论汇率变动对出口价格的传递效应——中国、日本、东盟、德国经验数据比较研究  

Exchange Rate Pass-through Effects on Export Prices:A Comparative Empirical Analysis of China,Japan,German and ASEAN

作　　者：萧琛[1] 崔楠楠[1] 

机构地区：[1]北京大学经济学院,北京100871

出　　处：《国际经贸探索》2011年第4期63-70,共8页International Economics and Trade Research

摘　　要：文章比较分析了中国、日本、德国和东盟四个国家(地区)汇率变动对以美元计价的对美出口商品价格指数的传递效应,结果显示中国是唯一在当期存在汇率传递影响的国家,但影响显著为正。短期内德国汇率传递效应最高,中国的传递效应最低。由于中国汇率传递的滞后时间较长,中国累计汇率传递效应值高于日本。在实证结果的基础上,文章认为在短期内无法改变出口商品技术含量和竞争力的情况下,人民币保持稳步的升值步伐比汇率上下波动更有利于企业价格的提高。The paper analyzes exchange rate pass-through effects on export prices in China, Japan, German and ASEAN, all of which are export-oriented countries and have similar export industry structures. It uses the Granger causality test and impulse response function based on the SVAR model to investigate the dynamic relationship between exchange rates and export prices to U.S market with dollar-denomination in the four regions. The results indicate that both short-run and long-run exchange rate pass-through effects are partial. In the short run, German has the highest pass-through rate while China has the lowest. Due to the longest effect time, China＇s long pass-through rate is higher than Japan＇s, which is the lowest of all. Based on the empirical results, it suggests that keeping RMB＇s appreciation step-by-step should be better than keeping RMB＇s exchange rate fluctuation irregularly for exporters under the circumstance that export goods＇ low technology and competitiveness can not be improved in the short time.

关 键 词：汇率传递效应 出口价格 SVAR 脉冲响应函数 

分 类 号：F830.7[经济管理—金融学]