人民币汇率传递效应视角下我国出口产品依市定价能力研究

发布时间：2018-03-26 08:49

本文选题：汇率传递效应　切入点：依市定价能力　出处：《西南大学》2017年硕士论文

【摘要】：汇率作为衡量一个国家宏观经济发展的重要风向标,也是价格体系中核心组成部分,它的变动对一个国家来说既会牵动国内经济资源的配置,也会影响一国对外贸易的发展状况。从微观上看,它既会影响一国国内的物价水平和进出口产品的价格水平,也会对国内企业的产品定价行为和依市定价能力产生影响。经过2005年、2010年、2015年3次对汇率制度的改革,我国汇率市场化程度也越来越高,人民币汇率也处于持续升值状态。出口作为拉动我国经济发展的“三驾马车”之一,出口状态的好坏直接关系到我国经济发展速度和水平的高低。根据经典的马歇尔-勒纳条件,一国的币值升值会显著的减少贸易顺差,使对外贸易的发展条件得以改善。但实际情况是,汇改后我国对外贸易的顺差状态并没有得到改变,出现了实际与理论相悖的窘况。除此之外,由于2008年金融危机的余波未尽,世界经济处于一个缓慢复苏的阶段,各国的市场需求不足,外加贸易保护主义的抬头,贸易摩擦现象已有越演越烈的趋势,这一切势必会令我国出口企业的日子越来越窘迫。基于以上背景下,研究我国出口汇率的传递与出口商品依市定价能力,使企业摆脱困境,改善我国出口贸易状况显得十分必要。本文根据现实背景,陈述了一些问题现象,提出了拟解决的相关问题,在总结国内外相关研究文献和收集了相关研究数据的基础上,首先回顾本文需要借鉴的理论基础,再通过统计分析法分析了我国出口贸易的现状,并构建了汇率传递与依市定价能力的数理模型。再利用变系数的固定效应模型和面板的误差修正模型对各行业的汇率传递程度进行了实证分析,结合实证研究的结果得出了各个行业的出口依市定价能力。在以上研究结果的基础上,再结合当下经济、政策背景,给出相关决策建议。经过一系列的理论及实证研究,本文得出以下3点结论:(1)从长期的汇率传递效应来看,行业之间的汇率传递效应差别较大。总体上看,平均汇率传递系数约为0.26,说明汇率变化的26%可以通过价格来消化。另外,从长期来看,关键变量人民币名义有效汇率对价格的影响要小于控制变量国外需求和国内企业生产成本。(2)从短期的汇率传递效应来看,我们所研究的15个行业中大多数短期内价格对汇率变动的反应不显著,大部分行业面对汇率的变动都无力在即期做出调整,它们倾向于将汇率的影响在一个较长的时期内慢慢传递出去。并且从价格的短期调整力度方面来看,各个行业对短期内价格的偏移调整力度也有较大的差别。(3)从依市定价能力(?PTM)层面上来看,总体上,我们研究的15个行业的平均PTM值约为-0.74,说明出口厂商通过调整成本加成的行为来冲减汇率变化的74%,这74%的变动完全是依靠厂商自己来消化。另外,我国出口行业之间的依市定价能力差距比较大。基于以上结论,我们初步给出政策建议是:(1)合理控制人民币汇率双向波动区间,打破人民币的升值预期;(2)善于利用汇率避险方式,合理规避汇率风险;(3)提高出口企业的国际竞争力,打造核心竞争产品;(4)改善对外出口贸易结构,促进出口贸易的可持续健康发展。
[Abstract]:The exchange rate as an important indicator to measure the economic development of a country, but also the core part of the price system, it changes to a country which will affect domestic economic resources, will also affect the development of a country's foreign trade. From the micro perspective, it will affect the domestic price level the import and export of products and the price level will be pricing behavior of domestic enterprises and the effect of pricing to market ability. After 2005, 2010, 2015 3 times on the exchange rate system reform, the degree of China's foreign exchange market has become increasingly high, the RMB exchange rate in the state. The continued appreciation of exports as a driving force for China's economic the development of one of the three carriages, the export status is directly related to China's economic development speed and level. According to the classic Marshall Lerner condition, a country's currency appreciation will significantly To reduce the trade surplus, the conditions for the development of foreign trade can be improved. But the reality is that after the reform of China's foreign trade surplus has not been changed, the actual and theory predicament. In addition, due to the aftermath of the 2008 financial crisis, the world economy is in a slow recovery the stage, lack of market demand, with the rise of trade protectionism, trade friction phenomenon has intensified the trend, it is bound to China's export enterprises have been more and more distress. Based on the above background, the research of China's export exchange rate transfer and export commodity pricing to market ability, enable enterprises to get rid of it is necessary to improve the situation of dilemma, China's export trade. Based on the realistic background, presents some problems, put forward to solve related problems, in summing up the relevant research literature at home and abroad and received Based on the study of data collection, firstly review the need for the theoretical basis, the status quo of China's export trade analysis method through the statistical analysis, and constructs the mathematical model of exchange rate and transfer pricing to market ability. The error of the fixed effect model and the variable coefficient panel exchange rate correction model of various industries the transmission of the empirical analysis, combined with the empirical research results from the various sectors of the export pricing to market ability. On the basis of above research results, combined with the current economic and policy background, given the relevant policy recommendations. Through a series of theoretical and empirical research, this paper draws the following 3 conclusions: (1) transfer from the long-term exchange rate effect, the exchange rate between the industry transfer effect is quite different. On the whole, the average rate of transfer coefficient is about 0.26, that exchange rate changes through the price to 26% Digestion. In addition, in the long term, the key variables of RMB nominal effective exchange rate impact on prices is less than the control variables of foreign demand and domestic production costs. (2) transfer from the short-term exchange rate effect, the 15 industries we studied in most of the short term price is not significant to the exchange rate response, most of the industry in the face exchange rate movements are unable to make adjustments in the spot, they tend to be the influence of the exchange rate in a longer period of time slowly passed out. And from the short-term adjustment of prices in terms of offset adjustment efforts on the short term price of various industries also have a large difference. (3) from the pricing to market ability (? PTM) level, on the whole, the average PTM of the 15 industry in our study is about -0.74, that export by adjusting the cost plus behavior to offset the change of exchange rate is 74%, the variation of 74% Is completely rely on manufacturers to digest themselves. In addition, China's export industry pricing to market ability is relatively large gap. Based on the above conclusions, we give preliminary policy recommendations: (1) the reasonable control of the renminbi exchange rate fluctuations interval, breaking the expectations of Renminbi appreciation; (2) good use of exchange rate hedging, to avoid exchange rate risk reasonable; (3) improve the international competitiveness of export enterprises, to build the core competitive products; (4) improve the export trade structure, promote the sustainable and healthy development of export trade.

【学位授予单位】：西南大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.6

【参考文献】