非贸易品相对价格能解释人民币双边实际汇率的波动吗  

How Important Are Non-tradable Goods Prices as Sources of Fluctuations in Bilateral RMB Real Exchange Rate

作　　者：谭小芬[1] 龚力丹 杨光[1] 

机构地区：[1]中央财经大学金融学院 [2]复旦大学管理学院

出　　处：《国际金融研究》2015年第8期75-86,共12页Studies of International Finance

基　　金：国家社会科学基金一般项目(12BGJ042);2012年教育部新世纪优秀人才支持计划(NCET-12-0994);北京高等学校青年英才计划(YETP0994);教育部哲学社会科学研究重大课题攻关项目"中国资本账户开放进程安排和风险防范研究"(14JZD016);中央财经大学重大科研课题培育项目(基础理论类;项目号14ZZD004);中央高校基本科研业务费专项资金;中央财经大学青年科研创新团队支持计划;金融学院卓越人才培养项目

摘　　要：本文测算了1997-2014年中国与43个贸易伙伴国家(地区)的贸易品和非贸易品价格,采用均方误差分解法和方差分解法对实际汇率进行分解,发现非贸易品价格对人民币实际汇率的解释程度较小,人民币实际汇率的变化主要受到贸易品价格偏离一价定律的影响。贸易联系越紧密、财政支出占比越低、制造业占比越高的国家,非贸易品价格对双边实际汇率的影响越大,但是人均GDP的差异对非贸易品价格在实际汇率波动中的作用没有显著影响。2005年之后,非贸易品价格对人民币双边实际汇率的解释程度相对于2005年之前明显提高,这与2005年后中国人口红利衰减、人民币汇率制度改革以及贸易自由化有关。This paper examines whether the relative prices of non-tradable goods to tradable goods can explain the volatility of RMB real exchange rate. We use the monthly data from 1997 to 2014 and decompose 43 pairs of bilateral real exchange rate by two kinds of methods. The results show that the relative prices of non-tradable goods appear to account for a small part of the movement of RMB exchange rate. The Balassa-Samuelson effect is smaller based on CPI data than PPI data, mainly due to the price of tradable goods including the components of non-tradable goods. Then we further investigate what factors affect Balassa-Samuelson effect and find that in countries with smaller government consumption to GDP ratio and higher manufacture added value, the relative prices of non-tradable goods can explain more real exchange rate fluctuation. After dividing the sample into two sub-samples, the paper finds that the relative prices of non-tradable goods can account more for the fluctuation of the real exchange rate after 2005 compared to that before 2005. This is due to the changes in labor market, reform of RMB exchange rate regime and trade liberalization in China.

关 键 词：非贸易品相对价格 人民币双边实际汇率 巴拉萨-萨缪尔森效应 一价定律 

分 类 号：F831[经济管理—金融学]