人民币汇率变动的出口价格传递效应研究——基于VAR模型的实证分析
Studies on Effects of RMB Exchange Rate Pass-Through into Export Prices——An Empirical Study by Mean of VAR Model
摘要: 本文利用向量自回归(VAR)模型，利用2003年1月~2008年11月的月度数据，对人民币汇率变动的出口价格传递效应进行了实证分析。估计结果表明，人民币名义有效汇率冲击对我国出口价格的影响虽然具有一定程度的统计显著性，但冲击程度很小，汇率传递效应是很不完全的和滞后的。
Abstract: This paper uses VAR approach to examine the effects of RMB exchange rate pass-through into export prices. The results of the empirical analysis indicate that the exchange rate pass-through effect on ex- port prices are incomplete and time-lagged. The pass-through of RMB nominal exchange rate into China’s export prices is statistically significant, but the degree is highly incomplete.
文章引用：吴东立. 人民币汇率变动的出口价格传递效应研究——基于VAR模型的实证分析[J]. 金融, 2012, 2(1): 50-57. http://dx.doi.org/10.12677/fin.2012.21006

参考文献

[1] P. Krugman. Pricing to market when the exchange rate changes. 1986: NBER Working Paper No. 1926.
[2] J. McCarthy. Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies. Federal Reserve Bank of New York Staff Report 111, 2000.
[3] P. K. Goldberg, M. M. Knetter. Goods prices and exchange rates: What have we learned. Journal of Economic Literature, 1997, 15: 1243-1272.
[4] J. Campa, L. S. Goldberg. Exchange rate pass-through into import prices. The Review of Economics and Statistics, 2005, 87(4): 679-690.
[5] R. Dornbusch. Exchange rates and prices. American Economic Review, 1987, 77(1): 93-106.
[6] M. Knetter. Price discrimination by U.S. and German exporters. The American Economic Review, 1989, 79(1): 198-210.
[7] 陈六傅, 刘厚俊. 人民币汇率的价格传递效应研究——基于VAR模型的实证分析[J]. 金融研究, 2007, 4: 1-12.
[8] 毕玉江, 朱钟棣. 人民币汇率变动的价格传递效应——基于协整与误差修正模型的实证研究[J]. 财经研究, 2006, 7: 53-62.

为你推荐