人民币升值对中国贸易及经济的影响分析.docx
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人民币升值对中国贸易及经济的影响分析.docx
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人民币升值对中国贸易及经济的影响分析
TheImpactofRMB’sAppreciationonChina’sTrade
GuihuanZheng1,2,LiGuo2,XuemeiJiang2,XunZhang1,2andShouyangWang1,2,
1InstituteofSystemsScience,AcademyofMathematicsandSystemsScience,
ChineseAcademyofSciences,Beijing100080,China
2SchoolofManagement,GraduateUniversityofChineseAcademyofSciences,
Beijing100080,China
Abstract:
WiththeannouncementofreformingtheRMBexchangerateregimeonJuly21,2005,greatattentionhasbeenpaidtotheimpactsofRMB’sappreciationonChina’strade.SinceChinabeinginthetransitionfrompeggingtoamanagedfloatingregime,noexistingapproximatemodelandmethodcanbeutilizedtoinvestigatethisquestiondirectly.Inthispaper,scenarioanalysistechniqueisusedtogiveastudyonthisissue,coupledwiththeintroductionofthesubstitutedvaluables:
JapaneseyenandEuroexchangerate.OurresultsshowthatRMB’sappreciationwouldnotbringsevereeffectsonChina’stradein2005;however,thepossiblesustainedreductionofexportgrowthin2006shouldbepaidmoreattention.ItisalsonecessaryandurgenttopressforwardwiththereformofRMBexchangerateregime,andputuptherelatedsupportingpoliciestoavoidsuchsuddenfluctuationastheJapanesesituationafter“PlazaAccord”.
JELClassification:
C53,F17,F31
Keywords:
RMB’sappreciation,China’strade,Scenarioanalysis
1.Introduction
TheRMBexchangeratebecameahottopicaftertheannouncementofexchangerateregimereformonJuly21,2005.Thenewregime,amanagedfloatingexchangerateregimebasedonmarketsupplyanddemandwithreferencetoabasketofcurrencies,allowsRMBtoriseby2%,withadaily0.3%tradingbandbasedonthepriceofthepreviousday.Withitsrapiddevelopment,China’seconomyhasbecomeanincreasinglyimportantelementintheglobaleconomicdevelopmentandintegration.Againstthisbackdrop,theimpactsofRMB’sappreciationonChina’stradeattractgreatattention.
BeforethisreformofRMB,therehasemergedavasttheoreticalliteratureconcentratedontheimpactsofRMB’srevaluation(Liu,2004;Zhang,2001).However,relativelylittleresearchhasbeenundertakenontheempiricalanalysisofthisissue.Cyn-YoungPark(2005),aneconomistinAsianDevelopmentBank,analyzedmacroeconomicimpactsofa“one-off”appreciationoftheRMBagainstthedollarusingtheOxfordEconomicForecasting(OEF)model.Thisworkmayshedlightonthedynamicsbetweenglobalimbalancesandrevaluation.TheOEFmodelframework(Burridgeetal.,1991)allowssimulationanalysesbasedontheglobaleconometricstructure,whichwillprovidesomequantitativeresultsfortheimpactsofarevaluationontheconcernedeconomies,suchasthePRC,Japan,US,andotherAsiancountries.Thestabilityofequilibriumstatemaybedamagedwhentheregimeshifts,which,however,cannotbestudiedinthismodel.Zhang(2005),aresearcherinChineseAcademyofSocialSciences,presentedastudyonthisissuebytheelasticityanalysis.BothoftheseresultssuggestedthattheimpactsofarevaluationonChina’seconomymightchangeintheproportionofanappreciation’sscale.Infact,intheshortterm,thereasonablenessofthisproportionateresultshouldbedoubted.
Themainbodyofexistingliterature,however,hassofarmostlycenteredonquantitativediscussiondescribingtherelationbetweentradeandexchangerate(Arize,1996;Baileyetal.,1987;Chengetal.,2003;Chou,2000;Cushman,1983;Gotur,1985;KorayandLastrapes,1989;Mckenzie,1999;SauerandBohara,2001;Swift,2004;ViaeneanddeVries,1992;WangandDunne,2003).Therehasbeensurprisinglylittleempiricalworkthatfocusontheexchangerateregimeshift(Zheng,2005),especiallyfrompeggingtotheUSdollartoamanagedfloatingregime.Noexistingappropriatemodelormethodcanbefoundtosupportthiskindofresearchdirectly.Therefore,someindirectmethodsshouldbeexperimentedforstudyingthisissuewiththesubstitutevariablesintroduced.
Inthispaper,scenarioanalysistechniqueisusedtogiveasensitivityanalysisofChina’stradetotheappreciationofRMB.ThefirsttypeofscenariosisahypotheticscenariobeingrelatedwiththecurrentappreciationofRMBby2%;whilethesecondonethatbelongstothehistoricalscenarioisbasedonthehistoricalevent----theJapaneseyen’svariabilityaftersubscribing“PlazaAccord”.
Theremainingpartofthispaperisorganizedasfollows.ThetheoryandmethodofscenarioanalysesareintroducedinSection2.ModelsandtheirevaluationareoutlinedinSection3.ForecastingresultsfromscenariosanalysesarepresentedinSection4.Section5concludesthepaper.
2.Scenarioanalysis
Scenarioanalysis(CommitteeontheGlobalFinancialSystem,2000)isakindofstresstestingwhichservestoestimatepotentialextremelossesofaportfoliovalueandgivehelpfulsuggestionstothedecisionmakersinriskmanagementofacompanyorafinancialinstitution.Generally,scenarioisameanstoexplorethefutureeconomicsituation,andidentifywhatmighthappenandhowanorganizationcanactorreactuponfuturedevelopments.
2.1Method
Inourwork,scenarioanalysisservestoestimatethechangesintradeifthescenariosweretooccur.Theessenceofthismethodologyisthecreationofuser-definedscenarios,fedintoacalculationenginetoproduceestimatesoftheimpacts.Moreover,suchanalysisshouldbebasedontheevaluatedmodel.Generally,thescenariosinstresstestingusuallyfallintothreemaintypes:
(1)Thetypicalscenarioistousepredefinedorset-piecescenariosthathaveproventobeusefulinpractice,suchasonex%changeofexchangeratemayresultay%fallinthestockindex.
(2)Thehypotheticscenarioistoreporttheworst-caseresultsthroughsomesubjectiveassumptionbasedononespecialevent.
(3)Thehistoricalscenarioistostimulatethehistoricaltrackforestimatingtheimpactsbasedononeactualevent.
Aftersettingthescenariosandestablishingthevaluationfunctions,thevaluesoftradewouldbeestimatedthroughrunningthemodelforeachscenario.
2.2Setscenarios
Inourpaper,twotypesofscenarios,thesecondoneandthethirdoneareintroduced.TheyarebasedontheassumptionthatRMBwouldappreciateagainstthedollarandothereconomiescouldmaintainthecurrentexchangerateregimes.
(1)Thehypotheticscenario
Asweallknow,RMBhasappreciated2%withadaily0.3%tradingbandbasedonthepriceofthepreviousday.Toillustratetheeffectscausedbythisregimeshift,onehypotheticscenarionamedscenarioⅠisintroduced.Inthisscenario,itisassumedthattheRMB/USDexchangeratewouldappreciatetoathresholdvalueby2%inAugust2005,andmaintainsuchvalueuntiltheendofthenextyear.Sincetheeffectoftherelatedfactors’changesonmacroeconomicstructureislessthanthatonportfolios,itisreasonabletoassumethatthedomesticandinternationalmarketskeepstableandshouldnotsufferasuddenchangeintheshortrun.Thisscenarioanalysisaboutone-offappreciationwillbediscussedinsuchassumedmacroeconomicbackground.
(2)Thehistoricalscenario
Seenfromtheprevioushistory,manycasesareworthbeingusedasreferenceforthesimilarsituation,suchasJapan,GermanyandIndonesia.EspeciallythecaseofJapanaftersubscribing“PlazaAccord”issuitableforprovidingagoodscenario.
OnSeptember22nd1985,financeministersfromtheworld'sfivebiggesteconomies-theUnitedStates,Japan,WestGermany,FranceandtheUK-announcedthePlazaAccordattheeponymousNewYorkhotel.Eachcountrymadespecificpromisesoneconomicpolicy:
theUnitedStatespledgedtocutthefederaldeficit,Japanpromisedaloosermonetarypolicyandarangeoffinancial-sectorreforms,andGermanyproposedtaxcuts.Allcountriesagreedtointerveneincurrencymarketsasnecessarytogetthedollardown.Bytheendof1987,thedollarhadfallenby54%againstboththeD-markandtheyenfromitspeakinFebruary1985.Japaneseyenexperiencedasevereappreciationprocessfromthelevelof45.53exchangerateindexinSeptember1985tothelevelof53.13inDecember1985,increasingby20%(SeeFig.1)(DataaretakenfromInternationalFinancialStatisticsinIMF).Afterthen,thetrendofJapaneseyen’sappreciationlastedabouttenyears.
Figure1:
JapaneseExchangeRateIndexafter"PlazeAccord"
Afterinvestigatingthedataaboutexport,import,andexchangerateinJapanovertheperiodof1982-1990,wefindthatJapaneseyen’sappreciationhasn’tcausedthechangesofthelongequilibriumrelationbetweenexportandexchangerate.Therefore,itisfeasibletosetscenarioswithanassumptionofthestableeconomicstructure.However,withthedifferentinternationalenvironmentandhistoricalconditions,theregime’sshiftingfrompeggingtoUSdollarmaydamagetheequilibrium.Thus,twohistoricalscenariosaresetforprovidingenoughreference:
(1)ScenarioⅡ:
Inthisscenario,theRMBwouldstarttoappreciateagainstUSDinAugust2005,experiencingthesameappreciationroutinefromSeptember2005toDecember2006astheJapaneseyenfromDecember1985toFebruary1987.However,thestateofeconomicequilibriumkeepsstable.
(2)ScenarioⅢ:
ThisscenarioexperiencesthesameappreciationtrackasscenarioⅡ,butthestateofeconomicequilibriumisassumedtochangewiththeabsolutevalueofelasticitycoefficientincreasedby10%.
Allofthesescenariosmightbeunlikelytohappeninthefuture,buttheycandescribethestressofRMB’sappreciationthatChina’stradeandeconomycouldendure.
3.Modelsandtheirevaluation
TheRMB’sappreciationshouldundoubtedlygenerateextensiveandfar-reachingimplicationforChina’seconomy,especiallyforexpor
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- 人民币 升值 中国 贸易 经济 影响 分析