人民币升值对中国贸易及经济的影响分析.docx

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