世界经济 ›› 2019, Vol. 42 ›› Issue (6): 72-93.

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耐用品贸易与人民币汇率波动

石峰   

  1. 北京大学光华管理学院 北京大学数量经济与数理金融教育部重点实验室 北京市海淀区颐和园路5号 100871
  • 出版日期:2019-06-10 发布日期:2019-06-17
  • 作者简介:石峰,电子信箱:feng_shi@pku.edu.com
  • 基金资助:
    国家自然科学基金重大研究计划重点项目(91646201)的资助。

International Trade in Durable Goods and RMB Exchange Rate Volatility

Shi Feng   

  • Online:2019-06-10 Published:2019-06-17

摘要: 本文在两国两部门经济中探究耐用品贸易对人民币汇率波动的影响。耐用品不完全折旧导致其影子价格趋于常数,且耐用品贸易条件等于两国耐用品影子价格之比,所以耐用品贸易条件波动性显著低于非耐用品。人民币汇率面临以下权衡:增加汇率波动,能够发挥非耐用品贸易条件的支出转换效应,稳定非耐用品产出;降低汇率波动,有助于平滑耐用品贸易条件,抑制耐用品产出波动。本文研究发现:在基准模型中,名义汇率比仅包含非耐用品的经济更加稳定;汇率波动和耐用品消费开放程度、国际金融市场完备程度及外生冲击性质有关;汇率波动与耐用品折旧率间存在U型关系。

关键词: 两国两部门开放经济, 耐用品贸易, 贸易条件, 人民币汇率波动

Abstract: This paper explores the implications of international trade in durable goods for RMB exchange rate volatility in a two-country two-sector open economy, featuring durable and non-durable goods.Durable goods partially depreciate, which means that their shadow values tend to be constant.Since the terms of trade of durable goods are equivalent to the ratio of shadow values between foreign and domestic durable goods, the magnitude of the durable shadow value volatility is significantly smaller than that of the non-durable.Thus, the optimal volatility of the RMB needs to reach an equilibrium point between the following two objectives:firstly, the rise in the movement of exchange rate volatility, which can facilitate variations in non-durable terms of trade and stabilize the non-durable output through the expenditure-switching effect, and secondly, the reduction in exchange rate fluctuations, which is a feasible way to soften the durable terms of trade and dampen the distortion of the durable output.The results indicate that:the optimal degree of nominal exchange rate volatility is obviously lower than that of an open economy featuring only non-durable goods; the magnitude of nominal exchange rate volatility is correlated with consumption openness of durable goods, the degree of international financial market incompleteness and the properties of exogenous shocks; and the relationship between the nominal exchange rate and the depreciation ratio presents a U-shaped curve.

Key words: two-country two-sector open economy, international trade in durable goods, terms of trade (TOT), RMB exchange rate volatility

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