人民币汇率及预期对进口价格的门限传递效应:考虑边际成本可变性的分析

发布时间：2018-02-10 07:05

本文关键词： 汇率预期汇率传递边际成本门限效应　出处：《世界经济研究》2016年10期 　论文类型：期刊论文

【摘要】：文章通过构建不完全竞争市场条件下的两期动态模型,分析了汇率预期的存在和厂商边际成本的可变性对汇率传递效应的影响,并使用Hansen(1999)提出的门限回归法就人民币汇率和汇率预期对进口价格的传递效应进行了实证检验。理论分析显示,汇率对进口价格的传递系数受消费需求弹性的影响可正可负,汇率升值预期会降低进口价格水平,而边际成本的可变性使得汇率对进口价格的传递会随着汇率和汇率预期的变化存在门限效应。实证分析结果表明,人民币汇率对进口价格的传递系数为负,人民币升值预期的存在导致了进口价格下降,且当汇率和汇率预期变化达到一定门限值后,汇率传递程度会发生显著变化。
[Abstract]:This paper analyzes the influence of the existence of exchange rate expectation and the variability of the firm's marginal cost on the exchange rate transfer effect by constructing a two-period dynamic model under the condition of incomplete competitive market. Using the threshold regression method proposed by Hansenny 1999, this paper empirically tests the transfer effect of RMB exchange rate and exchange rate expectation on import price. Theoretical analysis shows that the transfer coefficient of exchange rate to import price can be positively and negatively affected by the elasticity of consumer demand. The exchange rate appreciation is expected to lower the import price level, while the variability of marginal cost makes the exchange rate transfer to the import price have a threshold effect with the change of the exchange rate and the exchange rate expectation. The transfer coefficient of RMB exchange rate to import price is negative, and the existence of RMB appreciation expectation leads to the decrease of import price, and when the exchange rate and the expected change of exchange rate reach a certain threshold, the degree of exchange rate transfer will change significantly.
【作者单位】：武汉大学经济与管理学院金融系;
【基金】：2016年教育部人文社会科学规划基金项目《汇率传递与货币政策选择:考虑预期因素的研究》(项目编号:16YJA790022)的阶段性研究成果
【分类号】：F832.6;F752.61

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