人民币汇率波动对中国农产品进口价格影响的研究

(510642)(10036),,:;,;,,,,,,,CPI,,,,CPI,,,,,,,2070,,,,,:(Campa&Goldberg,2002;Gust,Leduc&Vigfusson,2006),Dornbusch(1987),:(pricing2to2market,PTM)(Krugman,1986)(Devereux&Engel,2000)(Taylor,2000;Devereux,Engel5120105&Storgaard,2004)(Devereux&Engel,2003),(Devereux&Engel,2003)(Campa,Goldberg&Gonzlez2Mnguez,2005),(De2vereux,Engel&Tille,2003),(2001),20057,,(2006)(2007)(2007)(2008),(2001)(2008);(2009)CPI,,,CPI,,,;,(2006),(2009),,3:,,Campa&Goldberg(2002),,,,(H)(F),Anderson&Garcia(1989),,HH,H:Q=0+1pd+2pt+W(1)10,20,QH,pdH,ptH,W,H:=pdQ-cpQ-sQp3m(2),cp,p3mF,s,FH6120105H,,,,sttNs,2s,,tt,s2s,,,,,Fabiosa(2002),(ConstantAbsoluteRiskAversion,CARA),e,:Ev=-e--0152(3),,,2:EU=-e--0152(4),2:=pdQ-cpQ-sQp3m(5)2=2Q2p3m22s(6):maxp3m0,pd0EU=-0.52(7)(5)(6)(7),:maxp3m0,pd0pdQ-cpQ-sQp3m-0.52Q2p3m22s(8),,Hp3m,Hpdp3m,pdH,,,Hpd,pdp3m,,H(8):maxp3m0EU=pdQ-cpQ-sQp3m-0.52Q2p3m22s(9)S.T.pd=fp3m,0(10)(10)H(9)Lagrange:F=pdQ-cpQ-sQp3m-0.52Q2p3m22s+(pd-fp3m,)(11),Lagrange(11)0:5pd5p3mQ-sQ-2Q22sp3m+5pd5p3m-5f5p3m=0(12)(12),:p3m=-sQ+5pd5p3mQ+5pd5p3m-5f5p3m2Q212s(13)71:(13),HH(13)p3mS:5p3m5s=-12sQ(14),,Fp3m-12sQ,p3m,s,H,(14)p3mHpm,,,pm,,;,,,(13)p3mHpm,(13)p3m2s0,,-sQ+5pd5p3mQ+5pd5p3m-5f5p3m2Q20p3m2s,-sQ+5pd5p3mQ+5pd5p3m-5f5p3m2Q2,-sQ+5pd5p3mQ+5pd5p3m-5f5p3m2Q20,,,,,,H()(13),,,,,(13),:lnpmt=0+1lnst+22s,t+3lnXt+4lnZt+5T+t(15),lnpmt;lnst;2s,tst;lnXt,;lnZt,;T,;t,1lnpmt2lnpmt,121+2=0,81201050,1+2=1,,,1+20,1,()1999120095,:,,;,;,;,,GARCH(1,1):st=0+1st-1+t(16)2s,t=0+12t-1+22s,t-1(17)()115%,,I(0);,I(1)ADF,,(AIC)11ADFADF()ADF()(C,2,T)-117369(-314471)33(C,2,T)-718151(-410345)3(C,1,0)-114445(-218851)33(C,2,0)-716626(-314842)3(C,2,0)-215551(-218853)33(C,2,0)-1316088(-314842)3(C,1,T)-216063(-314471)33(C,2,T)-912223(-410344)3(C,1,0)-214013(-218851)33(C,1,0)-1612240(-314840)3(C,4,T)-214521(-314477)33(C,2,T)-316326(-314480)33:3331%5%,1,5%,,I(1)21ADF,EngelGranger(1987),,Johansen,Johansen22Johansen14814317117170823511861844149723196156998818038334115400381331033255102996318761291825932111833251204042191531313413251823291:Johansen,1%,61:lnpm=015514lns-0107342s+110852lnc+215970lndm-515356lnpc-010024trend(012918)(010397)(011902)(016178)(019813)(010007)[312251][-612199][515270][112088][-913930][111420],,T,015514,,,1%,015514%-010734,,,:;,,,(1+2)014780,1,110852,1%110852%,,,215970,,;-515356,,-010024,,,,31Granger,:lnpmt=ki=1a1ilnpmt-i+ki=1a2ilnst-i+ki=1a3i2s,t-iki=1a4ilnct-i+ki=1a5ilndmt-i+ki=1a6ilnpct-i++(ecmt-1)+t,ecm,lnpm612,(ŠR2)AICSC,,12302201053lnpmlns2slnclndmlnpc1011420010509-010419014034014217-0189472012157013639-010303014234014148-0179643012214-010092-010231014085014382-0196764016137012170-010295013513012841-1122105013422010912-010249012139010895-1146456012546-013064-010252011697010470-1144647010831012495-010310012498011356-1158048011143-011324-010235012837011737-1115539011955-010074-010194014113011444-11021310012975012358-010057013114-010003-11129411014009-010816-010160013445-010417-01607812011067012298010134013372-011450-018640ecm-015368(T2519077)AIC-613772R2018638SC-415811R2016022431112584219876+019011+-012571-319081+119620+-1311488-,ecmT,,,368911,12019011,;11,12-012571,;,219876,;,319081,;,21311488,12:;9,3,119620,,Jarque2Bera,LM412005721,,,,,,(,),ADF,,1%,I(1),Johansen,5:1%5Johansen1361459911717082347121664414972331891243388180383330121213813310259103136318761023146693211183335156444219152519145622518232:lnpm=111920lns+0121842s+117523lnc+315688lndm-418671lnpc-010200trend(014702)(010467)(017573)(110649)(012394)(010030)[616445][710275][716296][710177][-111778][-917540],1111920,;012184:,,,;,;,,,,,,,:,2220105,;,,,,,,,,,11AndersonM1andGarciaP1,ExchangeRateUncertaintyandtheDemandforU1S1Soybeans,AmericanJournalofAgriculturalEco2nomics,1989,71(3):72172021Campa,Jose,LindaGoldberg,andJoseMinguez2Gonzalez,ExchangeRatePassThoughintoEuro2areaImportPrices,FederalReserveBankofNewYorkStaffReportsno12005,21931ChristopherGust,SylvainLeduc,andRobertJ1Vigfusson,TradeIntegration,Competition,andtheDeclineinExchange2RatePass2Through,FRBInternationalFinanceDiscussionPaper2006,No186441DevereuxMichaelB1andCharlesEngel,MonetaryPolicyintheOpenEconomyRevisited:PriceSettingandExchange2rateFlexibility,ReviewofEconomicStudies,2003,Vol170,76578351DevereuxMichaelB1andCharlesEngel,MonetaryPolicyintheOpenEconomyRevisited:PriceSettingandExchangeRateFlexibility,NationalBureauofEconomicResearch,workingpaper2000,No1766561DevereuxMichaelB1,CharlesEngelandTilleC1,ExchangeRatePass2throughandtheWelfareEffectsoftheEuro,InternationalEco2nomicReview2003,Vol144,No171DevereuxMichaelB1,CharlesEngel,andPeterE1Storgaard,EndogenousExchangeRatePass2throughwhenNominalPricesareSetinAdvance,JournalofInternationalEconomics,2004,Volume63,Issue2,Pages26329181Fabiosa,J1F1,AssessingtheImpactoftheExchangeRateandItsVolatilityinCanadianPorkandLiveSwineExportstotheUnitedStatesandJapan,WorkingPaper022WP305,CenterforAgricultualandRuralDevelopment,IowaSatateUniversity200291JosManuelCampaandLindaS1Goldberg,ExchangeRatePass2throughintoImportPrices:aMacroandMicroPhenomenon,NBERWorkingPaper2002,No18934101TaylorJohn,LowInflation,Pas