人民幣分行業(yè)有效匯率研究
發(fā)布時間：2018-09-11 08:22
【摘要】：自2005年7月人民幣匯率形成機制改革以來,人民幣匯率經(jīng)歷了長期和大幅的升值過程。直到2014年1月底,人民幣／美元雙邊名義匯率的升值幅度達到了35.6%,國際清算銀行(BIS)公布的人民幣名義有效匯率(NEER)和實際有效匯率(REER)也分別升值了31.3%和42.6%。人民幣如此大幅度的升值會對我國的出口造成多大的沖擊,又會給我國經(jīng)濟的發(fā)展帶來怎樣的影響等一系列問題受到了社會各界的廣泛關(guān)注。然而在分析匯率升值的影響之前,我們首先需要明確的是如何對人民幣的對外價值進行準確的界定,是采用人民幣／美元的雙邊匯率還是人民幣的NEER或者REER? 在分析匯率變化對一國總的出口額、出口價格以及貿(mào)易收支等總量指標的影響時,一個較為合理和常見的做法是采用加總的有效匯率來反映一國貨幣幣值的變化,因為加總的有效匯率是一國貨幣與各主要貿(mào)易伙伴國貨幣之間雙邊匯率的加權(quán)平均,能在總體上反映該國貨幣的對外價值。但是,當分析的視角不是基于總體的指標,而是考察某一行業(yè)的出口產(chǎn)品對匯率變化的反應,以及分析匯率變化對出口商品結(jié)構(gòu)的影響時,加總的有效匯率還能準確地反映匯率的變化情況嗎?本文認為,在加總的有效匯率中,基于一國總體貿(mào)易額所確定的權(quán)重,不能準確地代表各貿(mào)易伙伴在不同行業(yè)中的重要程度。另外,在計算加總的實際有效匯率時,所采用的價格平減指數(shù)(如消費者價格指數(shù)(CPI)和生產(chǎn)者價格指數(shù)(PPI)等)也只反映了一國價格水平的總體變化,沒有考慮到各個行業(yè)的價格水平存在不同的變化趨勢。因此,當基于行業(yè)的視角來分析匯率變化的影響時,應該以細分行業(yè)的貿(mào)易額來確定各貿(mào)易伙伴的權(quán)重,同時采用細分行業(yè)的價格指數(shù)來對雙邊名義匯率進行調(diào)整,進而計算分行業(yè)的名義和實際有效匯率,這樣才能準確地反映各行業(yè)出口競爭力的變化。 基于上述目的,本文首先構(gòu)建了人民幣分行業(yè)名義和實際有效匯率指數(shù),然后對各行業(yè)有效匯率之間的差異以及引起這種差異的原因進行了分析,如主要國際貨幣對各行業(yè)名義有效匯率的影響程度；名義匯率、國內(nèi)和國外價格水平等因素對不同行業(yè)實際有效匯率的影響程度等。最后利用分行業(yè)有效匯率來考察我國主要出口行業(yè)的出口量和出口價格受人民幣匯率變化的不同影響。 本文共分七章,主要內(nèi)容和結(jié)構(gòu)安排如下： 第一章為緒論,主要闡述本文的研究背景和意義、研究目標、研究方法和主要的研究內(nèi)容,以及本文的創(chuàng)新點和不足之處等內(nèi)容。 第二章為文獻綜述部分,對有效匯率的相關(guān)理論和國內(nèi)外研究現(xiàn)狀進行梳理、總結(jié)和介紹,特別是對現(xiàn)有的關(guān)于人民幣分行業(yè)有效匯率的研究進行評述,并指出本文與已有文獻的不同之處。 第三章根據(jù)海關(guān)協(xié)調(diào)制度(HS)的行業(yè)分類標準,以細分行業(yè)的出口額為依據(jù)來確定各貿(mào)易伙伴的權(quán)重,進而構(gòu)建了我國20個行業(yè)的分行業(yè)名義有效匯率(NEER),并對各行業(yè)NEER在變化幅度及波動性等方面的差異進行了分析。結(jié)果顯示,各行業(yè)NEER有基本相同的變化趨勢,但是在變化幅度、各時期的水平值以及波動性方面卻存在很大差異,動植物油脂行業(yè)和植物產(chǎn)品行業(yè)分別是NEER升值幅度最小和最大的行業(yè),木漿、紙及其制品行業(yè)的NEER波動性最強,而動植物油脂行業(yè)的NEER最為穩(wěn)定。在此基礎(chǔ)上,本章還考察了主要國際貨幣(美元、歐元和日元)對我國各行業(yè)NEER的影響程度以及這種影響在不同時期的發(fā)展變化,并以此來了解,對于不同的行業(yè),何種貨幣對其出口競爭力具有最重要的影響。 第四章首先對比分析了BIS公布的人民幣加總NEER和本文構(gòu)建的人民幣分行業(yè)NEER在解釋我國各行業(yè)出口值變化方面的效力,并以此來檢驗分行業(yè)NEER是否能更有效地反映各行業(yè)出口競爭力的變化,以及本文構(gòu)建人民幣分行業(yè)有效匯率的意義和必要性。然后,本章還利用分行業(yè)NEER來研究了我國主要工業(yè)制品行業(yè)的出口價格與各行業(yè)NEER之間的關(guān)系。 第五章在以細分行業(yè)的出口值為依據(jù)計算各貿(mào)易伙伴權(quán)重的基礎(chǔ)之上,再以細分行業(yè)的價格指數(shù)(本國和所有貿(mào)易伙伴國細分行業(yè)的生產(chǎn)者價格指數(shù)(PPI)或批發(fā)價格指數(shù)(WPI))對人民幣與各貿(mào)易伙伴貨幣的雙邊名義匯率進行調(diào)整,構(gòu)建了我國8個主要工業(yè)制品行業(yè)的人民幣分行業(yè)實際有效匯率(REER)指數(shù)。然后,本章通過仿真實驗考察了名義有效匯率、國內(nèi)和國外價格水平等因素對各行業(yè)REER勺影響程度。結(jié)果顯示,人民幣名義匯率升值是引起各行業(yè)實際有效匯率升值的主要原因,而國內(nèi)和國外產(chǎn)品之間相對價格水平的降低又在一定程度上抑制了各行業(yè)實際有效匯率的升值。 第六章利用結(jié)構(gòu)向量自回歸(SVAR)模型考察了分行業(yè)實際有效匯率對各行業(yè)出口量的影響。為了更加明確地了解實際有效匯率的各組成因素對出口量的影響方式和影響程度,本文將各行業(yè)的REER分解為名義有效匯率、國內(nèi)和國外價格水平等三個變量代入SVAR模型中進行分析。累積脈沖響應函數(shù)表明,當各行業(yè)的名義有效匯率(NEER)受到一個正向沖擊后,大部分行業(yè)的出口量都會明顯地減少,只有紡織制品行業(yè)的出口量在長期當中不會受到NEER的顯著影響,而雜項制品行業(yè)的出口量甚出現(xiàn)了隨該行業(yè)NEER的升值而增加的反�，F(xiàn)象。受國內(nèi)價格水平?jīng)_擊影響最大的行業(yè)是賤金屬行業(yè)和運輸設(shè)備行業(yè)。國外價格水平的沖擊對賤金屬行業(yè)、機械設(shè)備行業(yè)、精密儀器行業(yè)和雜項制品行業(yè)的出口量有明顯的正向影響。而化工、塑料橡膠以及運輸設(shè)備等三個行業(yè),則由于其出口產(chǎn)品中大部分是基礎(chǔ)原料和中間產(chǎn)品等原因,脈沖響應函數(shù)顯示這些行業(yè)的出口量因外國價格水平的正向沖擊而減少。 第七章是全文的研究總結(jié),以及對后續(xù)研究方向的展望。 本文的主要結(jié)論如下： 第一,我國各行業(yè)名義有效匯率的變化趨勢基本相同,但是其變化幅度、水平值以及波動性等均存在很大差異。同時,各行業(yè)的實際有效匯率同樣存在上述現(xiàn)象。 第二,人民幣與美元的雙邊匯率是所有行業(yè)名義有效匯率最重要的影響因素,歐元的影響次之,日元的影響最小。但是,2008年金融危機之后,美元在各行業(yè)名義有效匯率中的影響程度明顯下降,歐元的影響力也有一定程度的降低。由此可知,美元仍是目前對我國各行業(yè)出口競爭力影響程度最高的貨幣,但其影響程度在金融危機后有下降的趨勢。據(jù)此,本文認為央行以美元為主要參考貨幣來管理和調(diào)節(jié)人民幣匯率,在目前情況下是合理的,但同時也應該根據(jù)人民幣／美元匯率對我國出口競爭力影響程度的變化來調(diào)整美元在貨幣籃子中的權(quán)重。 第三,分行業(yè)有效匯率能夠更加準確地反映不同行業(yè)的出口競爭力,因此構(gòu)建人民幣分行業(yè)的有效匯率指數(shù),并采用分行業(yè)有效匯率來分析匯率變化對我國各行業(yè)出口的影響具有重要的意義。 第四,我國各行業(yè)產(chǎn)品的出口價格與對應行業(yè)的NEER之間大多表現(xiàn)為不完全的匯率傳遞現(xiàn)象,只有精密儀器行業(yè)的匯率傳遞是完全的。 第五,在面對人民幣名義匯率升值時,我國各行業(yè)的生產(chǎn)商只得通過降低自身產(chǎn)品與國外競爭者產(chǎn)品之間的相對價格,來維持其出口產(chǎn)品在國際市場上的競爭力。這反映了我國各行業(yè)出口產(chǎn)品技術(shù)含量和附加值低,只能靠低廉的價格來參與國際市場競爭的現(xiàn)狀,更表明了加快產(chǎn)業(yè)結(jié)構(gòu)的轉(zhuǎn)型升級是從根本上轉(zhuǎn)變我國各行業(yè)出口產(chǎn)品參與國際競爭方式的必由之路。 第六,名義有效匯率、國內(nèi)和國外價格水平等實際有效匯率的組成因素對我國不同行業(yè)出口量的影響程度存在很大的差異。因此本文認為,有關(guān)部門在制定與出口相關(guān)的產(chǎn)業(yè)、匯率等政策時,應該充分考慮政策效果的行業(yè)差異性。特別是在面對全球金融危機和歐債危機等造成的世界經(jīng)濟不景氣而導致外需不振,以及人民幣升值所造成的我國各行業(yè)出口競爭力下降等情況時,相關(guān)政府部門應根據(jù)各個行業(yè)所受影響程度的不同來制定更具針對性的匯率政策和差異化的產(chǎn)業(yè)政策,讓政府的支持力度有意識地向受世界經(jīng)濟衰退和匯率升值等不利因素影響較大的行業(yè)傾斜,從而更好地促進我國各出口行業(yè)的健康、平穩(wěn)發(fā)展。 本文的創(chuàng)新點有以下幾個方面：(1)首次系統(tǒng)地計算了人民幣分行業(yè)有效匯率指數(shù),并對各行業(yè)有效匯率在變化幅度、均值及波動性等方面的差異進行了分析。(2)計算分行業(yè)實際有效匯率時,突破了已有文獻以CPI和PPI等加總的價格指數(shù)對雙邊名義匯率進行調(diào)整的局限,采用分行業(yè)的價格指數(shù)對人民幣與各貿(mào)易伙伴貨幣之間的名義匯率進行調(diào)整,有效地提高了實際有效匯率在反映各行業(yè)國際競爭力變化方面的準確性。(3)首次運用計量方法,定量地研究了美元、歐元和日元等主要國際貨幣對我國各行業(yè)名義有效匯率的影響及其在不同時期的發(fā)展變化。(4)本文創(chuàng)新地采用仿真實驗方法,考察了名義匯率、國內(nèi)和國外價格水平等因素對各行業(yè)實際有效匯率的影響。為研究人民幣升值背景下,我國各行業(yè)如何應對其出口商品國際競爭力的下降提供了新的視角。(5)在利用SVAR模型分析本文所構(gòu)建的分行業(yè)實際有效匯率與各行業(yè)出口量之間的動態(tài)關(guān)系時,本文與現(xiàn)有文獻將人民幣實際有效匯率作為一個整體來分析其對我國出口貿(mào)易的影響不同,我們將各行業(yè)的實際有效匯率分解為名義有效匯率、國內(nèi)和國外價格水平等三個變量帶入SVAR模型中進行分析。這樣做的優(yōu)點是能夠更加清晰和明確地考察實際有效匯率的各組成因素對出口量的不同影響,以及這種影響在行業(yè)間的差異。 本文研究的不足之處有以下兩個方面：(1)在計算有效匯率時,對于各貿(mào)易伙伴權(quán)重的確定,本文采用的是“雙邊貿(mào)易權(quán)重法”,沒有考慮“第三方市場效應”。對于這一問題,在后續(xù)的研究中可以采用“雙權(quán)重法”來計算各貿(mào)易伙伴的權(quán)重,這樣就可以體現(xiàn)我國與各貿(mào)易伙伴在第三方市場上的競爭。(2)在我國對香港特區(qū)的出口中,有很大一部分商品是通過香港轉(zhuǎn)口到其它國家和地區(qū),因此并不能將其全部算作對香港的出口。但是,由于數(shù)據(jù)的可得性,本文沒有對轉(zhuǎn)口貿(mào)易進行考慮,而是將其直接納入對香港的出口中來計算香港在各行業(yè)有效匯率中的權(quán)重。在后續(xù)的研究中,可以通過更加細致的數(shù)據(jù)搜集和整理工作來確定香港分行業(yè)、分國家的轉(zhuǎn)口貿(mào)易數(shù)據(jù),并將其與我國對各貿(mào)易伙伴的直接貿(mào)易數(shù)據(jù)進行整合,從而更加準確地測算各貿(mào)易伙伴在分行業(yè)有效匯率中的權(quán)重。
[Abstract]:Since the reform of the RMB exchange rate regime in July 2005, the RMB exchange rate has undergone a long and substantial process of appreciation. Until the end of January 2014, the nominal exchange rate of the RMB/US dollar has risen by 35.6%, and the nominal effective exchange rate (NEER) and the real effective exchange rate (REER) of the RMB announced by the Bank for International Settlements (BIS) are also different. A series of problems, such as how much impact the appreciation of RMB will have on China's exports and what impact it will have on China's economic development, have attracted wide attention from all walks of life. Is it the bilateral exchange rate of RMB/US dollar or the NEER or REER of RMB to define the external value accurately?
When analyzing the impact of exchange rate changes on a country's total export volume, export price and trade balance, it is reasonable and common practice to use the aggregated effective exchange rate to reflect the change of a country's currency value, because the aggregated effective exchange rate is a bilateral exchange rate between a country's currency and the currencies of major trading partners. The weighted average of the rate can reflect the external value of the currency as a whole. However, the aggregated effective exchange rate can also accurately reflect the change of the exchange rate when the perspective of analysis is not based on the overall index but on the reaction of the export products of a certain industry to the change of the exchange rate and the influence of the exchange rate changes on the structure of the export commodities. In addition, the price deflation index (such as the consumer price index (CPI) and the producer price index (PPI) used in calculating the aggregated real effective exchange rate are also discussed. The number (PPI) and so on only reflects the overall change of a country's price level, and does not take into account the different trends of price levels in different industries. In order to accurately reflect the changes of export competitiveness of various industries, the nominal and real effective exchange rates of different industries should be adjusted.
Based on the above-mentioned purposes, this paper firstly constructs the nominal and real effective exchange rate index of RMB, and then analyzes the differences between the effective exchange rates of different industries and the causes of these differences, such as the impact of major international currencies on the nominal effective exchange rate of various industries, nominal exchange rate, domestic and foreign price levels, etc. Finally, we use the sub-industry effective exchange rate to examine the different effects of the export volume and export price of China's major export industries on the RMB exchange rate.
This article is divided into seven chapters. The main contents and structure are as follows:
The first chapter is the introduction, mainly elaborates the research background and significance, research objectives, research methods and main research content, as well as the innovation and shortcomings of this paper.
Chapter two is the literature review, which combs the related theories and the research status at home and abroad, summarizes and introduces the effective exchange rate, especially reviews the existing research on the effective exchange rate of RMB in different industries, and points out the differences between this paper and the existing literature.
In the third chapter, according to the trade classification standard of Customs Coordination System (HS), the weights of trade partners are determined according to the export volume of each sector, and then the nominal effective exchange rate (NEER) of 20 industries in China is constructed. The differences of the NEER in the range of change and volatility are analyzed. Industry NEER has basically the same trend of change, but there are great differences in the range of change, the level of value and volatility of each period. Animal and vegetable oil industry and plant products industry are the industries with the smallest and the largest NEER appreciation, respectively. Wood pulp, paper and its products industry NEER volatility is the strongest, while animal and vegetable oil industry NEER. On this basis, this chapter also examines the impact of major international currencies (US dollar, Euro and Japanese yen) on NEER in China's various industries and the development and changes of this impact in different periods, so as to understand which currencies have the most important impact on the export competitiveness of different industries.
Chapter Four firstly compares and analyzes the effectiveness of the RMB aggregate NEER published by BIS and the RMB sub-industry NEER constructed in this paper in explaining the changes of export value of various industries in China, and then tests whether the sub-industry NEER can more effectively reflect the changes of export competitiveness of various industries, and this paper constructs the RMB sub-industry effective exchange rate. Meaning and necessity. Then, this chapter also uses the sub-industry NEER to study the relationship between the export price of China's major industrial products and the NEER of various industries.
Chapter 5, based on the export value of the subdivided industries and the weights of the trading partners, adjusts the nominal exchange rates of RMB and the currencies of the trading partners by the price index of the subdivided industries (PPI or WPI) of the domestic and all trading partners. The real effective exchange rate (REER) index of RMB in eight major industrial products industries in China is studied. Then, the influence of nominal effective exchange rate, domestic and foreign price levels on the REER scoop of various industries is investigated through simulation experiments. The main reason is that the lower relative price level between domestic and foreign products restrains the appreciation of the real effective exchange rate to some extent.
Chapter 6 investigates the effect of the effective exchange rate on the export volume of different industries by using the structural vector autoregressive (SVAR) model. In order to understand more clearly the way and degree of the influence of the components of the effective exchange rate on the export volume, this paper decomposes the REER of different industries into nominal effective exchange rate, domestic and foreign price water. The cumulative impulse response function shows that when the nominal effective exchange rate (NEER) of each industry is subject to a positive impact, the export volume of most industries will be significantly reduced. Only the export volume of textile industry will not be significantly affected by NEER in the long run, while the export volume of miscellaneous products will be significantly reduced. The industry's export volume has increased abnormally with the rise of NEER. The industries most affected by the impact of domestic price level are base metal industry and transport equipment industry. Impulse Response Function (PRF) shows that the export volume of chemical industry, plastic rubber industry and transportation equipment industries is reduced by the positive impact of foreign price level.
The seventh chapter is the summary of the full text, as well as the prospect of further research.
The main conclusions of this paper are as follows:
Firstly, the change trend of nominal effective exchange rate in China is basically the same, but its change range, level value and volatility are very different. At the same time, the real effective exchange rate in various industries also exists the above phenomenon.
Secondly, the bilateral exchange rate between RMB and US dollar is the most important factor affecting the nominal effective exchange rate of all industries, followed by the Euro and the Japanese yen. We know that the US dollar is still the most influential currency in China's export competitiveness at present, but its influence has a downward trend after the financial crisis. Therefore, this paper argues that it is reasonable for the central bank to use US dollar as the main reference currency to manage and adjust the RMB exchange rate under the current circumstances, but it should also be based on the RMB/US. The impact of the yuan exchange rate on China's export competitiveness will adjust the dollar's weight in the basket of currencies.
Thirdly, the effective exchange rate of different industries can more accurately reflect the export competitiveness of different industries. Therefore, it is of great significance to construct the effective exchange rate index of different RMB industries and use the effective exchange rate of different industries to analyze the impact of exchange rate changes on the export of various industries in China.
Fourthly, the exchange rate transfer between the export price of products of various industries and the NEER of corresponding industries is incomplete, only the exchange rate transfer of precision instrument industry is complete.
Fifthly, in the face of the appreciation of the nominal exchange rate of RMB, the producers of all trades in China have to maintain the competitiveness of their export products in the international market by lowering the relative prices between their own products and those of foreign competitors. This reflects the low technological content and added value of the export products of all trades in China, which can only be achieved by low prices. The present situation of participating in international market competition shows that speeding up the transformation and upgrading of industrial structure is the only way to fundamentally change the mode of participating in international competition for export products of various industries in China.
Sixthly, there are great differences in the extent to which the components of the nominal effective exchange rate, domestic and foreign price levels affect the export volume of different industries in China. In the face of the global financial crisis and the European debt crisis caused by the world economic depression, resulting in sluggish external demand, as well as the appreciation of the RMB caused by the decline in the competitiveness of China's export industries, the relevant government departments should formulate more targeted exchange rate policies and differentiations according to the extent of the impact of various industries. The industrial policy enables the government's support to consciously tilt the industries which are greatly affected by the adverse factors such as the world economic recession and exchange rate appreciation, so as to better promote the healthy and stable development of China's export industries.
The innovations of this paper are as follows: (1) For the first time, the paper systematically calculates the effective exchange rate index of RMB in different trades, and analyzes the differences of the effective exchange rate among different trades in the aspects of change range, mean value and volatility. (2) When calculating the effective exchange rate of different trades, it breaks through the price index of CPI and PPI. In order to improve the accuracy of the real effective exchange rate in reflecting the changes of international competitiveness of various industries, this paper firstly uses the econometric method to study quantitatively the US dollar, Euro and Euro. The influence of the main international currencies such as the Japanese yen on the nominal effective exchange rate of all trades in China and its development and change in different periods. (4) This paper innovatively uses simulation experiment method to examine the influence of nominal exchange rate, domestic and foreign price level on the real effective exchange rate of all trades. How to deal with the decline of the international competitiveness of its export commodities provides a new perspective. (5) In the use of SVAR model to analyze the dynamic relationship between the real effective exchange rate of each industry and the export volume of each industry, this paper and existing literature will take the real effective exchange rate of RMB as a whole to analyze its export trade to China. We decompose the real effective exchange rate into nominal effective exchange rate, domestic and foreign price levels and bring them into SVAR model.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.6
本文編號：2236144
[Abstract]:Since the reform of the RMB exchange rate regime in July 2005, the RMB exchange rate has undergone a long and substantial process of appreciation. Until the end of January 2014, the nominal exchange rate of the RMB/US dollar has risen by 35.6%, and the nominal effective exchange rate (NEER) and the real effective exchange rate (REER) of the RMB announced by the Bank for International Settlements (BIS) are also different. A series of problems, such as how much impact the appreciation of RMB will have on China's exports and what impact it will have on China's economic development, have attracted wide attention from all walks of life. Is it the bilateral exchange rate of RMB/US dollar or the NEER or REER of RMB to define the external value accurately?
When analyzing the impact of exchange rate changes on a country's total export volume, export price and trade balance, it is reasonable and common practice to use the aggregated effective exchange rate to reflect the change of a country's currency value, because the aggregated effective exchange rate is a bilateral exchange rate between a country's currency and the currencies of major trading partners. The weighted average of the rate can reflect the external value of the currency as a whole. However, the aggregated effective exchange rate can also accurately reflect the change of the exchange rate when the perspective of analysis is not based on the overall index but on the reaction of the export products of a certain industry to the change of the exchange rate and the influence of the exchange rate changes on the structure of the export commodities. In addition, the price deflation index (such as the consumer price index (CPI) and the producer price index (PPI) used in calculating the aggregated real effective exchange rate are also discussed. The number (PPI) and so on only reflects the overall change of a country's price level, and does not take into account the different trends of price levels in different industries. In order to accurately reflect the changes of export competitiveness of various industries, the nominal and real effective exchange rates of different industries should be adjusted.
Based on the above-mentioned purposes, this paper firstly constructs the nominal and real effective exchange rate index of RMB, and then analyzes the differences between the effective exchange rates of different industries and the causes of these differences, such as the impact of major international currencies on the nominal effective exchange rate of various industries, nominal exchange rate, domestic and foreign price levels, etc. Finally, we use the sub-industry effective exchange rate to examine the different effects of the export volume and export price of China's major export industries on the RMB exchange rate.
This article is divided into seven chapters. The main contents and structure are as follows:
The first chapter is the introduction, mainly elaborates the research background and significance, research objectives, research methods and main research content, as well as the innovation and shortcomings of this paper.
Chapter two is the literature review, which combs the related theories and the research status at home and abroad, summarizes and introduces the effective exchange rate, especially reviews the existing research on the effective exchange rate of RMB in different industries, and points out the differences between this paper and the existing literature.
In the third chapter, according to the trade classification standard of Customs Coordination System (HS), the weights of trade partners are determined according to the export volume of each sector, and then the nominal effective exchange rate (NEER) of 20 industries in China is constructed. The differences of the NEER in the range of change and volatility are analyzed. Industry NEER has basically the same trend of change, but there are great differences in the range of change, the level of value and volatility of each period. Animal and vegetable oil industry and plant products industry are the industries with the smallest and the largest NEER appreciation, respectively. Wood pulp, paper and its products industry NEER volatility is the strongest, while animal and vegetable oil industry NEER. On this basis, this chapter also examines the impact of major international currencies (US dollar, Euro and Japanese yen) on NEER in China's various industries and the development and changes of this impact in different periods, so as to understand which currencies have the most important impact on the export competitiveness of different industries.
Chapter Four firstly compares and analyzes the effectiveness of the RMB aggregate NEER published by BIS and the RMB sub-industry NEER constructed in this paper in explaining the changes of export value of various industries in China, and then tests whether the sub-industry NEER can more effectively reflect the changes of export competitiveness of various industries, and this paper constructs the RMB sub-industry effective exchange rate. Meaning and necessity. Then, this chapter also uses the sub-industry NEER to study the relationship between the export price of China's major industrial products and the NEER of various industries.
Chapter 5, based on the export value of the subdivided industries and the weights of the trading partners, adjusts the nominal exchange rates of RMB and the currencies of the trading partners by the price index of the subdivided industries (PPI or WPI) of the domestic and all trading partners. The real effective exchange rate (REER) index of RMB in eight major industrial products industries in China is studied. Then, the influence of nominal effective exchange rate, domestic and foreign price levels on the REER scoop of various industries is investigated through simulation experiments. The main reason is that the lower relative price level between domestic and foreign products restrains the appreciation of the real effective exchange rate to some extent.
Chapter 6 investigates the effect of the effective exchange rate on the export volume of different industries by using the structural vector autoregressive (SVAR) model. In order to understand more clearly the way and degree of the influence of the components of the effective exchange rate on the export volume, this paper decomposes the REER of different industries into nominal effective exchange rate, domestic and foreign price water. The cumulative impulse response function shows that when the nominal effective exchange rate (NEER) of each industry is subject to a positive impact, the export volume of most industries will be significantly reduced. Only the export volume of textile industry will not be significantly affected by NEER in the long run, while the export volume of miscellaneous products will be significantly reduced. The industry's export volume has increased abnormally with the rise of NEER. The industries most affected by the impact of domestic price level are base metal industry and transport equipment industry. Impulse Response Function (PRF) shows that the export volume of chemical industry, plastic rubber industry and transportation equipment industries is reduced by the positive impact of foreign price level.
The seventh chapter is the summary of the full text, as well as the prospect of further research.
The main conclusions of this paper are as follows:
Firstly, the change trend of nominal effective exchange rate in China is basically the same, but its change range, level value and volatility are very different. At the same time, the real effective exchange rate in various industries also exists the above phenomenon.
Secondly, the bilateral exchange rate between RMB and US dollar is the most important factor affecting the nominal effective exchange rate of all industries, followed by the Euro and the Japanese yen. We know that the US dollar is still the most influential currency in China's export competitiveness at present, but its influence has a downward trend after the financial crisis. Therefore, this paper argues that it is reasonable for the central bank to use US dollar as the main reference currency to manage and adjust the RMB exchange rate under the current circumstances, but it should also be based on the RMB/US. The impact of the yuan exchange rate on China's export competitiveness will adjust the dollar's weight in the basket of currencies.
Thirdly, the effective exchange rate of different industries can more accurately reflect the export competitiveness of different industries. Therefore, it is of great significance to construct the effective exchange rate index of different RMB industries and use the effective exchange rate of different industries to analyze the impact of exchange rate changes on the export of various industries in China.
Fourthly, the exchange rate transfer between the export price of products of various industries and the NEER of corresponding industries is incomplete, only the exchange rate transfer of precision instrument industry is complete.
Fifthly, in the face of the appreciation of the nominal exchange rate of RMB, the producers of all trades in China have to maintain the competitiveness of their export products in the international market by lowering the relative prices between their own products and those of foreign competitors. This reflects the low technological content and added value of the export products of all trades in China, which can only be achieved by low prices. The present situation of participating in international market competition shows that speeding up the transformation and upgrading of industrial structure is the only way to fundamentally change the mode of participating in international competition for export products of various industries in China.
Sixthly, there are great differences in the extent to which the components of the nominal effective exchange rate, domestic and foreign price levels affect the export volume of different industries in China. In the face of the global financial crisis and the European debt crisis caused by the world economic depression, resulting in sluggish external demand, as well as the appreciation of the RMB caused by the decline in the competitiveness of China's export industries, the relevant government departments should formulate more targeted exchange rate policies and differentiations according to the extent of the impact of various industries. The industrial policy enables the government's support to consciously tilt the industries which are greatly affected by the adverse factors such as the world economic recession and exchange rate appreciation, so as to better promote the healthy and stable development of China's export industries.
The innovations of this paper are as follows: (1) For the first time, the paper systematically calculates the effective exchange rate index of RMB in different trades, and analyzes the differences of the effective exchange rate among different trades in the aspects of change range, mean value and volatility. (2) When calculating the effective exchange rate of different trades, it breaks through the price index of CPI and PPI. In order to improve the accuracy of the real effective exchange rate in reflecting the changes of international competitiveness of various industries, this paper firstly uses the econometric method to study quantitatively the US dollar, Euro and Euro. The influence of the main international currencies such as the Japanese yen on the nominal effective exchange rate of all trades in China and its development and change in different periods. (4) This paper innovatively uses simulation experiment method to examine the influence of nominal exchange rate, domestic and foreign price level on the real effective exchange rate of all trades. How to deal with the decline of the international competitiveness of its export commodities provides a new perspective. (5) In the use of SVAR model to analyze the dynamic relationship between the real effective exchange rate of each industry and the export volume of each industry, this paper and existing literature will take the real effective exchange rate of RMB as a whole to analyze its export trade to China. We decompose the real effective exchange rate into nominal effective exchange rate, domestic and foreign price levels and bring them into SVAR model.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.6
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