双边出口全球价值链实际有效汇率弹性理论测度及解析  

Measurement and Analysis of the Real Effective Exchange Rate Elasticity of Global Value Chains of Bilateral Exports

作　　者：彭红枫 刘海莹 PENG Hongfeng;LIU Haiying(School of Finance,Shandong University of Finance and Economics)

机构地区：[1]山东财经大学金融学院,山东济南250002

出　　处：《金融研究》2021年第2期56-74,共19页Journal of Financial Research

基　　金：国家社会科学基金重大项目“人民币加入SDR、一篮子货币定值与中国宏观经济的均衡研究”(项目编号:16ZDA032);“泰山学者”专项工程经费(ts201712059)资助。

摘　　要：近年来,汇率与出口弱相关现象引起理论界和实务界的广泛关注。本文通过考虑全球价值链带来的供给侧联系和第三国汇率效应,使用双边出口全球价值链实际有效汇率弹性指标对双边层面的相对价格竞争力与出口关系作出新的测度和结构贡献度分解。研究发现,对相对价格竞争力与出口关系修正后测度的双边出口全球价值链实际有效汇率弹性值显著为负。出口对修正的汇率变动依旧富有弹性。“汇率对出口影响弱化”并没有传统实际有效汇率和双边汇率表现的那么严重,更没有出现“贬值抑制出口”等不符合理论预期的反常情况。双边出口全球价值链实际有效汇率弹性结构分解贡献度结果显示,伴随我国在全球价值链中参与度和地位的提升,中国对主要贸易伙伴出口中由相对价格变动引起中间产品结构变动对总弹性的贡献度不断提升。The RMB exchange rate has shown continuous appreciation since June 2020 due to China's effective COVID-19 prevention and control measures and stable economic recovery.However,exports have also shown rapid growth.The traditional macroeconomic hypothesis that exchange rate appreciation inhibits exports has therefore been challenged.The weak correlation between exchange rates and exports has attracted widespread attention in recent years(Yang,2013;Ahmed et al.,2015).The main reason for this phenomenon is that,against the background of global value chains,countries have supply-side relations through the intermediate goods trade.The traditional real effective exchange rate,based on Armington's demand theory,considers only demand-side relations between countries.This exchange rate can no longer accurately reflect the relationship between a country's price competitiveness and its exports:it is misleading in both direction and quantity(Bems and Johnson,2012).Bems and Johnson(2012,2015,2017)build a new model that measures the real effective exchange rate based on the input-output relationship in the global value chains.Ni(2018)extends this model to bilateral exports.This method provides an accurate measure of the changes in the competitiveness of bilateral export prices.We further apply this indicator to make a theoretical measurement and provide a structural decomposition of the real effective exchange rate elasticity of global value chains of bilateral exports.By introducing a third country's exchange rate effect and supply-side linkages,we can correct the quantitative and directional errors that ensue when the traditional exchange rate is used as a measure of relative price competitiveness to explain the relationship with exports.This paper provides two main contributions.First,the research shifts from the revision of traditional exchange rate indicators to the exchange rate elasticity of bilateral exports.This is based on the models of Bems and Johnson(2012,2015,2017),Patel et al.(2014),and Ni(2018).It fully considers

关 键 词：全球价值链实际有效汇率 双边出口汇率弹性 弹性分解 

分 类 号：F832.6[经济管理—金融学] F752.62