基于全球价值链视角的人民币有效汇率指数的构建

Constructing Effective Exchange Rate Index and Its Impact on Trade from the Perspective of GVC

本文在梳理有效汇率文献的基础上,构建增加值有效汇率指数,并结合全球价值链指标研究增加值有效汇率对贸易出口的影响。本文首先基于全球价值链视角,以WWZ法计算得到双边贸易增加值,考虑第三方市场效应计算得到贸易权重,选择恰当的篮子货币,构建人民币名义有效汇率指数;其次,用GDP平减指数和CPI指数分别构建实际有效汇率指数,检验价格指数对实际有效汇率表现力的影响;再次,用贸易和资本双权重构建指数,检验资本因素对指数变动的影响;最后,在有效汇率对贸易出口影响的实证研究中,用22个国家的面板数据结合全球价值链指标进行面板回归,研究了全球价值链视角下有效汇率对贸易出口的影响。实证研究结果表明:1.基于贸易增加值角度构建的人民币有效汇率指数合理有效;2.有效汇率对出口存在负向的影响,这一负向影响受全球价值链(GVC)指标的影响。

Based on the analysis of the effective exchange rate literature,this paper constructs an effective exchange rate index of added value,and combines the global value chain index to study the impact of the effective exchange rate of value added on trade exports.Firstly,based on the perspective of global value chain,this paper calculates the bilateral trade added value by WWZ method,calculates the trade weight by considering the third-party market effect,selects the appropriate basket currency,and constructs the RMB nominal effective exchange rate index.Secondly,it uses the GDP deflator and CPI index.The actual effective exchange rate index is constructed separately to test the impact of the price index on the actual effective exchange rate performance.Then the trade and capital double weights are used to construct the index to test the impact of capital factors on the index change.Finally,in the empirical study of the effect of effective exchange rate on trade exports,this paper uses panel data from 22 countries combined with global value chain indicators for panel regression to demonstrate the effects of effective exchange rates on trade exports from the perspective of global value chains.The empirical results show that:1.The effective exchange rate index of RMB based on the value added of trade is reasonable and effective;2.The effective exchange rate has a negative impact on export trade and the impact of effective exchange rate on trade export is affected by GVC indicator.