我国进口铁矿石汇率传递效应实证分析
发布时间：2018-08-27 06:01
【摘要】：自2005年7月21日,我国对人民币汇率的形成机制进行改革,人民币汇率不再盯住单一美元,形成了更富弹性的汇率机制。汇改对我国各个行业产生了深远的影响。虽然人民币大幅升值,但是铁矿石的进口价格仍一路上扬,最终导致2008年金融危机后,众多小钢铁企业倒闭,大型钢铁企业减产。鉴于钢铁行业在我国国民经济中的重要地位,笔者试图研究进口铁矿石的汇率传递问题,同时本文也能填补国内文献对于铁矿石汇率传递这一问题的空白。 本文回顾了汇率传递问题的相关文献,针对铁矿石同质性较强这一特点,选择从不完全竞争角度研究进口铁矿石的汇率传递问题,从企业最大化自身利润层面出发,放松经典模型假设,使得国外厂商成本并不外生固定,而是随着产量变化而变化,认为铁矿石进口价格受到国内外企业成本、汇率、总需求、对外依存度等因素的影响。 在实证部分,本文选取从2003年1月到2011年12月一共9年108个月的月度数据,运用分布滞后模型对铁矿石的汇率传递效应进行分析,并比较汇改前后汇率传递的不同。需要指出的是,本文针对铁矿石行业自身的特点,构建铁矿石自身的价格指数、有效汇率指数、成本指数,以便结果更具有信服性。最终发现,汇改前后铁矿石的汇率传递程度完全不同,汇改后汇率变动对进口价格有着显著的负相关关系；其次,无论短期还是长期效应,铁矿石的汇率传递程度非常大,接近完全传递,这反映了我国钢铁企业议价能力的薄弱；同时,边际成本对价格也有着显著的正相关作用,而包括总需求、对外依存度在内的其他因素对铁矿石价格没有显著的影响作用。 最后,本文针对进口铁矿石汇率传递较大这一现象提出了几点政策建议,对于钢铁行业而言,需要坚持“走出去”战略与优化产业结构战略,通过两者相结合促进钢铁行业健康发展。对于钢铁企业而言,需要增加自身技术,提高产品的不可替代性,其中对于大型钢铁企业而言,自主负担船运费也可以有效规避一部分价格波动风险。
[Abstract]:Since July 21, 2005, China has reformed the formation mechanism of RMB exchange rate, and RMB exchange rate is no longer pegged to a single dollar, forming a more flexible exchange rate mechanism. The exchange rate reform has produced the profound influence to each profession of our country. In spite of a sharp appreciation in the yuan, iron ore imports continued to rise, leading to the collapse of many small steel mills and the reduction of production at large steelmakers after the 2008 financial crisis. In view of the important position of iron and steel industry in China's national economy, the author tries to study the exchange rate transmission of imported iron ore, and at the same time, this paper can also fill the gap in domestic literature on iron ore exchange rate transmission. This paper reviews the relevant literature on exchange rate transmission. Aiming at the strong homogeneity of iron ore, this paper chooses to study the exchange rate transmission of imported iron ore from the perspective of incomplete competition, starting from the aspect of maximizing the profits of enterprises. Loosening the classical model hypothesis, the cost of foreign firms is not exogenous fixed, but with the change of output, the iron ore import price is affected by the cost, exchange rate, total demand, external dependence and other factors of domestic and foreign enterprises. In the empirical part, this paper selects the monthly data of 108 months from January 2003 to December 2011, analyzes the exchange rate transfer effect of iron ore by using the distributed lag model, and compares the difference of exchange rate transfer before and after the exchange rate reform. It should be pointed out that according to the characteristics of iron ore industry, this paper constructs the price index, effective exchange rate index and cost index of iron ore itself so that the results can be more convincing. Finally, it is found that the exchange rate transfer degree of iron ore is completely different before and after the exchange rate reform. After the exchange rate reform, there is a significant negative correlation between the exchange rate change and the import price. Secondly, the exchange rate transfer degree of iron ore is very large, regardless of the short-term or long-term effects. This reflects the weakness of the bargaining power of Chinese iron and steel enterprises. At the same time, marginal cost also has a significant positive correlation with prices, including total demand. Other factors, such as external dependence, have no significant effect on iron ore prices. Finally, this paper puts forward some policy suggestions on the phenomenon of large exchange rate transmission of imported iron ore. For the steel industry, it is necessary to adhere to the "go out" strategy and optimize the industrial structure strategy. Through the combination of the two to promote the healthy development of the iron and steel industry. For iron and steel enterprises, it is necessary to increase their own technology and improve the irreplaceable products. For large steel enterprises, the independent burden of shipping costs can also effectively avoid a part of the risk of price fluctuations.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F426.1;F752.61;F832.6
本文编号：2206330
[Abstract]:Since July 21, 2005, China has reformed the formation mechanism of RMB exchange rate, and RMB exchange rate is no longer pegged to a single dollar, forming a more flexible exchange rate mechanism. The exchange rate reform has produced the profound influence to each profession of our country. In spite of a sharp appreciation in the yuan, iron ore imports continued to rise, leading to the collapse of many small steel mills and the reduction of production at large steelmakers after the 2008 financial crisis. In view of the important position of iron and steel industry in China's national economy, the author tries to study the exchange rate transmission of imported iron ore, and at the same time, this paper can also fill the gap in domestic literature on iron ore exchange rate transmission. This paper reviews the relevant literature on exchange rate transmission. Aiming at the strong homogeneity of iron ore, this paper chooses to study the exchange rate transmission of imported iron ore from the perspective of incomplete competition, starting from the aspect of maximizing the profits of enterprises. Loosening the classical model hypothesis, the cost of foreign firms is not exogenous fixed, but with the change of output, the iron ore import price is affected by the cost, exchange rate, total demand, external dependence and other factors of domestic and foreign enterprises. In the empirical part, this paper selects the monthly data of 108 months from January 2003 to December 2011, analyzes the exchange rate transfer effect of iron ore by using the distributed lag model, and compares the difference of exchange rate transfer before and after the exchange rate reform. It should be pointed out that according to the characteristics of iron ore industry, this paper constructs the price index, effective exchange rate index and cost index of iron ore itself so that the results can be more convincing. Finally, it is found that the exchange rate transfer degree of iron ore is completely different before and after the exchange rate reform. After the exchange rate reform, there is a significant negative correlation between the exchange rate change and the import price. Secondly, the exchange rate transfer degree of iron ore is very large, regardless of the short-term or long-term effects. This reflects the weakness of the bargaining power of Chinese iron and steel enterprises. At the same time, marginal cost also has a significant positive correlation with prices, including total demand. Other factors, such as external dependence, have no significant effect on iron ore prices. Finally, this paper puts forward some policy suggestions on the phenomenon of large exchange rate transmission of imported iron ore. For the steel industry, it is necessary to adhere to the "go out" strategy and optimize the industrial structure strategy. Through the combination of the two to promote the healthy development of the iron and steel industry. For iron and steel enterprises, it is necessary to increase their own technology and improve the irreplaceable products. For large steel enterprises, the independent burden of shipping costs can also effectively avoid a part of the risk of price fluctuations.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F426.1;F752.61;F832.6
【共引文献】
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