风险补偿视角下的汇率传递及其国别差异——基于深圳和黄埔港出口数据的实证  

Exchange Rate Pass-through,Country Effect and Risk Compensation:A Cross Country Test Based on the Data from Two Ports of China

作　　者：胡冬梅[1] 潘世明[2] 

机构地区：[1]深圳大学经济学院,广东深圳518060 [2]西安交通大学管理学院,陕西西安710049

出　　处：《当代经济科学》2011年第6期21-29,122-123,共9页Modern Economic Science

摘　　要：本文基于2000年1月至2008年12月深圳和黄埔港15大类8位数HS编码出口商品月度单价,构建面板模型,研究经两港出口至美、德、英和日本商品的汇率传递效应及汇率预期对厂商定价的影响。实证显示,即期汇率传递率较高,厂商定价对人民币即期升(贬)值较敏感,且国别差异显著;出口商根据本币预期升(贬)值幅度相应调高(低)报价,以规避汇率风险。因此,汇率波动向出口商品本币价格的传导实际上存在两个渠道,当市场普遍预期未来汇率会发生较大的变化,即使即期名义汇率保持稳定,预期的改变可能已经悄然传导到价格上,并实际地影响到贸易量。Based upon highly disaggregated HS 8-digit monthly unit price collected from Shenzhen and Huangpu,this paper examines the exchange rate pass-through to the RMB price of 15 HS 2-digit commodities exporting to U.S.A.,Germany,U.K.and Japan,using a panel data model,where we assume Chinese exporters take the exchange rate expectation into consideration and require a higher price in foreign currencies when there is an expected appreciation of RMB(or lower the price in the case of depreciation) to reflect the unique situation of RMB.We find both the unexpected change in spot rate and exporters'expectation on future exchange rate may influence pricing,and have a strong country effect.Different from the normal view,even though the bilateral exchange rate keeps stable,the RMB exporting price may also change according to exporters'expectation,especially when there is a prevailing and strong expectation.

关 键 词：汇率传递 国别差异 汇率预期 风险补偿 出口商品定价 

分 类 号：F832.6[经济管理—金融学] F224