汇率上升影响

223TheRMBDebate:EmpiricalAnalysisontheEffectsofExchangeRateShocksinChinaandJapan+SoyoungKim∗SeoulNationalUniversityYoonbaiKim**UniversityofKentuckyAbstractForabetterunderstandingoftheongoingdebatesontheRMB,thispaperinvestigatestheeffectsofexchangerateshocksonoutputandthecurrentaccountforChinaandJapan.Weusestructuralvectorauto-regressionmodelsandfindthatyenappreciationreducescurrentaccountsurpluseswhilehavingnostrongeffectonoutputinJapan.RMBappreciation,ontheotherhand,significantlyreducesoutputinChinaalthoughithasinsignificanteffectonthecurrentaccount.Empiricalresultssuggestthat,forChina,dollarpricingwithverticaltradeintegrationseemsresponsiblefortheinsignificanteffectonthecurrentaccount.                                                            + WewishtothankDavidCook,HeDong,WeiLiao,andseminarparticipantsatHKIMR,HKUST,andBeijingForumforthevarioussuggestionsandcommentstheyhavegiven. ∗DepartmentofEconomics,SeoulNationalUniversity,Gwanak-Gu,Seoul151-746,RepublicofKorea;(Email)[e-mail].**DepartmentofEconomics,UniversityofKentucky,Lexington,KY40506,USA.(PH)859-257-2838;(Email)[e-mail]alueofChina’scurrency,therenminbi(RMB),hasbecomeacontentiousissue.Manyeconomistsarguethatthecurrencyisundervalued;thus,ithasbecomethemainsourceofthecountry’slargecurrentaccountsurplusesespeciallyinrelationtotheU.S.TherehasbeenmountingexternalpressureonChinatoallowtheRMBtoappreciateagainsttheU.S.dollar.ManyeconomistsalsoarguethattheexchangerateregimeinChinashouldchangetomarket-basedfloatingfromheavyinterventionintheforeignexchangemarket.1Thusfar,Chinahasbeenresistingthepressure,permittingonlygradualandsmallchangesinitsexchangeratepolicy.Apparently,itsmainconcernseemstobethatcurrencyappreciationwouldcausedetrimentaleffectsonitscrucialexportsectorandcreateahostofeconomicproblemsthatmayworsentheunemploymentproblemintheruralsectorandreduceeconomicgrowth.TheJapaneseexperienceofundergoingadecades-longrecessionafterhugeappreciationhasfrequentlybeeninvokedasareasonfortheresistance.Inaddition,somestudiesarguethatexchangerateadjustmentscannotrestorethebalancebecausetheimbalancesoriginatefromstructuralproblems,suchashighconsumption(andlowsavings)oftheU.S.2Theheatedcontentionbetweenthetwolargesteconomiesintheworldhaspushedtheworldeconomyintoasituationofcompetitivedevaluationsor“currencywars”amongmanydevelopedandemergingmarketeconomies.Inthispaper,webrieflyreviewtwoofthemostcontentiousissuesregardingtheRMB.OneiswhetherChinashouldmovetoafloatoratleastanexchangerateregimewithgreaterflexibility;theotheriswhetherandhowmuchtheRMBisundervalued.WefindirreconcilabledifferencesaroundthetwoissuesoftheRMBdebate.Importantquestionsunderlyingthecontentionsareabout(i)whetherRMBappreciationcanreducetradeimbalancesinChinaandtheU.S.,and(ii)whethertheappreciationcaninducerecessionaryimpactsontheChineseeconomy.Admittedly,bothareempiricalissues.However,tooursurprise,veryfewstudiesprovidecomprehensiveempiricalevidenceontheissue.ThepurposeofthispaperistoexamineempiricallytheeffectsofexchangeratechangesonvariousmacrovariablesoftheChineseeconomy,especiallyoutputandthecurrentaccount/tradebalanceandtheircomponents.ThestudiesofAhmed(2009)andThorbeckeandSmith(2010)empiricallyexaminetheeffectsof(real)exchangeratechangesonChineseexports.Cheung,                                                            1See,interalia,Goldstein(2006),Roubini(2007)andFrankel(2006).2SeeBosworth(2004),McKinnon(2007),Mundell(2004),Tatom(2007),andXu(2000). 225Chinn,andFujii(2010),Kwacketal.(2007),MarquezandSchindler(2007),andGarcia-HerreroandKoivu(2007)estimatepriceelasticityofChinesetrade,exportsand/orimports.Liao,Shi,andZhang(2010)analyzetheeffectsofexchangerateshocksfromEastAsiancountriesonChineseexportsusingthecalibratedDynamicStochasticGeneralEquilibrium(DSGE)model.Shi(2006)examinestheeffectsofrealexchangeratechangesonoutputinChinausingVARmodel.ComparedwiththesepreviousstudiesthatfrequentlyfocusonaspecificaspectofChinesetradeoroutputrelation,thecurrentstudyoffersacomprehensiveanalysisoftheRMB/dollarexchangeratechangesontheChineseeconomy.Inaddition,whilemostoftheabovementionedstudiesanalyzetherelationwiththerealexchangerate,weexaminetheeffectsofnominalexchangeratechangesmoredirectlyinrelationtothecurrentpolicydebate.AstheJapaneseexperienceisfrequentlyinvokedassupportingevidence,weapplyasimilarmodeltoJapanandcomparetheresultswiththoseofChina.Analysisbasedonsimplecorrelationamongthecurrentaccount,output,andtheexchangeratecanbemisleadingbecausemanydifferentstructuralshockscanaffectthesevariablessimultaneously.Moreimportantly,asanendogenousvariable,theexchangeratenotonlyaffectsbutisalsoaffectedbyoutputandthecurrentaccount.Inthispaper,weemployavectorauto-regression(VAR)modeltotakecareofthethirdfactoreffectandthereversecausalityproblemandtoisolatetheexogenouspartofexchangeratechanges.Therestofthispaperisorganizedasfollows.Section2brieflyreviewstheliteratureonthetwomainissuesinvolvingtheRMBexchangerateandsummarizesvariouschannelsontheeffectsofexchangerat