（外脑精华·北京）6月份，中国的消费价格涨幅突破了4%。在这种情况下，人们开始密切关注，中国将以何种政策调整应对卷土重来的通胀压力。除了加息和回笼流动性之外，也有人提出人民币升值对抑制通货膨胀效力如何的问题。
本文讨论人民币升值对中国国内价格的传导效应。理论文献和经验研究都表明，汇率升值很可能会对国内消费价格涨幅构成下降压力。按照我们的估算，如果人民币名义有效汇率升值10%，那么1年内消费价格涨幅将减少1.2个百分点，2年内累计将减少1.5个百分点。因此，人民币加快升值不仅可以抑制中国经济的对外失衡，也有助于中国应对攀升的通胀压力。
汇率变化对国内价格的传导效应
要确定适当的货币政策和汇率政策，汇率变化对国内价格传导效应的大小是一个重要问题。举例来说，本币升值往往会导致进口品的本币价格下降，而这又有可能传导至最终消费价格之上，从而降低消费价格涨幅。
经验研究发现，这种从汇率到进口价格和消费价格的传导效应通常是正向的。不过，这种传导并不彻底，而且效应的大小在各国间有很大差别。
影响传导效应大小的因素
过去20年间，出现了大批讨论汇率传导效应的经济文献。传统文献的重点是微观经济因素，如市场力量的作用、国际市场上的价格歧视等。泰勒则于2000年提出了一种新视角。他认为，货币政策也会影响传导效应的大小，因为货币政策会影响到通货膨胀预期。他特别指出，在高通胀的环境中，汇率的传导效应往往也比较大，因为在这种环境中，企业对由本币贬值或其他因素造成的成本上升会做出较大的反应。许多经验研究都发现了支持泰勒假说的证据。
另一方面，经验研究也支持另一种假说，即低收入经济体的传导效应大于发达经济体的传导效应。出现这种情况，原因有两方面：一是低收入经济体的通胀率往往较高；二是在低收入经济体的消费中，可贸易品所占的份额较高。
中国和其他国家汇率传导效应的估算
如上所述，经验研究发现，工业化经济体的汇率传导效应小于发展中经济体的效应。例如，Choudhri和Hakur在2002年的研究中估算，在1年、4年和20年的时间段中，美国的汇率传导效应分别为0.00，0.02和0.06，英国的汇率传导效应分别为-0.01，0.02和0.03，中国的相应数字则分别为0.04、0.30和0.41。Ca’Zorzi、Hahn和Sanchez在2007年的研究中则使用了更新的数据。他们发现，在1年和2年的时间段中，10%的汇率变动将分别导致0.8%和7.7%的累计消费价格变化。
我们运用1992－2007年1季度的季度数据，对中国的汇率传导效应进行了估算。假设其他条件不变，那么如果人民币的名义有效汇率升值10%，在1年内将导致以消费价格衡量的通胀率下降1.2个百分点，而2年和3年内的通胀率累计降幅将分别为1.5和1.6个百分点。与其他研究相比，我们所估算的短期数字相对较高，而长期数字则相对较低。
当然，我们的估算是以过去15年的数据为基础的。由于中国经济结构变化迅速，因此与当前的准确参数相比，我们所用的参数可能会存在低估或高估的成分。举例来说，以外贸额对GDP的比率衡量，中国的经济开放度已经由1992年的34%升至2006年的67%左右。一个经济体越开放，进口占国内消费的份额就越大，汇率变化对其国内价格的影响也就越大。而且，实际情况还不止这么简单。经验证据也表明，通货膨胀与经济开放度之间是负相关关系，因为在开放的经济体中，产品市场的调节更灵活，企业的竞争力也更强。不过，虽然参数会发生变化，但我们认为，本文的估算和经验证据都表明，在中国的名义有效汇率和通货膨胀率之间，确实存在着相当程度的正向传导效应，这与其他新兴市场的情况是一致的。
政策意义：人民币将加快升值
出人意料的经济增速和通胀数据证实了我们的观点，即中国经济中的过热压力正在增大。从2006年下半年以来的货币扩张状态（以M3增长率衡量）判断，我们预计，今年剩下的几个月之中，消费价格的环比涨幅将保持高位，其同比涨幅将保持在4.5%以上，而且这项预测还存在上调的风险。
本文分析的汇率传导效应表明，如果人民币的贸易加权汇率进一步升值，那么在减少外汇流入、并推动中国经济恢复平衡的同时，还有助于抑制中国经济的通货膨胀。
此外，韩国、印度等中国邻国的最近经验表明，更大胆的本币升值，加之通过加息收缩银根，可以有效地抑制通胀压力，而对于总体经济增长的影响则较为有限。
在两年来成功的“渐进”升值之后，看起来中国政府已开始加快人民币对美元的升值速度。中国政府将更大胆地运用汇率工具抑制国内通胀压力，我们预计在12月的时间段之中，人民币对美元的升值幅度将为9%。
英文原文：China: How significant is the exchange rate pass-through effect on CPI inflation?
Both theoretical literature and empirical work suggest exchange rate appreciation could induce downward pressure on domestic CPI via the pass-through effect.
Our estimates show a 10% appreciation of the CNY nominal effective exchange rate will likely reduce CPI inflation by 1.2 percentage points in 1 year and by a cumulative 1.5 percentage points in 2 year's time.
Therefore, we argue that, besides interest rate hikes and liquidity withdrawal, faster CNY appreciation could also help China combat the rising inflation pressures.
Our Global Economics Team has recommended going short USD/CNY via 2-year non-deliverable forwards as #9 in our Top 10 Trades.
With the CPI inflation breaching the 4% mark in June, much attention has been focused on what policy adjustments may take place to combat the re-emerging inflation pressures in the economy. Besides interest rate hikes and liquidity withdrawal, questions have also been raised on how much currency appreciation may help this cause.
In this article, we examine the pass-through effect of exchange rate changes on domestic prices in China. Both theoretical literature and empirical work suggest exchange rate appreciation is likely to induce downward pressure on domestic CPI inflation. Our estimates show that a 10% appreciation of the renminbi （CNY） nominal effective exchange rate （NEER） will likely reduce CPI inflation by 1.2 percentage points over 1 year and by a cumulative 1.5 percentage points over a 2-year horizon. Therefore, we argue that faster CNY appreciation can help China combat the rising inflation pressures, as well as reduce its external imbalances. Our Global Economics Team has recommended going short USD/CNY via 2- year non-deliverable forwards （NDF） as #9 in our Top 10 Trades （see Top 10 Trade #9: Go short $/CNY via a 2- year NDF, Global Viewpoint, July 19, 2007）.
Exchange rate pass-through to domestic prices
The degree to which changes in the exchange rate pass through to domestic prices is an important issue in the discussion about the appropriate monetary and exchange rate policies. For instance, currency appreciation tends to reduce import prices expressed in local currency terms, which in turn may be passed through to final consumer prices and thereby reduce CPI inflation. Empirical studies have found such exchange rate pass through to import and consumer prices to be positive but incomplete, and it differs significantly across countries.
What affects the extent of the pass-through effect?
A large economic literature has developed over the past 2 decades on exchange rate pass through. Traditional literature has focused on microeconomic factors, such as the role of market power and price discrimination in international markets. An alternative view is advocated by Taylor （2000） who argues that the magnitude of the pass-through effect is also affected by monetary policy because of its impact on inflation expectations.
Specifically, the exchange rate pass through tends to be higher in a high-inflation environment because firms respond more to cost increases （due to exchange rate depreciation or other factors）. Quite a few empirical studies have found evidence supportive of the Taylor hypothesis.
Meanwhile, empirical evidence also appear supportive of the hypothesis that the exchange rate pass-through effect is higher for low-income developing economies than for developed economies, either because they tend to have higher inflation rates, or because they tend to have a higher share of tradable goods in their consumption3 （see Box 1 for a discussion on the import content in the consumption basket）.
Box 1: Estimating the import content in domestic consumption
There is little official or academic research on the degree of import content in the domestic consumption basket for China. Here, we begin with some back-of-the-envelope estimation of this parameter. China's imports are about 32% of GDP in 2006, and about half of the total imports are used in the processing trade with the final destinations overseas. The remaining part （equivalent of 16% of GDP） serves domestic investment and consumption. Since more imports are likely to be directly consumed for domestic-investment purposes rather than for consumption, we assume a 6:4 split between investment-related vs. consumption-related imports within these domestic-demand oriented imports. That is, goods imported directly for domestic consumption purpose may constitute roughly 6.4% of GDP. If consumption is about 50% of GDP, the direct import content in domestic consumption might be about 13%. Of course, import prices could also indirectly affect consumer prices through their impact on the costs of investment-related goods.
Estimation of the exchange rate pass-through for China and other countries
Empirical studies have in general found a lower passthrough effect in industrialized economies than that for developing economies. For instance, Choudhri and Hakura （2002）4 estimated the pass-through effect for the U.S. is 0.00, 0.02 and 0.06 over 1, 4 and 20-year horizons and -0.01, 0.02 and 0.03 respectively for the U.K. Their estimated pass-through effect for China is 0.04, 0.30 and 0.41 over 1, 4, and 20 years. Using more recent data, another study by Ca’Zorzi, Hahn, Sanchez （2007）5 finds a 10% exchange rate change will induce an accumulated change in consumer price levels by 0.8% in 1 year and 7.7% in 2 years.
Using quarterly data from 1992 to 1Q2007, we estimate that, holding everything else constant, a 10% appreciation of the CNY NEER will on average lead to a 1.2 percentage points reduction in CPI inflation in 1 year, by a cumulative 1.5 percentage points in 2 years, and by 1.6 percentage points in 3 years （please see Appendix for details）. Compared with previous studies, our estimates are slightly higher than others’ over the short term, but lower over the long term.
Undoubtedly these estimates need to be taken with a few grains of salt. In particular, our estimated pass-through based on data over the past 15 years may under- or overstate the true underlying parameter at the present time because of rapid structural changes in China. For instance, the degree of openness in China, as measures by the share of trade in GDP, has risen to about 67% as of 2006, from 34 % in 1992. The more open a country is, the more significant any exchange rate changes may affect domestic prices through its higher import content in consumption. However, the picture can be more complex as empirical evidence also suggests inflation is negatively correlated with the degree of openness, as the product markets in an open economy may be more flexible and firms more competitive. Nevertheless, even though the underlying parameter may have shifted, we believe both our estimates and other empirical evidence confirm there are some non-trivial, positive pass-through effects between CPI inflation and NEER changes in China, consistent with the evidence others find for other emerging markets.
Policy implications
The recent upside surprise in growth and inflation data has confirmed our view that there are budding overheating pressures being built in the economy. Given the monetary expansion since 2H2006, as measured by M3 growth,6 we expect sequential CPI inflation to stay elevated for the remainder of the year. We expect the year-on-year reading of the CPI to stay above 4.5% for the rest of this year, and we see upside risks to this forecast （see Real GDP growth came in at 11.9% and CPI inflation 4.4% for June－readings of the 2Q2007 data, China Views, July 19, 2007, and Raising our growth and inflation forecasts for 2007 and 2008, China Views, July 19, 2007）.
The exchange rate pass-through effect we examined in this article suggests that if the monetary authority in China could allow the currency to appreciate more in trade-weighted terms, it could help "dis-inflate" the economy, while reducing the foreign exchange inflows and facilitating the rebalancing of the economy.
Furthermore, recent experiences of currency appreciation in neighboring economies （such as Korea and India） suggest that bolder currency appreciation, coupled with monetary tightening through higher interest rates, are effective in reining in inflation pressures in the economy while exerting limited negative impact on overall growth.
Faster CNY appreciation ahead
After some successful "gradual" upward adjustments in the CNY over the past 2 years, it appears the Chinese authorities have already started to increase the pace of appreciation against the USD . We expect the authorities to become bolder in using the currency tool to cool down domestic inflation pressures, and maintain our forecast of 9% appreciation of CNY/USD over 12-months' time.
Our Global Economics Team has therefore recommended going short USD/CNY via 2-year NDF as #9 of our Top 10 Trades. The 2-year NDF is currently standing at about 6.97, implying a less than 8% cumulative appreciation in 2-year's time
