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LI Yanli,ZHANG Zhixiang#br#
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李艳丽,张志翔#br#
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Abstract: The payment time is mostly in the future in foreign tradeThe expectations of future exchange rate changes will affect the passthrough effect of exchange rate on export prices, resulting in nonlinear characteristics of exchange rate passthroughThis paper theoretically analyzes this phenomenon and the results show that when the extent of exchange rate change in the future are expected to be large, the exchange rate passthrough degree will decline or there may even be a negative passthroughIn the empirical study, we analyze the passthrough effect of RMB exchange rate on export prices under the exchange rate expectation with data from January 1999 to July 2016 using the STR modelWe find that when the extent of expected change in RMB exchange rate is small, the exchange rate passthrough coefficient is positive, and the RMB appreciation will lead to an increase in export prices and the devaluation will lead to decline in export pricesWhen the extent of expected change in RMB exchange rate reached a certain threshold, the appreciation of the RMB will lead to drop in export prices, and the devaluation will lead to rise in export pricesTherefore, it is necessary for the monetary authorities to pay attention to the impact of exchange rate expectations on prices of and demand for imports and exports, especially when the expectation of exchange rate change is large
Key words: pass through , exchange rate expectation , nonlinear effect , STR model
摘要: 对外贸易中贸易款项的支付大多数都在远期,因此对未来汇率变化幅度的预期,会影响汇率对出口价格的传递效应,从而导致汇率传递出现非线性特点。本文对此进行了理论分析,结果显示,预期未来汇率变化幅度较大时,汇率对出口价格的传递程度会下降甚至可能出现负向传递。实证部分本文使用STR模型分析了1999年1月—2016年7月在汇率预期的作用下人民币汇率对出口价格的传递效应。研究发现当人民币汇率预期变动幅度较小时,汇率传递系数为正,人民币汇率升值会导致出口价格上涨,贬值导致出口价格的下降。但是当人民币预期汇率的变化幅度达到一定的阈值后,人民币汇率升值会导致出口价格下降,而贬值会导致出口价格上涨。因此货币当局有必要关注汇率预期尤其是大幅度汇率变化预期的存在对进出口价格和需求的影响。
关键词: 汇率传递 , 汇率预期 , 非线性效应 , STR模型
LI Yanli,ZHANG Zhixiang. THE NONLINEAR PASSTHROUGH EFFECT OF RMB EXCHANGE RATE ON EXPORT PRICES——Analysis Considering the Influence of Expectation#br#[J]. Economic Theory and Business Management.
李艳丽,张志翔. 预期作用下人民币汇率对出口价格的非线性传递效应研究*[J]. 经济理论与经济管理.
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http://jjll.ruc.edu.cn/EN/Y2019/V39/I5/48