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文章通过构建不完全竞争市场条件下的两期动态模型,分析了汇率预期的存在和厂商边际成本的可变性对汇率传递效应的影响,并使用Hansen(1999)提出的门限回归法就人民币汇率和汇率预期对进口价格的传递效应进行了实证检验。理论分析显示,汇率对进口价格的传递系数受消费需求弹性的影响可正可负,汇率升值预期会降低进口价格水平,而边际成本的可变性使得汇率对进口价格的传递会随着汇率和汇率预期的变化存在门限效应。实证分析结果表明,人民币汇率对进口价格的传递系数为负,人民币升值预期的存在导致了进口价格下降,且当汇率和汇率预期变化达到一定门限值后,汇率传递程度会发生显著变化。
By constructing a two-period dynamic model under imperfectly competitive market conditions, the article analyzes the influence of the exchange rate expectation and the variability of the firm’s marginal cost on the exchange-rate transfer effect, and uses the threshold regression method proposed by Hansen (1999) Exchange rate is expected to pass on the import price of the empirical test. Theoretical analysis shows that the transfer coefficient of exchange rate to import price can be positively or negatively impacted by the elasticity of consumer demand. The appreciation of exchange rate is expected to reduce the import price level. The variability of marginal cost makes the transfer of exchange rate to import price follow the exchange rate and exchange rate The expected change has a threshold effect. The result of empirical analysis shows that the transfer coefficient of RMB exchange rate to import price is negative and the expectation of RMB appreciation leads to the decrease of import price. And when exchange rate and exchange rate expectation change to a certain threshold, the exchange rate will change significantly.