摘要
在不完全竞争条件下,汇率预期会通过价格效应和替代效应影响出口需求和价格,汇率预期对出口价格传递的综合效应在单向汇率预期和双向汇率预期下显著不同。本文利用Gregory&Hansen(1996)提出的内生结构变化协整检验方法对1996年至2013年人民币汇率及汇率预期对中国出口价格的传递效应进行了分析,结果显示,人民币汇率对出口价格的传递效应为负,汇率预期对出口价格的综合效应为正,且2008年6月以后汇率及预期的传递效应均显著增强。
This paper analyzes the influence of exchange rate expectation＇s pass-through to export price in imperfect competing market by employing a two-period dynamic model. It demonstrates that the exchange rate expectation influences the export demand and price through two channels： price effect and substitution effect, while the overall effect is much different under continued and non-continued expectation. In the empirical analysis, we use the co-integration test with regime shift put forward by Gregory-Hansen（1996） to analyze the exchange rate and expectation of RMB pass-through to China＇s export price. The result shows that the exchange rate pass-through to export price is positive and the expectation pass-through is negative. Since the regime shift in June, 2008, both pass-through effects have been strengthened.
出处
《国际金融研究》
CSSCI
北大核心
2015年第11期77-87,共11页
Studies of International Finance
基金
教育部哲学社会科学研究重大课题攻关项目(编号12JZD029)
“中央高校基本科研业务费专项资金”和武汉大学“70后学术学者计划”资助
武汉大学自主科研项目(人文社会科学)研究成果
关键词
汇率预期
汇率传递
结构变化
协整检验
Exchange Rate Expectation
Exchange Rate Pass-through
Regime Shift
Co-integration Test
