of Belt and Road Initiative

针对“一带一路”倡议实施后各省(直辖市)主要贸易伙伴的动态变化,本文构建了省际进口加权有效汇率指数,基于汇率传递非对称性效应理论机制,运用面板数据研究了人民币汇率传递的非对称性效应和省际异质性,并采用双重差分法(DID)考察了“一带一路”倡议对进口汇率传递效应的影响。研究发现:(1)各省人民币汇率传递效应存在明显的异质性和非对称性,经济越发达的省份,汇率传递效应越低,人民币升值较贬值对大部分省份进口价格传递效应更大。(2)各省资本密集型产品的进口占比越大,则人民币贬值促使进口价格上升的幅度越大。(3)“一带一路”倡议整体上提升了中国在进口市场中的国际定价权,特别是对于劳动密集型产品的进口,中国的定价权大幅提高。论文的政策含义在于:一是中国进口贸易政策的制定,需要考虑省际汇率传递效应存在的异质性;二是中国需要大力发展自“一带一路”沿线国家的进口贸易,同时应加大技术创新力度以减轻对欧美市场资本密集型产品的进口依赖程度。

Research related to RMB exchange rate pass-through focuses mainly on the pass-through to domestic and export prices,while the pass-through to import prices remains largely unexplored.However,it is of great practical significance to study the impact of exchange rate fluctuations on import prices.From the perspective of foreign export companies facing a change in the exchange rate of their destination market,the effect on import prices reflects their pricing rights in the importing country's market.From the domestic market perspective,the effect likewise illustrates the pricing rights of the domestic importing market for foreign commodities.Given the Chinese government's recent emphasis on the promotion of import trade,the study of exchange rate pass-through to import prices provides an important reference for the formulation of import trade policy.In this paper,we first analyze the theoretical mechanism of the asymmetric effects of exchange rate pass-through.Second,we construct a provincial RMB nominal effective exchange rate index based on quarterly data(2005Q1 to 2018Q1)from the State Council Development Research Center Information Network Customs Database.Using a panel data model,we study the RMB exchange rate pass-through asymmetric effects.Third,this paper explains why there exist provincial heterogeneities in RMB exchange rate pass-through.Finally,the paper analyzes the impacts of the Belt and Road initiative on RMB exchange rate pass-through using the difference-in-differences approach.The main findings are as follows.First,as a whole,exchange rate pass-through effects are generally greater in western provinces than in coastal provinces.RMB exchange rate pass-through effects are asymmetric and have obvious provincial heterogeneities with regional characteristics.Pass-through effects of RMB depreciation are greater than those of appreciation.However,RMB appreciation prompts enterprises to further increase RMB-denominated import prices in the Pearl River Delta and Yangtze River Delta regions,as well as in regions adjacent to them.Second,the greater the proportion of imports for capital-intensive products,the higher import prices are in the case of RMB deprecation;this indicates that China's pricing rights are insufficient when importing capital-intensive products.Third,the Belt and Road initiative has overall enhanced China's pricing rights in the international import market.Particularly for labor-intensive product imports,China's pricing rights have strengthened significantly.Before implementation of the Belt and Road initiative,RMB depreciation led to a sharp rise in China's import prices when the proportion of labor-intensive product imports increased.After implementation,however,RMB depreciation led to a slight decline in import prices as the proportion of labor-intensive product imports increases.This is probably because the Belt and Road initiative has strengthened China's pricing rights in the import market for labor-intensive products.Research on the effects of RMB exchange rate pass-through has ignored differences across provinces in China.This paper makes up for this shortcoming by constructing a provincial RMB nominal effective exchange rate index.This is crucial because major trading partners for most provinces in China have seen significant dynamic changes unfold with the Belt and Road initiative's implementation.This paper also analyzes RMB exchange rate pass-through asymmetric effects across provinces and considers how the Belt and Road initiative influences the import and export trade of each province differently.We use a difference-in-differences approach to compare the impacts on pass-through effects before and after the initiative's implementation.This research has several policy implications.First,the formulation of China's import trade policy needs to consider the heterogeneous impacts of exchange rate changes on provinces.Second,China needs to vigorously develop import trade with Belt and Road countries and enhance technological innovations to alleviate the dependence on capital-intensive product imports from the European and American markets.