CAJ | 학술논문

本文通过一个不完全竞争条件下的两期动态模型，分析了预期对汇率出口价格传递效应的影响，研究表明汇率预期会通过价格效应和替代效应两个渠道影响出口需求和价格，且在持续性单向汇率预期和双向汇率预期下，汇率预期传递效应存在明显差异。实证检验中，本文利用BaiandPerron（1998，2003）提出的多重结构突变点检验方法分析了人民币汇率及预期对中国出口价格的传递效应。结果显示：在1999年至2012年间，人民币汇率、汇率预期及其他因素与出口价格之间的关系出现了三次结构性变化；2005年汇改后，市场对人民币存在单向升值预期的阶段，汇率预期的替代效应占据主导地位，在其他阶段汇率预期的价格效应占据主导。
본문통과일개불완전경쟁조건하적량기동태모형，분석료예기대회솔출구개격전체효응적영향，연구표명회솔예기회통과개격효응화체대효응량개거도영향출구수구화개격，차재지속성단향회솔예기화쌍향회솔예기하，회솔예기전체효응존재명현차이。실증검험중，본문이용BaiandPerron（1998，2003）제출적다중결구돌변점검험방법분석료인민폐회솔급예기대중국출구개격적전체효응。결과현시：재1999년지2012년간，인민폐회솔、회솔예기급기타인소여출구개격지간적관계출현료삼차결구성변화；2005년회개후，시장대인민폐존재단향승치예기적계단，회솔예기적체대효응점거주도지위，재기타계단회솔예기적개격효응점거주도。
This paper analyzes the influence of exchange rate expectation on the export price in imperfect compete market employing a two-period dynamic model, it demonstrates that the exchange rate expectation influences export demand and price through two channels： price effect and substitution effect, and the overall effect is much different under continued and non-continued expectation. In empirical analysis, we use the multiple structural changes tests proposed by Bai and Perron （1998, 2003） to analyze the effects of exchange rate and expectation of RMB pass-through on China＇ s export price during 1999 to 2012. The result shows that the relationship among all variables experienced three structural changes during this period, and the substitution effect of expectation prevailed when RMB was continually expected to appreciate after 2005, the price effect prevailed during others periods.