1汇率传递与出口商品价格决定_基于深圳港2000_2008年高度分解面板数据的经验

:2000~2008胡冬梅郑尊信潘世明*本文从出口企业微观定价的角度,采用高度分解的面板数据构建模型,针对2000年1月至2008年12月经由深圳港出口美国的部分8位数HS编码商品月度单价,研究在人民币升值期间出口商品的汇率传递效应汇率传递在不同商品上的异质性以及出口厂商定价与边际成本之间的关系结论表明,所研究出口商品的平均汇率传递率较高,接近完全传递,但传递率因商品类别而有重大差异纺织服装等简单技术出口商品存在不完全传递,机电产品等中高技术商品则有过度传递现象此外,汇制改革对部分出口厂商的定价行为确实产生了影响边际成本和汇率变化是影响出口价格的重要因素,但两者对不同商品的影响程度存在较大差别汇率传递人民币升值出口定价高度分解面板数据,,,4562010**:3688518060:[e-mail]()[e-mail]():28710049:[e-mail],(Gauliereta.l,2008;Yoshida,2009),:,,,,,,,(),,,,,,20057,,,???,,,?8HS,,20002008,,,,,,,(exchangeratepass-through,ERPT),(thedegreeofERPT)Krugman(1987)(PTM),,,(Knetter,1993),4662010*,(Marston,1990),(Gauliereta.l,2008),,(Bhagwat,i1988),,:(1),(Feinberg,1986,1989;Dornbusch,1987)(2),,(AthukoralaandMenon,1995;Knetter,1994;GagnonandKnetter,1995),,,,(),,,,(Gauliereta.l2008),,(highlydisaggregated),,(Kakiyal,i1997;BernhofenandXu,2000);69HS,(TakagiandYoshida,2001;Gauliereta.l,2008;Yoshida,2009)20057,,,(2007)19852001,,(2007),,,,4762010*胡冬梅郑尊信潘世明(2009),,,HS8,8HS,,20001200812,,VAR(Knetter,1993;Yoshida,2009),,,,(BailliuandFuji,i2004),,,:Maxp=ER-1PQ-C(Q)(1),ER,,P,C(Q),Q(1):P=ERMC(2)MC,,,,D,MCER,:Pikt=f(Dikt,MCkt,ERt)(3)20057,4862010*,,,,?,Dum,Pikt=f(Dikt,MCkt,ERt,Dum)(4)i,k,t,(Dikt),,,,,8HSDk,4HS,,4,MCt,(CPIusa)(ER),(ADER)(Knetter,1993;Takagieta.l,2001):ADER=ERCPIusa,:Pkt=f(Dk,MCt,ADERt,Dum)(5)Dk,,,,,:lnPkt=k+!lnMCt+∀lnADERt+#DumlnADERt+∃kt(6),Pktt8HS()k,,DkADERt,,Dum,Dum0,1∃kt∀∀0,,∀-1,4962010*胡冬梅郑尊信潘世明1%,1%,∀0-1,-1,0,1%,!,,,,(7),(6)lnPkt=k+!lnMCt+∀lnADERt+∃kt(7)(),20002007,8HS,20001200812,4HS22,8HS148(1),Yoshida(2009),,,(1):,2004,(2):,4HS,(unbalancedpanel),CPI,,IMF,CPI5062010*1Lall4HS(%)20002008RBLT()3923;0.410.613926390139144.221.4040110.340.3240130.100.024016()0.130.0742021.121.4562030.150.1162040.480.6562050.050.1862060.110.06621056025603590359065907(1)0.040.0567020.850.178.05.09MTHT84141.590.8984670.000.338501()0.340.5085100.220.1085130.310.1485163.042.498539;0.080.098544;0.630.998712()1.480.338714,87118713(2)0.520.058.215.9116.2111:(1)56025603590359065907,,,(2)8711,;8713,5162010*胡冬梅郑尊信潘世明(PPI),,PPI,PPI200112PPI(1)(),,,4HS,:(1)20002008;(2)4,8,8(4202)14,(3923)7,(8544)8;(3)4822148Lall(2000),(RB)(LT),(MTHT),,,,(),,,(,2008),,,PPI(MC),,,PPI,,,,5262010*(6),2218∀95%,81.82%(7),2221∀95%,95.46%22,2No.48(∀)(!)(%)R2139237-0.600***0.649***-0.028**0.71752(0.123)(0.176)(0.013)239266-0.0721.443***-0.036***0.64630(1)(0.129)(0.178)(0.013)340114-1.340***0.291-0.0130.96427(0.167)(0.451)(0.017)440133-1.139***-0.070-0.0090.97303(0.138)(0.362)(0.014)540168-0.410**1.991***-0.0000.75830(0.172)(0.476)(0.018)6420214-0.386**0.484***-0.066***0.841449(0.168)(0.199)(0.013)762037-0.3196.157***0.074**0.26583(2)(0.385)(1.174)(0.034)8620413-0.545***1.966***0.0190.801323(0.191)(0.569)(0.017)9620530.5344.288***-0.110**0.43269(2)(0.538)(1.574)(0.046)1062064-0.961***0.6270.0190.89370(0.330)(0.971)(0.028)1162103-1.308**7.144***0.0590.91284(0.642)(1.978)(0.056)12670240.244**1.32***0.0050.96432(0.123)(0.279)(0.011)13841413-0.969***0.533***-0.014**0.991339(0.069)(0.125)(0.007)1484676-2.187***-1.6370.062***0.95474(0.421)(1.120)(0.021)1585018-2.037***1.159**-0.0050.88793(0.284)(0.506)(0.029)1685104-0.749***1.586***0.055**0.66419(0.245)(0.423)(0.025)17851613-1.687***0.323**0.029***0.961274(0.098)(0.156)(0.010)5362010*胡冬梅郑尊信潘世明No.48(∀)(!)(%)R21885134-1.109***-1.649***-0.121***0.77429(0.317)(0.546)(0.032)198539110.4131.512*0.0230.73967(3)(0.457)(0.777)(0.044)2085442-2.416***6.005***0.0350.65212(0.470)(0.826)(0.048)2187124-2.807***1.726***-0.0160.96426(0.155)(0.238)(0.014)2287147-1.442***1.000***-0.045***0.84706(0.136)(0.219)(0.012):******99%95%90%,1(1),,(∀),(2),,(∀)(95%),(3),,PPI95%,∀!0.6881.520∀-0.978,2220001200812,(3):∀,-0.519,;∀,-0.963,;∀,-1.499,,1%,1%3(1)Lall(2)0.244-0.336()-0.386-0.520-0.963RBLT-0.525-1.264-1.578-2.125MTHT-1.4995462010*2215(,PPI)95%,,,!,,,!,((7)!),PPI,,PPI,,,1195%,11,(6),,:,,(),22,-0.978,:1.20001200812,,17.43%2005720081215.69%,,,10%Gaulier(2008),,,,5562010*胡冬梅郑尊信潘世明2.,19972005,,,,3.,,,,25,2009(,2009),()1.22,,7%,,,,2.,,3,52,,,,3.,;8,,,()1.0-1,,5662010*,(Lal,l2000),,,,∀,!,,,,,,,2.,10,,,,!,!∀,,,,,(1),,,,,(2),!,PPI,,82214820002008,,,5762010*胡冬梅郑尊信潘世明,22-0.978,,,-0.525,;-1,,20057,,,,,,,,,,;,,,,,,,22,!∀,,,,,PPI,,,,,,:(2007):#∃,#∃5(2007):#∃,#∃125862010*(2008):#∃,,(2009):#∃,#∃6(2009):#,∃,#21∃1021Athukorala,P.andMenon,Jayant.!ExchangeRatesandStrategicPricinginSwedishMachineryExports.∀OxfordBulletinofEconomicsandStatistics,57(4),1995,pp.533-546.Bernhofen,D.M.andXu,P.!ExchangeRatesandMarketPower:EvidencefromthePetrochemicalIndustry.∀JournalofInternationalEconomics,52(2),2000,pp.283-297.Bhagwat,iJ.N.!ThePass-throughPuzzle:TheMissingPrincefromHamlet.∀Mimeo,ColumbiaUniversity,December1988.Bailliu,J.andFuji,iE.!ExchangeRatePass-throughandtheInflationEnvironmentinIndustrializedCountries:AnEmpiricalInvestigation.∀BankofCanadaWorkingPaperNo.2004-21(Ottawa:BankofCanada).Dornbusch,R.!ExchangeRatesandPrices.∀AmericanEconomicReview,77(1),1987,pp.93-106.Feinberg,R.M.!TheInteractionofForeignExchangeandMarketPowerEffectsonGermanDomesticPrices.∀JournalofindustrialEconomic.35