金融研究
金融研究
금융연구
Journal of Financial Research
2009年
5期
9~21
,共null页
汇率传递 协整分析 出口价格
彙率傳遞 協整分析 齣口價格
회솔전체 협정분석 출구개격
exchange rate pass- through, cointegration analysis, export price
本文在考虑国际价格竞争的基础上构建了研究人民币汇率传递效应的基本框架,并将其应用于中国对美国出口价格汇率传递程度的经验检验。本文通过协整技术和向量误差修正模型的实证研究,发现中国对美国出口价格受到了国际价格竞争的重要影响,所以人民币汇率传递程度并不高。因此,不完全汇率传递降低了支出转移效应,从而大大削弱了通过人民币升值来改善中美两国贸易不平衡的有效性。
本文在攷慮國際價格競爭的基礎上構建瞭研究人民幣彙率傳遞效應的基本框架,併將其應用于中國對美國齣口價格彙率傳遞程度的經驗檢驗。本文通過協整技術和嚮量誤差脩正模型的實證研究,髮現中國對美國齣口價格受到瞭國際價格競爭的重要影響,所以人民幣彙率傳遞程度併不高。因此,不完全彙率傳遞降低瞭支齣轉移效應,從而大大削弱瞭通過人民幣升值來改善中美兩國貿易不平衡的有效性。
본문재고필국제개격경쟁적기출상구건료연구인민폐회솔전체효응적기본광가,병장기응용우중국대미국출구개격회솔전체정도적경험검험。본문통과협정기술화향량오차수정모형적실증연구,발현중국대미국출구개격수도료국제개격경쟁적중요영향,소이인민폐회솔전체정도병불고。인차,불완전회솔전체강저료지출전이효응,종이대대삭약료통과인민폐승치래개선중미량국무역불평형적유효성。
This paper builds up a framework to study the exchange rate pass - through in the presence of intern ational price competition in the US market and analyzes RMBg nominal exchange rate pass - through into China export price to US. By using cointegration techniques and VEC model, the authors find a high degree of international price competition in the US market which leads to a low degree of RMB's nominal exchange rate pass - through. These results, in turn, suggest a low degree of international expenditure - switching effects, so incomplete exchange rate pass - through destroys the effectiveness of mitigating the trade imbalance between US and China by RMB's appreciation.