摘要
本文估计了人民币汇率变化对美国和日本从中国进口商品价格的传递效应。实证结果表明,人民币名义升值1%,将导致美国的进口价格短期上涨0.23%,长期上涨0.47%。日本从中国的进口价格对人民币和日元双边汇率的变化更为敏感。如果人民币兑日元名义汇率上升1%,日本的进口价格短期提高0.55%,长期则提高0.99%,具有完全的传递效应。这种高传递效应在食品、原材料、服装、制造和机械等不同类别的进口商品中也存在。但是,进一步分析表明:日本的高传递效应主要归因于中国钉住美元的汇率政策,而美元是中国对日本出口贸易的主要计价货币。在控制了计价货币因素后,自2005年7月以来人民币的累计升值并未传递到日本的总体进口价格或分类商品进口价格上。人民币汇率的这种低传递效应表明,人民币适度升值对中国的贸易顺差影响甚微。
This paper estimated pass-through effects of yuan＇s exchange rates on prices of the US and Japanese imports from China. Empirical results show that, a 1% nominal appreciation of the yuan would result in a 0. 23% increase in prices of the US imports in the short run and 0. 47 in the long run. Japanese import prices were relatively more responsive to changes of the bilateral exchange rates between the yuan and the yen. For a 1% nominal appreciation of the yuan against the yen, Japanese import prices would be expected to rise O. 55% in the short run and 0. 99% a complete pass-through in the long run. The high degree of pass-through effects was also found at the disaggregated sectoral level： food, raw materials, apparel, manufacturing, and machinery. However further analysis indicates that, the high pass-through effects in the case of Japan were mainly attributed to China＇s peg to the US dollar policy and that the dollar is used as a dominant invoicing currency for China＇s exports to Japan. After controlling currency-invoicing factor, I found no evidence that the yuan＇s cumulative appreciation since July 2005 was passed on to prices of Japanese imports at both the aggregate and disaggregated levels. The estimated low pass-through effects of the Yuan＇s appreciation suggest that, a moderate appreciation of the yuan would have very little impact on China＇s trade surplus.
出处
《金融研究》
CSSCI
北大核心
2010年第7期45-58,共14页
Journal of Financial Research
关键词
汇率传递效应
中国
日本
美国
exchange rate pass-through
China
Japan
USA
