【作者】 张浩；

【导师】 王相宁；

【作者基本信息】 中国科学技术大学 ， 金融工程， 2014， 硕士

【摘要】 2013年我国国内生产总值(GDP)为568845亿元,进出口总额为41600亿美元,对外贸易依存度达到40%以上。对外贸易部门,特别是出口部门稳定发展,对保证就业和实现合理的经济发展目标都具有十分重要意义。汇率作为宏观经济中一个十分重要的变量,对出口贸易的影响深远。人民币汇率变动直接影响到我国出口产品的相对价格,进而影响其在国际市场上的竞争优势,乃至整个出口部门的健康发展。本文在前人研究基础上,建立模型从微观角度研究了不完全竞争市场中采用成本加成策略的出口企业的定价行为,进而得到出口价格、汇率以及生产成本三者之间的关系。为了进一步研究汇率变动对出口价格的不完全传递效应以及汇率传递的不对称问题,使用Blanchard-Quah方法对汇率变动进行分解,得出持久性汇率波动和暂时性汇率波动,并基于VEC模型,对1997年1月至2012年12月我国的出口价格数据进行实证分析。同时,对HS分类的前十大出口行业进行了实证研究,以考察持久性汇率波动和暂时性汇率波动对不同行业出口价格的影响。实证结果表明,实体经济的变化会造成人民币汇率的持久性变动,而货币政策与金融市场的扰动则会造成人民币汇率的暂时性变动,这两种汇率变动对我国出口价格产生不同的传递效应。具体而言,实际有效汇率的持久性变动和暂时性变动对我国出口价格的传递系数分别为0.84和0.67。行业层面,对HS分类的十大出口行业进行实证分析表明,汇率不完全传递现象存在于大部分行业当中。不同行业所面临的汇率传递系数相差比较大,有些行业出口价格几乎面临完全汇率传递,有些行业出口价格却几乎完全不受汇率影响,大部分行业处于二者之间。这主要是由出口企业的国际市场竞争力所决定的,出口企业的按市定价能力越强,出口价格受汇率波动的影响就越小总之,我国出口企业的按市定价能力还比较弱,出口价格受持久性汇率波动和暂时性汇率波动的影响都比较大。鉴于持久性汇率波动主要产生于实体经济的变化,暂时性汇率波动主要产生于金融市场与货币政策的变化,所以,为.了降低汇率波动对我国出口企业的影响,一方面要加快出口行业的转型与升级,提高其自身的国际竞争力,另一方面也要维持好金融市场与货币策的稳定。更多还原

【Abstract】 In2013, the gross domestic product (GDP) of China was56.8845trillion yuan, and total volume of foreign trade was$4.16trillion. That is to say, the foreign trade dependence degree was above40%. The steady development of foreign trade, especially the export, has important significance in ensuring employment and achieving reasonable economic growth. As a very important economic variable in the macro economic, exchange rate have far-reaching impact on export. The RMB exchange rate changes can directly affect the relative prices of Chinese export products, thus influence its competitive advantage in the international market, and even the healthy development of the whole export department.In this paper, on the basis of predecessors’ research, a researching model was built, from microscopic views, to study the pricing behavior of export enterprises that choose cost-plus strategy in an imperfect competitive market. Thus, the relations among export price, exchange rate and cost of product can be obtained. In order to further study the incomplete exchange rate pass-though and asymmetry transmission, Blanchard-Quah decomposition method was used to get persistent exchange rate fluctuations and temporary ones. Then, empirical analysis was implemented using China’s export prices data from January1997to December2012, by VEC model. Also, empirical research was carried on in top ten export sectors of HS classification, so that, we can examine the impacts of persistence and temporary exchange rate fluctuations on different industries.The empirical results show that the change of the real economy will cause the persistent exchange rate changes, while monetary policy and financial market disturbance can cause the temporary ones. These two kinds of exchange rate changes have different transmission effect on China’s export prices. In practical terms, the transfer coefficients of persistent and temporary changes of real effective exchange to China’s export prices are0.84and0.67respectively. In sector level, empirical analysis of the top ten industries of HS classification shows that, the incomplete transmission phenomenon exists in most industries. The differences among the transmission coefficients of the top ten sectors are significant. Specially, the prices of some export industries almost face completely exchange rate transmission; the prices of some other export industries are not affected by the exchange rate at all; and most industries are in between. This is mainly determined by the export enterprise’s international competitiveness. That is to say, the stronger capacity an export enterprise has in Pricing-To-Market(PTM), the less the export price is affected by exchange rate fluctuations.In short, the PTM capacity of China’s export enterprises is still relatively weak, so both the persistent and temporary exchange rate fluctuations have significant influences on export prices. As we know, the persistent exchange rate fluctuations mainly arises from the change of the real economy, and temporary fluctuations are mainly produced by the change of financial market and monetary policy. Therefore, in order to reduce the effects of exchange rate volatility on China’s export prices, we have to speed up the transformation and upgrade of the export sector to improve its international competitiveness on the one hand, and maintain the stability of the financial market and monetary policy, on the other hand.更多还原