外汇支付时滞、贸易开放度与汇率传递效应——基于DSGE模型的分析
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| Title | Time-lag of foreign exchange payment, Openness, and exchange rate pass-through: Analysis based on DSGE model
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| 作者 | 邓贵川 谢丹阳 |
| Author | Guichuan Deng and Danyang Xie |
| 作者单位 | 武汉大学经济与管理学院 |
| Organization | School of Economics and Management, Wuhan University |
| 作者Email | dgc1204@126.com；dgc1204@126.com |
| 中文关键词 | 外汇支付时滞 贸易开放度 DSGE 汇率传递 |
| Key Words | Time-lag of Foreign Exchange Payment; Openness; Exchange Rate Pass-through; DSGE |
| 内容提要 | 本文在当地货币定价（LCP）模型的基础上考虑外汇支付时滞建立两国开放经济DGSE模型研究汇率传递效应，分析外汇支付时滞和贸易开放度对汇率传递的影响。理论分析和仿真模拟结果表明:（1）引入外汇支付时滞后，汇率不仅通过标准LCP模型下实际边际成本和货币错配影响价格，还通过汇率预期和利率效应对贸易价格通胀、消费价格通胀产生影响；（2）考虑外汇支付时滞的LCP模型减小了汇率的传递程度，提高了LCP模型对汇率不完全传递的解释能力；（3）贸易开放度不仅影响汇率对生产价格和贸易价格的传递程度，还会改变汇率传递的方向。 |
| Abstract | Considering the time-lag of foreign exchange payment under the specification of local currency pricing(LCP), the paper constructs a two-countries DSGE model to analyze the impact of time-lag of foreign exchange payment and openness on pass-through of exchange rate. Theoretical analysis and simulation results show that: (1) after introducing time-lag of foreign exchange payment, exchange rate can affect the produce price, export and import price and consumption price by not only real marginal cost under the bench model but also the interest rate and expectation of exchange rate. (2) time-lag of foreign exchange payment will improve the explanatory ability for it decreases the degree of pass-through of exchange rate. (3)the openness can affect not only the degree of exchange rate pass-through, but also the direction of exchange rate pass-through. |
| 文章编号 | WP1205 |
| 登载时间 | 2017-07-04 |
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