人民币汇率波动对国内价格的传导分析.doc

人民币汇率波动对国内价格的传导分析摘要：本文以人民币汇率变动对国内价格的传导为研究对象，通过事先理论分析、事中建模以及事后数据深层分析这三个层面，定量、定性解析人民币汇率波动对我国物价的传导作用。结合详实的中国国情案例，即中国自身的经济环境特点，宏观形势以及国内企业的微观行为来阐述汇率传导效应的“因国制宜”。关键词：人民币升值，汇率波动，汇率传导效应，通货膨胀，价格指数Abstract: this paper focuses on the influence on the domestic prices brought by the variation of the exchange rate. It analyzes the transmission effect between the exchange rate and the prices through three steps, that is theoretical description, model enstablishment and data analyses. Both the quality and the quantity of the effect are taken into account. Whats special about the paper is that its based on the economic situation of China and that it brings us a detailed explanation of the inperfective thansmission through three aspectsthe characterristics of chinese economy, the macro econonic situation as well as the the varied behavior of different enterprises.Key words: upvaluation, exchange rate volatility, exchange rate pass-through, inflation, price index引言自2005年7月汇改到2007年年底人民币累计升值幅度已超过10%，与此同时，国内的通货膨胀率却开始持续攀升，2008年消费者物价上涨率更创11年来最高水平，达8.7%。虽然央行多次采取货币紧缩政策，但国际收支双顺差的格局短期间一时难以立刻消除，中央银行购入外汇、增加货币供给的压力仍将持续存在。因此，目前国内很多研究学者曾在不同场合表示过，应放大人民币汇率的波动幅度，以人民币升值作为抑制通货膨胀的重要手段。然而，汇率对物价的影响机制众多，且不同的影响机制具有各自的传导速度和结果，所以了解人民币汇率变动对国内通货膨胀率的作用机制及其影响因素，对于中央银行正确预测未来物价水平的变化，以便采取合适的货币政策和汇率政策实现物价稳定的目标具有至关重要的意义。一 汇率变化对我国物价影响的原因分析国际经济学中把汇率传导定义为：汇率变动1%所引起的国内价格水平变化的百分比。汇率传导有狭义和广义之分，狭义而言，汇率变化只对进口商品的价格有所影响。广义上的汇率传导是指汇率的变化不仅仅使得进口商品的价格发生变化，它还会对消费者价格、生产者价格、投资品价格、零售价格、批发价格等不同价格指标产生大小不一的作用。而在我国，影响这种汇率传导机制的因素众多，本文就从下面几个原因分析。1微观因素（1）进口商品价格与进口产品结构进口商品的价格会在一定程度上影响CPI，但是这种影响会随着商品的分配和运输被逐渐淡化甚至抵消。我国主要的进口商品为初级产品，非食用原料以及矿物燃料等。人民币升值，促使进口原材料和中间品价格下跌，而对于本国的加工企业，或者那些大量依靠国外进口原材料的公司，生产成本会因为进口商品价格下跌而下降，如果企业的定价策略是利润最大化，则企业会保持原价不变或者降低价格（一般后者居多），最后导致国内一般物价的下降。中国进口依赖度较高，因此汇率对于进口商品的价格的变化应该影响最显著。（2）出口商品结构与贸易方式中国出口商品主要是高能耗，高污染以及低附加值的资源性商品，这类商品对汇率的传导是不敏感的。另外，我国大多从事的是劳动密集型的产业，有50%的出口品是来料加工，而这种贸易结构进口中间品，并通过加工后贸易出口的方式会因为汇率对进口中间品的反向传递而削弱出口商品的汇率传递效应。此外，我们还应考虑进口和出口之间存在的相互影响的传导机制，这样，会使得汇率对我国物价的传导效应更加复杂，趋于中性的可能性也会更大。（3）微观主体行为第一，就长期而言，我国汇率制度实行“有管理的”浮动汇率制度，这使得人民币汇率的波动小步化，由此，我国企业对汇率波动的心理预期并不是很强烈。此外，从我国外汇市场结构来看，银行市场是外汇市场的主体，而企业几乎没有参与外汇市场上的直接买卖，另加之我国对“涉汇”企业的强制结汇售汇制度，企业对外汇市场主体意识薄弱，风险防范意识以及手段欠缺，以上种种原因使得人民币汇率波动对我国企业的影响不明显。第二，货币工资机制的存在又使得汇率波动对非“涉汇”企业产生不一样的效果。人民币升值，带来的进口商品价格的下降以致一般物价的下降使得居民的实际工资上升，这时，企业为了追求利润最大化，就会倾向于降低工人的名义工资或者减缓名义工资的上升幅度，较低的名义工资又会使得企业的生产成本进一步下降，如果按照厂家的定价模式，则生产成本的下降会直接导致产成品价格的下降，并且推动一般物价的下降，如此良性循环，人民币升值带来的直接结果是使一般物价下降。2宏观因素（1）货币供给外汇储备的增加会加大外界对人民币升值的预期，大量资本涌入，加大央行购买外汇，投放基础货币的压力，如此形成了国际收支顺差人民币升值预期资本流入人民币进一步升值预期的恶性循环。（2）总需求根据国际金融中的马歇尔理论，人民币升值有助于抑制出口，扩大进口，由此引发的贸易收支的恶化会使得社会总需求下降。而总需求的减少回使得本国收入水平下降以及物价下降。虽然我国极力反对人民币过度升值以及不恰当升值，但是未来几年人民币升值是个不可阻挡的趋势，而由人民币升值带来的贸易顺差的减小，会导致社会总需求的下降，这将势必影响我国经济的增长速度，减缓物价的上涨压力。二汇率波动对我国物价影响的实证分析1.背景阐述国外对汇率传导效应已经有着相当丰富的研究。Camap和Goldberg(2002，2006)认为20世纪90年代以来，汇率变动的进口价格转嫁效应有下降趋势。在Obstfeid和Rogoff(1995)以来的新开放宏观经济学中，企业价格设定行为的不同会影响汇率对进口价格传递的大小，从而给金融政策的传导效果带来很大的影响。Taylor(2000)认为，在全球竞争压力提高和稳定的低通胀的经济环境中，企业难于将汇率变动对价格的影响完全传递到出口商品上，进而推导出汇率波动对国内价格的影响降低，提出汇率对一国价格的传递效应程度依赖于其通胀水平的重要观点。国内卜永祥(2001)实证表明，人民币名义有效汇率与国内物价水平、国外物价水平、国内货币供应量是协整的，汇率变动显著影响国内物价，其中PPI对汇率波动的弹性要大于零售物价指数的弹性。这些研究，大量运用了McCanhy，2000的VAR模型分析方法，因为此方法是目前公认的考察动态变量之间关系的方法，且不需要太多理论假设存在。2模型设定Goldberg和Knetter(1997)提出了汇率对国内价格的传递效应的一般方程：其中，Pt为本国价格水平；Xt为国外变量，一般为该国主要贸易伙伴的出口厂商的成本和价格；Et为本币的名义有效汇率；Zt为国内变量，一般为与国内经济增长和货币供应量有关的变量；t为随机扰动项。笔者借鉴Corbo and McNelis(1989)以及Goldberg和Knetter(1997)的定价模型的思路，把国内物价水平看做是国外价格水平、国内劳动成本和国内超额需求的函数。而消费者价格指数不仅受上述因素影响，还会受本国的宏观经济条件以及内生货币变动量的影响。于是，我将汇率对国内生产者价格指数和消费者价格指数的传递效应作了如下的模型， (1) (2)其中，c为常数项，为一阶差分分子。Ppi和cpi分贝为生产者价格指数和消费者价格指数，e为人民币有效汇率，imp为进口价格指数，gdp为国内生产总值，m为国内广义货币供给，u为随机误差项。其中，是汇率变动对cpi和ppi的短期传递系数；而是汇率对cpi和ppi的长期传导系数。以上价格指数和名义有效汇率均以2005年7月作为基期，为了使得方程回归具有平稳性，上述数据均采取了季节调整，最后取一阶差分。3模型估计根据从“一般到简单”的模型估计方法，我们先对这两个方程所代表的一般意义进行OLS回归估计，然后利用系数的T检验剔除了不显著的变量，最终将模型简约化，得到以下的模型回归： （0.209）（0.022）* （0.005）* （0.026）* （0.071）* （3） DW=1.6694（0.060）*（0.025）* （0.001）* （4）R2=0.096 DW=1.492括号内的为概率p值，*，*，*，分别表示在10%，5%和1%的置信水平条件下的显著。由回归的结构可以看出，拟合的各个系数与我们的先验预计一致，且系数显著。方程（3）的解释变量有四个，因此k=4，查durbin-watson检验表得知，n=50的dl=1.38，du=1.72， 由于方程（3）的DW值为1.6694，介于表上的临界值之间，由此，我们得知，方程（3）的残差项序列不相关；同样在k=2，n=50的情况下，我们查表得到临界值为1.46和1.63，而方程（4）的临界值也在这两个数之间，因此，方程（4）的残差序列项不相关。由此我们可以得出，方程（3）和方程（4）是一个比较好的回归方程，它们给出了生产价格指数和消费价格指数的变动与相关解释变量之间的显著定量关系。4回归结果的解释和结论（1）对生产者价格指数的解释汇率波动对生产者价格指数的影响有显著地统计结果表明，汇率波动可以有效影响生产者价格指数。其一，生产者价格指数的选取：在我国统计数据中，ppi在大类上分为生产资料价格和生活资料价格，前者进一步分为采掘，原料和加工三方面，后者进一步分为食品，衣着，一般日用品和耐用品四个方面。这个指数可以看成工业品国内提供厂商进入最终消费市场前的批发供给价格。其二，Ppi的构成中有相当大的一部分是跟进口产品的价格有关的，而汇率波动最直接的影响效果就是使得进口材料和商品的价格发生变化，再加之我国进口商品的结构因素，汇率波动对ppi的影响是属于第一传导阶段的，所以效果显著。（2）对消费者价格指数波动的解释名义有效汇率波动，进口价格波动，实际国内生产总值波动都不会对消费者价格波动产生统计学意义上的显著影响。而广义货币供给量和生产者价格指数是造成消费者价格指数波动的总要因素。如何解释汇率波动对cpi变化没有显著地统计意义，就需要了解cpi的构成。在我国cpi由八项内容组成，其中食品，娱乐教育文化用品及服务，居住的占比排在了首三位。我国是农业大国，出口食品远远多于进口食品或者食品原材料，在这样一个自产食物的国度，食品的价格主要取决于农产品的价格，而农产品的价格在很大程度上不依赖于汇率，只是会受种植条件，如土地，气候还有科技的影响，因此汇率波动对其影响较少。至于其他方面，如娱乐教育文化用品及服务还有居住等，则是受市场供求或者经济周期波动比较多。综合方方面面，汇率波动对cpi的影响首先要通过一个间接传导机制使得这种传导效应在运输以及成本分摊上面抵消一部分，再次，cpi的波动最主要还是取决于国内的宏观经济形势和自然状况，如货币发行量的猛增会使cpi大幅上升，这种情况能很好解释2007.10-2008.7月份的严重通货膨胀现象。因此，汇率传导效应在消费者价格指数这种集众多价格指数于一身的综合体而言是不显著的。三政策建议1适当调节人民币升值幅度我国人民币汇率传导效应复杂，且对于通货膨胀的抑制作用不是很明显，因此，单靠汇率政策的调整还不能实现对整个经济运营的价格调整。相应地，我们应该适当调整人民币升值的幅度，加强资本流入的限制和管理，这不仅有助于防止外资过分流入，抑制投资过热和抑制短期投机套利活动，还会有助于保持国内物价稳定，形成一个合理的人民币升值预期，使得宏观经济形势良好运行。考虑到人民币汇率的传递效应比较小，因此中国的货币政策可以将重心放在稳定物价上，不必过分担心人民币汇率波动对国内物价水平的影响。这样可以增强货币政策的独立性，从而增强国内经济形势的稳定与良好运营。2治理输入性通胀由于人民币汇率波动对PPI的影响远大于对CPI的影响，而石油，原料等初级化工及能源原料的供给价格是导致PPI价格变化的原因。因此中国政府应该更加关注人民币汇率波动对工业品出厂价格指数的影响，防止输入性的恶性通货膨胀，并运用汇率以及货币政策来维护厂家生产的利益，创造良好的生产环境，避免国外商品价格冲击通过汇率杠杆对我国的经济造成负面影响。3弹性汇率制由于人民币名义有效汇率对我国国内物价的传递作用很小，从治理通货膨胀的角度来说，政府可以运用更加有弹性的汇率制度，并同时制定稳定可信的货币政策，以稳定或者降低通货膨胀预期，从而稳定汇率对物价的传递效应，实现国内经济地健康平稳增长。参考文献1李颖.汇率对物价水平的传导机制及效果的理论分析.期刊论文 -山东社会科学,20082沙文兵.人民币汇率与国内价格水平的传递效应分析.学术期刊，20093陈六傅、刘厚俊.人民币汇率的价格传递效应.金融研究,20074刘亚、李伟平、杨宇俊.人民币汇率变动对我国通货膨胀的影响：汇率传递视角的研究.金融研究, 2008ANALYSIS ON THE EXCHANGE RATE VOLATILITY CONDUCTION IN THE DOMESTIC PRICESAbstract: this thesis has a research on the RMB exchange rate volatility conduction in the Chinas domestic prices, using the three principles of pre-theoretical analysis, model construction in the course and post-data analysis to study the RMB exchange rate volatility conduction in the Chinas domestic prices from both the quantity and the quality perspectives. It also illuminates the one character of the conduction effect-varying in different countries-according to the distinct economic environment, the macro situation and the micro behavior of domestic enterprises, and make related policy suggestions as well. Key words: RMB appreciation, exchange rate volatility, exchange-rate pass-through, inflation, price indexSince the reform of the exchange rate regime of RMB in July of 2005 to the year of 2007, the cumulative appreciation has exceeded 10%. At the same time, however, the inflation in China has been more and more serious, the CPI in 2008 roaring to 8.7%, reaching the peak of the past 11 years. Despite the fact that central bank has taken numerous tight money policy, the situation of the double surplus in the international balance of payments cannot be reversed immediately and the pressure still exists that the central bank will buy foreign exchange and increase the monry supply. As a result, many domestic scholars have contended in various occasions that the government should use the RMB appreciation as an important means to inhibite the inflation, thus the flexibility of the RMB appreciation should be expected.The fact, however, is that there are enormous mechanisms of exchange rate conduction and they each have the distinctive conduction speed and the result, thus it is of great importance to gain a sufficient knowledge about the mechanism of the RMB volatility conduction on the domestic prices and the related factors that influence this conduction effect in order to lay a theoretical foundation for the central bank to precisely anticipate the future domestic inflation and to adopt the appropriate money policy and exchange rate policy for the sake of the price stability. 1. cause-effect analysis of the exchange rate volatility on the domestic prices. The international economy defines the exchange rate pass-through as the change of the domestic price level (in percentage) caused by the 1% change in the exchange rate. There are two kinds of definition, one is the broad definition and the other is the narrow one. In the narrow sense, the exchange rate change only impacts the import price, while according to the broad definition, the exchange rate pass-through will additionally influence the CPI, PPI, etc to various degrees. In China, numerous factors will have an influence on the pass-through mechanism, and this thesis will focus on several factors as follows.1.1 micro factors(1) prices and structure of the importsImport prices will, to some extent, affect the CPI, but the influence will be reduced and even be eliminated as the distribution and the transportation of the goods go around. Primary products, raw materials used for none-eating and fossil fuels are mainly imported into China. Given that RMB has risen in value, the prices of imported raw products and intermediate goods will fall as a result. In terms of the domestic manufacturing enterprises and those who depend heavily on the import goods, the cost will thus decline dramatically. Assuming that the price strategy of a company is to earn the highest profit, the company will then hold the original price or even make a reduction(the latter is common), domestic prices will, in the end, fall. In fact, the pass-through effect has a more obvious impact on Chinas domestic prices due to its heavy dependence on the imports. (2)the export structure and the trade patternResource products of high fuel-consumption, high pollution and low added value, which are not sensitive in the exchange rate pass-through, constitute the major part of Chinas exports. In addition, the most industries in China are concentrated on the intensive labor ones, and more than 50% exports are processing export trades. This trade pattern, that is, to import the intermediate products and then to export through the processing strategy, will diminish the exchange rate pass-through because of the adverse pass-through effect from the imports. (3)micro subjects behaviorFirst, in the long run, the enforcement of the “managed floating exchange rate regime ” will reduce the fluctuation of the RMB exchange rate. Moreover, as with Chinas foreign exchange structure, the banking market is the major component, while enterprises seldom take part in the direct trade business of foreign exchange. Furthermore, China forces the trade businesses to settle and sell foreign exchange and the enterprises know little about the trade in the foreign exchange market. All these factors contribute to the weak exchange rate pass-through effect in China. Second, the money-wage mechanism has a different effect on the non-foreign trade enterprises. The reduction of the domestic prices as well as the general prices due to the RMB appreciation will raise the real wage level of the citizens. Meantime, enterprises have an inclination to reduce the nominal wage or slow down the rising rate as a result of the pursuit of the max profit, which will in turn further reduce the manufacturing cost. Given the unchanged product price, the general prices are domed to decline in the end. To sum up, the appreciation of the RMB will directly reduce the general prices. 2. macro factors(1) Money supplyThe enlargement of the foreign exchange scale will promote peoples anticipation of the appreciation of the currency, stimulate the enormous influx of capital and increase the pressure of the central bank to buy foreign exchange and to release the money. Thus the vicious circle comes into being as follows: the international payment surpluses-anticipation of the RMB appreciation-capital influx-the further appreciation of the RMB.（2）Aggregate demandAccording to the Marshall theory in the international finance, the RMB appreciation contributes to inhibiting the export while promoting the import. Thus the resulting deterioration of the trade balance is responsible for the decline of the aggregate demand of the society, which will reduce the income level and the general price. China has hold the position that is against the over-appreciation or the inappropriate appreciation of RMB, however, the overwhelming trend of the appreciation will diminish the trade payment surplus and reduce the aggregate social demand, which will certainly affect the economic growth and slow down the rising rate of the general prices.3. Empirical analysis of the exchange rate pass-through effect on the prices1. background informationThere has been sufficient study about the exchange rate pass-through abroad. Camap and Goldberg contended that the effect on the import prices has been somewhat diminished since the 1990s. In the new open macro economics since both Obstfeid and Rogoff, the difference in the price setting behavior of various enterprises will have an influence on the pass-through effect on the import prices. Therefore, the result of the certain financial policy will be seriously affected. Taylor asserted that enterprises would have difficulty in transmitting the pass-through effect to the exports totally and thus the effect on the domestic prices would be reduced when in an environment where the global competition improves and the inflation rate is relatively low. In general, the exchange rate pass-through effect is dependent on the inflation rate of a country. In China, expert Yongming bo argues through the empirical analysis that there has been a correlation between the RMB nominal effective exchange rate and such factors as the domestic price level, the foreign price level and the domestic money supply. Whats more, he has the conclusion that the change in the exchange rate obviously affected the domestic prices and the elasticity of PPI to the change is higher than that of the RPI.Most of these existing studies have employed the VAR methodology by McCanhy because this is the generally accepted methodology used for studying the correlation of variables. Another advantage of VAR is that a lot theoretical assumptions are not required in this methodology. 2. Model Specification Goldberg and Knetter(1997) put forward the general equation of the exchange rate pass-through effect on the domestic prices as follows:Among all the variables, Pt represents the domestic prices, Xt represents the export prices or the cost of the subject nations major trading country, Et represents the nominal effective exchange rate, Zt is related to the economic growth and the money supply of the country and t represents the random disturbance term.This thesis draws experience from the price setting model of Corbo and McNeils(1989) along with Goldberg and Knetter(1997) to define the domestic prices as a function of such variables as foreign price level, domestic labor cost and the domestic excess demand. The final equations of the exchange rate pass-through on both the PPI and CPI are as follows: (1) (2)Among the variables, c represents the constant term, represents the first order difference, ppi and cpi represent the producer price index and the consumer price index, e represents the RMB nominal effective exchange rate, imp represents the import price index, gdp represents the gross domestic product, m represents the domestic money supply and u is the random disturbance term. In addition, t represents the short-term pass-through effect on both cpi and ppi, while is the long-term effect. 3. Model order estimationAccording to the general methodology, the thesis first uses the OLS to do the regression estimate of the two equations. After the elimination of the insignificant variables through the T test, we finally get the simplified models as follows: (0.209) (0.022)* (0.005)* (0.026)* (0.071)* (3) DW=1.6694 (0.060)* (0.025)* (0.001)* (4) DW=1.492The numbers in the brackets represent the probability p, and *, *, * represent the statistical significance of the variables in the confidence level of 10%, 5% and 1%. From the equations above, the thesis concludes that the there is a significant quantitative correlation between the price indexes and the related variables. 4. The explanation of the regression result(1) The explanation of the ppiChanges in the exchange rate have an obvious effect on the ppi due to the significant regression result. For one thing, ppi in China is grossly divided into two categories, the production material prices and the consumer goods prices. The former is further divided into the mining, ingredients and processing, while the latter is divided into food, clothing, the daily articles and the durables. The ppi can be regarded as the wholesale price before the industrial goods suppliers enter the final consuming market. For another, the major component of ppi is related to the imports prices, which are directly influenced by the changes in the exchange rate. Furthermore, the structure of the imports in China has made a significant difference in the exchange rate pass-through on the ppi, in the first stage of the conduction process. （2）the explanation of cpiTo get a knowledge of the structure of cpi helps explain the insignificant regression result of the pass-through effect. In China, cpi is composed of 8 parts, among which food, entertainment and educational product and service and residence take up the top three components. As a country with a vast agricultural base, China exports food and raw materials far more than it imports, thus the self-sufficien