: 3 :22 HS,, 2001 1 2007 8, :,, :,; : 2005 7 21, :,,,,,,,J,,, ( ) ( ), ( ), - - -,, ( Goldberg and Knetter,1997) ; Taylor (2000),, ;,, ( Dornbusch,1987 ;Bemhofen and Xu,2000 ) 3,,:200433,: chenxb @fudan. edu. cn ;,,: 061015049 @fudan. edu. cn,062015104 @fudan. edu. cn (05JZD00012) (70573021) (2006BJB002), ( ),,( EPT,Exchange Rate Pass2Through),,, (Baldwin and Krugman, 1989) ( Knetter, 1989) (local currency pricing, LCP) (Obstfeld and Rogoff, 1995),, 106
2007 12,,, ( Pricing To Market, PTM), (Parsley,1995 ;Devereux,2004 ),,,,,,,,,,,,,,,,,,,,,,,, :, ( EPT) ( PTM) ;, ; ;,,,, Baldwin Krugman (1989) Gagnon Ihrig(2004) Taylor (2000),, K, EXP Dit (, i = 1,2 K; t = 1,2 N) : Q Fit = Q Fit ( EXP Fit ( EXP Dit, REER it ), it ) (1) C it K = C it ( Q Fit i = 1, it ) (2) EXP Fit, REER it it ( PW it ) ; it ( PC it ) : Max K t = i = 1 : [ EXP Dit Q Fit ( EXP Fit ( EXP Dit, REER it ), it ) ] - K C it ( Q Fit i = 1, it ) (3) Feinberg(1991),Marston (1990),Yang(1998),, EXP Fit, EXP Fit ( EXP Dit, REER it ), : EXP Dit = REER it 107
EXP Dit = MC t ( K i = 1 Q Fit ( EXP Fit ( EXP Dit, REER it ), it ), it ) it ( EXP Fit ( EXP Dit it ( EXP Fit ( EXP Dit, REER it ), it ), REER it ), it ) - 1 it, MC it, ( EPT) EXP Dit REER it : EPTi = dexp D it ΠEXP Dit (5) dreer it ΠREER it (4), EPTi,,, PTMi : EPTi PTMi PTMi = dexp F it ΠEXP Fit (6) dreer it ΠREER it, it (4) :EXP Dit EXP Fit ( EXP Dit, REER it ) it it, it,, (4) :, (4) (5) (6) (7) : EXP Di EPTi EXP Dit = g ( it, REER it ) + it EXP Dit = EXP F it REER it (7) = MC = PTMi - 1 i ( EXP Di ΠREER i ) i ( EXP Di ΠREER i ) - 1 ( REER ), PTMi EPTi, 1,, :, d iπ i = 0, dexp Fi ΠEXP Fi,,(),,, 0,, (4) ; d iπ i < 0, ( dexp Fi ΠEXP Fi ),, (2) (3), (3),,,, (2) (),, 0 108 : (4) (8)
2007 12 1 ( ) d i Π i EXP Dit EPTi dexp Fi ΠEXP Fi PTMi EXP Fit ( PTMi ) 0 ( ) ( ) < - 1 < 0 (1) - 1 0 (2) ( ) ( - 1,0) (0,1) ( ) (3) 0 0 1 ( ) (4) 0 > 0 > 1 ( ) (5) (1) (5) (1) : (),,,, ( ), (5) : d iπ i > 0, dexp Fi ΠEXP Fi (),,,?, ( ),, ( ),OLS, VAR, (Panel Data),,, 2001 1 2007 8,, (HS),21 ( HS01 HS22,19 : ),97 (CH01 CH99, ) ( ),, 2 2, 5134,, : ( ),, 1 3,,,,, 4 5 HS 109
: 2 (HS ) ( :2001 1 2007 8 ) (HS : ) (,2001 1 ) 200111 200517 200718 ( ) (200718Π200111) 1400128 5192186 7477198 51340 HS01 ; 24198 44105 41133 11654 HS02 29129 54160 54194 11876 HS03 ; 0173 2140 1160 21197 HS04 ; ; 31102 75168 90183 21928 HS05 50104 147169 141121 21822 HS06 66127 215157 285174 41312 HS07 ; 42179 159118 220173 51158 HS08 ; ; 41129 108143 105139 21552 HS09 ; ; ; 15180 52166 71157 41530 HS10 ; ; 10142 40123 62162 61009 HS11 262161 829144 1173180 41470 HS12 ; ; ; 74108 171172 200102 21700 HS13 ; ; 20144 88135 110156 51410 HS14 ; ; 13146 34190 38199 21896 HS15 88137 382157 666199 71548 HS16 433144 2076136 3153144 71275 HS17 55194 207194 323108 51775 HS18 ; ; 46115 194179 252190 51480 HS20 ( ) 91140 297105 467194 51120 HS21 0110 0130 0139 31772 HS22 1166 8194 13192 81389 :, GDP ( CPI PPI ), : 110 1 HS 2 HS
2007 12 3 HS :HS21 HS18 HS05 HS11 HS16 HS12, ) ( : ), ( ISIC ) HS,, 3,, ( ) Knetter ( 1989 ) Feenstra ( 1996 ) Yang (1998) Marazzi (2005), 4, (, reer it ),, I(1), ( dreer it ),: dexp Dit = it + 1 it dreer it + 2 it ln dpc it + 3 it ln dpw it + it (9) i 21 HS 97 CH ; it itk, :,,,, ( ) 4 5 111
: 3 HS (HS CH ) : HS11 CH502CH59 HS6 CH282CH29 CH302CH38 HS11 HS12 CH602CH63 CH642CH67 HS7 CH39 CH40 ( ) HS8 CH412CH43 HS13 CH682CH70 HS20 CH94 CH95 HS15 CH732CH83 HS10 CH49 HS6 CH30 HS16 (OECD ) CH84 CH85 ; ; HS17 HS18 CH862CH89 CH902CH92 4 EXP Dit ( ) 21 HS 97 CH ( ), ( ),, HS (), Cerra Saxena (2002), ( ) ( ), 2001 1 100 ( CPI PPI ) : REER it IMF, ( ) 5 ( 80 % ), ( ) ( ), 2001 1 100 : IFS PC it,, PPI CPI,, ;, :Wind PW it, : IFS Wind D HG, 2005 7 D HG = 1, D HG = 0 112
2007 12 5 1 (POLS) 321a (FE) (RE) 321b 321c (FE) (RE) (FD) 5 321d 321e 321f 321g dreer it 01135 (01079) 33 01249 (01016) 333 01257 (01027) 333 ( ) ( ) ( ) ( 4) dpc it - 01150 (01117) 3 01136 (01012) 333 01129 (01023) 333 ( ) ( ) ( ) ( ) dpw it 01721 (81035) 01671 (01107) 333 01611 (01191) 333 ( ) ( ) ( ) ( ) dreer it NA NA NA NA NA NA ( 4) dpc it NA NA NA NA NA NA ( ) D HG NA NA NA NA NA NA 01024 (01003) 333 AR(1) - 01016 (01012) 3-01816 (71024) 01016 (31928) ( ) ( ) NA ( ) R 2 014235 016251 016693 017093 016737 013814 019058 F 2 F1 = 39186 > : F2 = 23176 > : F2 = 23176 > : NA NA Wald F ΠLM 3 NA LM : LM : Wald F : Wald F : chi2 = 142153 chi2 = 134187 F = 35160 > F = 30114 > Prob = 010000 Prob = 010000 POLS POLS POLS POLS NA NA HM 4 NA chi2 = 154159, P = 010000 chi2 = 138104, P = 010000 chi2 = 172109, P = 010000 chi2 = 164121, P = 010000 : (1),,NA, 21,,,, C 333 1 %, 33 5 %, 3 10 %; (2) F, :, F1,321a OLS ;, :, F2,321b 321c ;,, 321d 321e ;, ( ), ( ), ; (3) Wald F LM, : (POLS),,, (Wald F ) (LM ) ; (4) HM ( RE) ( FE), :FE RE,RE P 0105, RE ;, FE ; (5),HM :IV ( IV ), P 0105, IV, ; 21 113
: ( ) EViews511 Stata910, 5, 1., PC it PW it,,, DW( LM), AR,, 3 (FGLS),, (cross section weights),white t ; GLS 21,, HS REER it, EXP Dit,REER it ( IV), REER it EXP Dit,, (32 1g) k REER it REER i, t - 1, REER i, t - 2 REER i, t - k ( ), REER it, EXP Dit,, REER it,,pc it, ( ) 5,21 HS,, Hausman, ; ( POLS), ;,,,,, (321f),, (321g),,,, dreer it dpc it, ( ), ;,,,,,,, : 114
2007 12 (1) dpc it,, ; dpw it,,, dreer it,1, EPTi,, (),, (2) dpc it, ( ), dpw it,, dreer it,,(),, 6 HS HS,21 HS08 ; ; HS dreer it HS11 6,,,6, : (1) :,,,,,, EPTi > 0-1 < EPTi < 0 EPTi < - 1 PTMi > 1 HS12 ; ; ; HS13 ; ; HS15 0 < PTMi < 1 HS20 ( ) HS01 ; HS02 HS03 ; HS04 ; ; HS14 ; ; HS16 HS17 HS18 ; ; HS21 HS22 HS05 HS06 PTMi < 0 HS07 ; HS09 ; ; ; HS10 ; ; (2) :,, reer it,, 1, reer it,, reer it, 1 EPTi 115
:,, (3) :,,, 60 %,,,,, HS,,, :,, () ; ( ),,,,,,,,,?,2007 :, 21 2007,2006 :, 2,2005 : : 1971 2003, 11 Dornbusch Rudiger., 1987, Exchange Rates and Prices, American Economic Review, Vol. 77. No. 1 Mar., pp. 93 106. Feenstra Robert. M., 1989, Symmetric Pass2Through of Tariffs and Exchange Rates under Imperfect Competition : An Empirical Test, Journal of International Economics, Vol. 27 (1) pp. 25 46. Goldberg P. K., M. M. Knetter, 1997, Goods Prices and Exchange Rates : What Have We Learned?, Journal of Economic Literature, Vol. 35. No. 3. Sep., pp. 1243 1272. Bemhofen D. M. and P. Xu, 2000, Exchange Rates and Market Power Evidence from the Petrochemical Industry, Journal of International Economics, Vol. 52, No. 2, pp. 283 297. Michael B. Devereux, Charles Engel, Peter E. Storgaarde,2004, Endogenous Exchange Rate Pass2though When Nominal Prices are Set in Advance, Journal of International Economics, Vol. 63, pp. 263 291. Richard Baldwin and Paul Krugman, 1989, Persistent Trade Effects of Large Exchange Rate Shocks, Quarterly Journal of Economics, Vol. 104, pp. 635 654. Obstfeld Maurice and Kenneth Rogoff, 1995, Exchange Rate Dynamics Redux, Journal of Political Economy, Vol. 103, pp. 624 660. David C. Parsley, 1995, Anticipated Future Shocks and Exchange Rate Pass2through in the Presence of Reputation, International Review of Economics and Finance, Vol. 4 (2), pp. 99 103. Yang Jiawen,1998, Pricing2to2Market in U. S. Imports and Exports :A Time Series and Cross2Sectional Study, Quarterly Review of Economics 116
2007 12 and Finance,Vo1. 38,pp. 843 861. Knetter. M. Michael, 1989, Price Discrimination by US and German Exporters, American Economic Review, Vol. 79 (3), pp. 198 210. Feenstra, Robert C., 1996, Market Share and Exchange Rate Pass2through in World Automobile Trade, Journal of International Economics, Vol. 40 (1), pp. 187 207. 1408. Feenstra, Robert C., 1996, Globalization, Outsourcing, and Wage Inequality, American Economic Review, Vol. 86, pp. 240 245. Taylor John B, 2000, Low Inflation, Pass2Through, and the Pricing Power of Firms, European Economic Review, Vol. 44 (7), pp. 1389 Gagnon Joseph E., Jane Ihrig,2004, Monetary Policy and Exchange Rate Pass2through, International Journal of Finance and Economics, Vol. 9 (4), pp. 315 338. Feinberg Robert M,2004, The Choice of Exchange2Rate Index and Domestic Price Passthrough, Journal of Industrial Economics, Vol. 39 (4), pp. 409 420. Marston Richard C.,1990, Price Behavior in Japanese and U. S. Manufacturing, NBER Working Papers, No. 3364. Exchange Rate Pass2through to Chinese Export Prices and Exporters Capability of Pricing to Market Chen Xuebin, Li Shigang and Lu Dong ( Fudan University) Abstract :Based on the panel data of all 22 categories of exports under HS Classification, this paper reclassifies these exports according to their industry attributes, calculates the exchange rate pass2through to the aggregate export price and specific industries export prices,and then discusses the exporters capability of pricing to market from Jan 2001 to Aug 2007. The conclusion is that, attributed to differences in the comparative advantages, processing trades, market structures and the degree of competition in the world market, exchange rate pass2through has different effects in different industries, and exporters located in various industries show distinct capability of pricing to market : labor2intensive industries which have the traditional comparative advantages exhibit super2strong capability of pricing to market, where exporters can lower the export prices in domestic currency when facing the RMB appreciation. Characteristic of processing trades, some high2tech manufactures have the phenomenon of incompleteness of exchange rate pass2through effect. Key Words :RMB Exchange Rates ;Pass2through ;Pricing to Market ;Panel Data JEL Classification : E310, F410, F310 (: ) ( : ) 117