人民币汇率变动的出口价格传递效应研究
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摘要
汇率作为一国货币的对外价格,是一国进行对外经济活动时最重要的综合性价格指标。在开放经济条件下,汇率在对外贸易和其他对外经济活动时执行着价格转化职能,是一种重要的经济杠杆。2005年7月21日,中国启动了新一轮的人民币汇率形成机制改革,实行以市场供求为基础、参考一篮子货币进行管理的浮动汇率制。从2005年7月至2008年11月,根据BIS公布的人民币名义有效汇率累计升值19.71%,人民币实际有效汇率累计升值25.06%,升值幅度明显。按照传统国际经济学分析框架,人民币如此大幅度的升值,必然会提高中国出口商品价格,降低进口商品价格,从而削弱中国出口商品竞争力,抑制出口,促进进口,这样有助于缓解中国外部经济长期失衡的“双顺差”局面。然而,事实恰恰相反。在人民币快速升值的同时,中国对外贸易规模不断增长,出口规模和经常项目顺差持续攀升,并屡创历史新高。这些传统贸易收支理论所不能解释的现象需要从新的视角进行解读。本文从不完全汇率传递的角度对这一问题进行较为深入的研究。
本文研究首先通过对经济现象的描述,提出2005年7月汇改以来,“人民币升值背景下贸易顺差大幅上升之谜”这一问题,作为本文研究的背景和逻辑起点;其次,对汇率传递的相关理论和实证研究进行国内外文献梳理;第三,在此基础上从汇率-价格机制与贸易收支的关系出发,构建不完全汇率传递与贸易收支变动的理论分析框架;第四,在对1978年中国推行改革开放战略以来,人民币汇率变化、中国对外贸易和经济增长的变动情况进行动态描述的基础之上,揭示汇率变动与宏观经济联系的内在机理;第五,在对人民币汇率传递影响因素分析的基础之上,从中国独特的出口贸易方式和出口市场结构出发,构建了本文对人民币汇率传递决定的理论分析模型;第六,在成本加成理论模型分析框架基础上建立人民币汇率传递的计量模型。并利用2003年1月至2008年11月的月度数据,将国外市场需求压力、国外市场竞争压力、国内企业出口成本、人民币名义有效汇率指数和出口价格指数这五个变量建立VAR模型,在对变量进行平稳性检验、协整检验和格兰杰因果关系检验的基础之上,对人民币汇率变动的出口价格传递弹性进行了估计;最后,提出了人民币低汇率传递的重要政策含义。
研究结果表明:汇率变动能否影响贸易收支以及在多大程度上影响贸易收支,关键取决于汇率传递。汇率传递(主要表现为不完全汇率传递)大小是分析汇率变动与实体经济联结的重要环节。中国出口市场结构和出口贸易方式是影响人民币汇率变动的出口商品价格传递弹性的重要因素。当出口市场结构越接近于完全竞争状态(也即厂商具有更小的边际成本加成比率)时,一个单位的本币升值导致的出口价格上升的幅度就越小;当国内出口商在国际市场上所占的份额越大时,一个单位的本币升值导致的出口价格上升的幅度就越大;当国内出口商以加工贸易方式出口所占的比例越大时,一个单位的本币升值导致的出口价格上升的幅度就越小。中国出口企业具有数量多,规模小而分散的特点,且多数缺乏核心技术和自主品牌。他们主要依靠劳动力成本的比较优势从事“贴牌”和“代工”等价值链低端环节的生产,且对国际市场依赖程度高,市场集中度低,普遍存在过度竞争和低价竞销,中国出口企业在国际市场上严重缺乏市场势力和议价能力。面对人民币汇率的不利变化,出口企业很难通过提高出口价格的方式转嫁出去,为了维持原来的市场份额,而只能不惜以牺牲利润来吸收本币升值带来的不利影响,人民币汇率变动的出口价格传递率很低。从实证分析结果来看,人民币名义有效汇率冲击对中国出口价格的影响虽然具有一定程度的统计显著性,但冲击程度很小,汇率传递是很不完全的和滞后的。1个百分点的人民币汇率正向冲击(即人民币升值)将导致出口价格逐步出现小幅缓慢上升态势,5个月后才上升了0.0054个百分点,两年后上升到最大值,为0.07个百分点。然后趋于平稳,并一直维持在这一水平上。
这种较低的汇率传递率不仅为“人民币升值背景下贸易顺差大幅上升之谜”提供了合理的解释,而且还对目前中国面临的若干重要宏观问题提供了新的政策含义:第一,人民币升值应当遵循小幅、渐进的原则,尽量避免短期内大幅升值;人民币升值应当在稳定通货膨胀或保持低通胀的经济环境下进行;短期内,人民币汇率应以保持稳定为宜;第二,要促进出口贸易从数量规模型向质量效益型方向发展,向“微笑曲线”的两端延伸,进入价值链的高端;第三,应当从出口驱动型的经济增长方式向内需主导型增长方式的转变,协调出口、投资与消费的平衡关系;最后,中国央行拥有制定和实施独立货币政策的空间和自由,可以考虑实行更加富有弹性的汇率制度。
As a kind of external price for a currency, exchange rate is the most significant synthetic price index when the country is participating international economic activity. Under opening economy, exchange rate plays a role that carry conversion price out for foreign trade and international economic activities. It is an important economic lever as well. On July 21st, 2005, China announced a further move to reform its exchange rate forming mechanism, With a view to improving the managed floating exchange rate regime based on market supply and demand with reference to a basket of currencies. According to the publication of BIS, it is very obvious for RMB appreciation. From July 2005 to November 2008, the nominal effective exchange rate of RMB had appreciated 19.71% accumulatively, and the real effective exchange rate of RMB had appreciated 25.06% accumulatively. By means of analytical framework of traditional international economics, such a substantial appreciation of RMB will inevitable rise the price of Chinese export goods and lower the price of imports that would weaken the competitive strength of Chinese exports, and curb exports and promote imports. It is helpful for easing the imbalance in Chinese long-term external economic "double surplus" situation. However, the result is on the contrary. Accompany with rapid appreciation of RMB, the size of Chinese international trade continuously grows, and export volume and current account surplus continues to rise and breaks records again and again. Those phenomenon that traditional balance of trade theory could not explain needs to be read from some new angles. This paper is to do an in-depth study for the issue from an angle of incomplete exchange rate pass-through.
Firstly, the dissertation puts forward the issue“the mystery of largely increased trade surplus against the backdrop of the appreciation of the RMB exchange rate”after exchange rate reform in July 2005. This is the backdrop and logic starting point of this dissertation. Secondly, it sorts literature at home and abroad that concerns the correlation theory and empirical study of the exchange rate pass-through. Third, on the basis of above, from the relationship between the exchange rate-the price mechanism and trade balance, the dissertation constructed theoretical analysis framework of incomplete exchange rate pass-through and changes in trade balance. Fourth, based on the dynamic description of changes in the RMB exchange rate, in Chinese foreign trade and economic growth after 1978 when the reform and opening-up strategy implemented, the dissertation reveal the inherent mechanism of the relationship between exchange rate fluctuations and macro-economic. Fifth, based on the analysis of influencing factors of RMB exchange rate pass-through, and from Chinese particular export trade terms and export markets structure, this dissertation constructed the theoretical analysis model which is depended by the RMB exchange rate pass-through into export prices. Sixth, the dissertation constructed the econometric model of the RMB exchange rate pass-through which is based on the analytical framework of cost markup theoretical model. And used the monthly data of January 2003 to November 2008, it makes five variables for establishment of the VAR model. The five variables are the pressures of foreign demand, the pressures of competitive in foreign markets, the cost of exports of domestic enterprises, RMB nominal effective exchange rate index and export prices index. Based on the stability tests, cointegration test and Granger causality tests to the variables, the dissertation made a estimate to the RMB exchange rate pass-through into export prices by means of VAR model; finally, it raise the important policy implications of incomplete exchange rate pass-through.
The results of research show that: whether the exchange rate movements can affect the trade balance and the extent of this impact, depends primarily on the exchange rate pass-through. The size of exchange rate pass-through (mainly for incomplete exchange rate pass-through) is essential to the analysis of the link between exchange rate and the real economy. The export market structure and the way of export trade in China is the influencing factors of RMB exchange rate pass-through elasticity into export prices. Here, we consider the increase in export prices is caused by one unit of the currency appreciation. So we got something like this: the more the structure of export market close to a state of perfect competition (that is, firms with a smaller ratio of the marginal cost markup), the smaller the increase in export prices is ;the greater the share of the domestic exporter in the international market is, the bigger the increase in export prices is; the greater the proportion of the export processing trade in domestic exports , the smaller the increase in export prices is. The Chinese export enterprises have some features like: a large number, small-scale and dispersed. In addition, most of these enterprises lack core technology and independent brands. They rely mainly on the comparative advantage of labor costs in "OEM", "original equipment manufacturer" and other production in low-end part of the value chain. Furthermore, their degree of dependence on the international market is high and their market concentration is low. While, there are widespread excessive competition and low-price competitive in the export markets. In the international market, Chinese export enterprises lack market power and bargaining power seriously. In face of adverse changes in the RMB exchange rate, it is difficult for the export enterprises to increase export prices, in order to make the costs pass on the way out. But in order to maintain the market share, they have to sacrifice profits to absorb the adverse currency impact of the appreciation. Therefore the exchange rate pass-through into export prices of RMB is very low. The results from the empirical analysis shows, the nominal effective exchange rate of RMB shocks on Chinese export prices. While the impact of this shock having a certain degree of statistical significance, but it is a very small impact. So exchange rate pass-through effect is time-lagged and incomplete. One percent positive shock of the RMB exchange rate (that is, the appreciation of the RMB) will lead to export prices rising slightly slow. We can see it has increased 0.0054 percent after 5months, up to 0.07 percent after two years, which is the maximum value. And then it stabilized and has remained at this level.
This lower exchange rate pass-through of RMB not only provides a reasonable explanation for“the mystery of largely increased trade surplus against the backdrop of the appreciation of the RMB”, but also provides a new policy meaning for several macro problems China faces on the current. First, a slight and gradual principle of appreciation of the RMB should be followed. And a sharp appreciation of the RMB in a short term should be avoid; RMB appreciation should be maintained in such an economic environment where the inflation is stable or low; the RMB exchange rate should keep stable in a short time; Second, we should promote the development of the export trade from quantity type to quality and efficient type, it should extents to the two ends of the smiling curve, and be into the high-end value chain. Third, the way of economic growth should be from the export-driven growth pattern to domestic demand-led growth pattern, we should coordinate the balance among export, investment and consumption. Finally, Chinese central bank has the space and freedom to make and implement the independence monetary policy. And we can consider implementing a more flexible exchange rate system.
本文研究首先通过对经济现象的描述,提出2005年7月汇改以来,“人民币升值背景下贸易顺差大幅上升之谜”这一问题,作为本文研究的背景和逻辑起点;其次,对汇率传递的相关理论和实证研究进行国内外文献梳理;第三,在此基础上从汇率-价格机制与贸易收支的关系出发,构建不完全汇率传递与贸易收支变动的理论分析框架;第四,在对1978年中国推行改革开放战略以来,人民币汇率变化、中国对外贸易和经济增长的变动情况进行动态描述的基础之上,揭示汇率变动与宏观经济联系的内在机理;第五,在对人民币汇率传递影响因素分析的基础之上,从中国独特的出口贸易方式和出口市场结构出发,构建了本文对人民币汇率传递决定的理论分析模型;第六,在成本加成理论模型分析框架基础上建立人民币汇率传递的计量模型。并利用2003年1月至2008年11月的月度数据,将国外市场需求压力、国外市场竞争压力、国内企业出口成本、人民币名义有效汇率指数和出口价格指数这五个变量建立VAR模型,在对变量进行平稳性检验、协整检验和格兰杰因果关系检验的基础之上,对人民币汇率变动的出口价格传递弹性进行了估计;最后,提出了人民币低汇率传递的重要政策含义。
研究结果表明:汇率变动能否影响贸易收支以及在多大程度上影响贸易收支,关键取决于汇率传递。汇率传递(主要表现为不完全汇率传递)大小是分析汇率变动与实体经济联结的重要环节。中国出口市场结构和出口贸易方式是影响人民币汇率变动的出口商品价格传递弹性的重要因素。当出口市场结构越接近于完全竞争状态(也即厂商具有更小的边际成本加成比率)时,一个单位的本币升值导致的出口价格上升的幅度就越小;当国内出口商在国际市场上所占的份额越大时,一个单位的本币升值导致的出口价格上升的幅度就越大;当国内出口商以加工贸易方式出口所占的比例越大时,一个单位的本币升值导致的出口价格上升的幅度就越小。中国出口企业具有数量多,规模小而分散的特点,且多数缺乏核心技术和自主品牌。他们主要依靠劳动力成本的比较优势从事“贴牌”和“代工”等价值链低端环节的生产,且对国际市场依赖程度高,市场集中度低,普遍存在过度竞争和低价竞销,中国出口企业在国际市场上严重缺乏市场势力和议价能力。面对人民币汇率的不利变化,出口企业很难通过提高出口价格的方式转嫁出去,为了维持原来的市场份额,而只能不惜以牺牲利润来吸收本币升值带来的不利影响,人民币汇率变动的出口价格传递率很低。从实证分析结果来看,人民币名义有效汇率冲击对中国出口价格的影响虽然具有一定程度的统计显著性,但冲击程度很小,汇率传递是很不完全的和滞后的。1个百分点的人民币汇率正向冲击(即人民币升值)将导致出口价格逐步出现小幅缓慢上升态势,5个月后才上升了0.0054个百分点,两年后上升到最大值,为0.07个百分点。然后趋于平稳,并一直维持在这一水平上。
这种较低的汇率传递率不仅为“人民币升值背景下贸易顺差大幅上升之谜”提供了合理的解释,而且还对目前中国面临的若干重要宏观问题提供了新的政策含义:第一,人民币升值应当遵循小幅、渐进的原则,尽量避免短期内大幅升值;人民币升值应当在稳定通货膨胀或保持低通胀的经济环境下进行;短期内,人民币汇率应以保持稳定为宜;第二,要促进出口贸易从数量规模型向质量效益型方向发展,向“微笑曲线”的两端延伸,进入价值链的高端;第三,应当从出口驱动型的经济增长方式向内需主导型增长方式的转变,协调出口、投资与消费的平衡关系;最后,中国央行拥有制定和实施独立货币政策的空间和自由,可以考虑实行更加富有弹性的汇率制度。
As a kind of external price for a currency, exchange rate is the most significant synthetic price index when the country is participating international economic activity. Under opening economy, exchange rate plays a role that carry conversion price out for foreign trade and international economic activities. It is an important economic lever as well. On July 21st, 2005, China announced a further move to reform its exchange rate forming mechanism, With a view to improving the managed floating exchange rate regime based on market supply and demand with reference to a basket of currencies. According to the publication of BIS, it is very obvious for RMB appreciation. From July 2005 to November 2008, the nominal effective exchange rate of RMB had appreciated 19.71% accumulatively, and the real effective exchange rate of RMB had appreciated 25.06% accumulatively. By means of analytical framework of traditional international economics, such a substantial appreciation of RMB will inevitable rise the price of Chinese export goods and lower the price of imports that would weaken the competitive strength of Chinese exports, and curb exports and promote imports. It is helpful for easing the imbalance in Chinese long-term external economic "double surplus" situation. However, the result is on the contrary. Accompany with rapid appreciation of RMB, the size of Chinese international trade continuously grows, and export volume and current account surplus continues to rise and breaks records again and again. Those phenomenon that traditional balance of trade theory could not explain needs to be read from some new angles. This paper is to do an in-depth study for the issue from an angle of incomplete exchange rate pass-through.
Firstly, the dissertation puts forward the issue“the mystery of largely increased trade surplus against the backdrop of the appreciation of the RMB exchange rate”after exchange rate reform in July 2005. This is the backdrop and logic starting point of this dissertation. Secondly, it sorts literature at home and abroad that concerns the correlation theory and empirical study of the exchange rate pass-through. Third, on the basis of above, from the relationship between the exchange rate-the price mechanism and trade balance, the dissertation constructed theoretical analysis framework of incomplete exchange rate pass-through and changes in trade balance. Fourth, based on the dynamic description of changes in the RMB exchange rate, in Chinese foreign trade and economic growth after 1978 when the reform and opening-up strategy implemented, the dissertation reveal the inherent mechanism of the relationship between exchange rate fluctuations and macro-economic. Fifth, based on the analysis of influencing factors of RMB exchange rate pass-through, and from Chinese particular export trade terms and export markets structure, this dissertation constructed the theoretical analysis model which is depended by the RMB exchange rate pass-through into export prices. Sixth, the dissertation constructed the econometric model of the RMB exchange rate pass-through which is based on the analytical framework of cost markup theoretical model. And used the monthly data of January 2003 to November 2008, it makes five variables for establishment of the VAR model. The five variables are the pressures of foreign demand, the pressures of competitive in foreign markets, the cost of exports of domestic enterprises, RMB nominal effective exchange rate index and export prices index. Based on the stability tests, cointegration test and Granger causality tests to the variables, the dissertation made a estimate to the RMB exchange rate pass-through into export prices by means of VAR model; finally, it raise the important policy implications of incomplete exchange rate pass-through.
The results of research show that: whether the exchange rate movements can affect the trade balance and the extent of this impact, depends primarily on the exchange rate pass-through. The size of exchange rate pass-through (mainly for incomplete exchange rate pass-through) is essential to the analysis of the link between exchange rate and the real economy. The export market structure and the way of export trade in China is the influencing factors of RMB exchange rate pass-through elasticity into export prices. Here, we consider the increase in export prices is caused by one unit of the currency appreciation. So we got something like this: the more the structure of export market close to a state of perfect competition (that is, firms with a smaller ratio of the marginal cost markup), the smaller the increase in export prices is ;the greater the share of the domestic exporter in the international market is, the bigger the increase in export prices is; the greater the proportion of the export processing trade in domestic exports , the smaller the increase in export prices is. The Chinese export enterprises have some features like: a large number, small-scale and dispersed. In addition, most of these enterprises lack core technology and independent brands. They rely mainly on the comparative advantage of labor costs in "OEM", "original equipment manufacturer" and other production in low-end part of the value chain. Furthermore, their degree of dependence on the international market is high and their market concentration is low. While, there are widespread excessive competition and low-price competitive in the export markets. In the international market, Chinese export enterprises lack market power and bargaining power seriously. In face of adverse changes in the RMB exchange rate, it is difficult for the export enterprises to increase export prices, in order to make the costs pass on the way out. But in order to maintain the market share, they have to sacrifice profits to absorb the adverse currency impact of the appreciation. Therefore the exchange rate pass-through into export prices of RMB is very low. The results from the empirical analysis shows, the nominal effective exchange rate of RMB shocks on Chinese export prices. While the impact of this shock having a certain degree of statistical significance, but it is a very small impact. So exchange rate pass-through effect is time-lagged and incomplete. One percent positive shock of the RMB exchange rate (that is, the appreciation of the RMB) will lead to export prices rising slightly slow. We can see it has increased 0.0054 percent after 5months, up to 0.07 percent after two years, which is the maximum value. And then it stabilized and has remained at this level.
This lower exchange rate pass-through of RMB not only provides a reasonable explanation for“the mystery of largely increased trade surplus against the backdrop of the appreciation of the RMB”, but also provides a new policy meaning for several macro problems China faces on the current. First, a slight and gradual principle of appreciation of the RMB should be followed. And a sharp appreciation of the RMB in a short term should be avoid; RMB appreciation should be maintained in such an economic environment where the inflation is stable or low; the RMB exchange rate should keep stable in a short time; Second, we should promote the development of the export trade from quantity type to quality and efficient type, it should extents to the two ends of the smiling curve, and be into the high-end value chain. Third, the way of economic growth should be from the export-driven growth pattern to domestic demand-led growth pattern, we should coordinate the balance among export, investment and consumption. Finally, Chinese central bank has the space and freedom to make and implement the independence monetary policy. And we can consider implementing a more flexible exchange rate system.
引文
①[美]彼得·纽曼,默里·米尔盖特和[英]约翰·伊特韦尔编.新帕尔格雷夫货币金融大辞典[M].经济科学出版社,2000
①关于更加详细的生产相互依存与汇率传递的关系,可参见Ghosh,Amit and Ramkishen Rrajan.“exchange rate pass-through in Asia:what does the literature tell us?”March 2006,Asia-Pacific Economic Association(APEA)second international conference paper,PP20-26。
①Hans Genberg,“Purchasing Power Parity Under Fixed and Flexible Exchange Rates,”Journal of International Economics 8(May 1978),PP.247-276;Jacob A. Frenkel,“The Collapse of Purchasing Power Parities During the 1970s,”European Economic Review 16(1981),PP. 145-165
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