【摘要】：自2005年7月21日,我國對人民幣匯率的形成機制進行改革,人民幣匯率不再盯住單一美元,形成了更富彈性的匯率機制。匯改對我國各個行業(yè)產生了深遠的影響。雖然人民幣大幅升值,但是鐵礦石的進口價格仍一路上揚,最終導致2008年金融危機后,眾多小鋼鐵企業(yè)倒閉,大型鋼鐵企業(yè)減產。鑒于鋼鐵行業(yè)在我國國民經濟中的重要地位,筆者試圖研究進口鐵礦石的匯率傳遞問題,同時本文也能填補國內文獻對于鐵礦石匯率傳遞這一問題的空白。 本文回顧了匯率傳遞問題的相關文獻,針對鐵礦石同質性較強這一特點,選擇從不完全競爭角度研究進口鐵礦石的匯率傳遞問題,從企業(yè)最大化自身利潤層面出發(fā),放松經典模型假設,使得國外廠商成本并不外生固定,而是隨著產量變化而變化,認為鐵礦石進口價格受到國內外企業(yè)成本、匯率、總需求、對外依存度等因素的影響。 在實證部分,本文選取從2003年1月到2011年12月一共9年108個月的月度數據,運用分布滯后模型對鐵礦石的匯率傳遞效應進行分析,并比較匯改前后匯率傳遞的不同。需要指出的是,本文針對鐵礦石行業(yè)自身的特點,構建鐵礦石自身的價格指數、有效匯率指數、成本指數,以便結果更具有信服性。最終發(fā)現,匯改前后鐵礦石的匯率傳遞程度完全不同,匯改后匯率變動對進口價格有著顯著的負相關關系；其次,無論短期還是長期效應,鐵礦石的匯率傳遞程度非常大,接近完全傳遞,這反映了我國鋼鐵企業(yè)議價能力的薄弱；同時,邊際成本對價格也有著顯著的正相關作用,而包括總需求、對外依存度在內的其他因素對鐵礦石價格沒有顯著的影響作用。 最后,本文針對進口鐵礦石匯率傳遞較大這一現象提出了幾點政策建議,對于鋼鐵行業(yè)而言,需要堅持“走出去”戰(zhàn)略與優(yōu)化產業(yè)結構戰(zhàn)略,通過兩者相結合促進鋼鐵行業(yè)健康發(fā)展。對于鋼鐵企業(yè)而言,需要增加自身技術,提高產品的不可替代性,其中對于大型鋼鐵企業(yè)而言,自主負擔船運費也可以有效規(guī)避一部分價格波動風險。
[Abstract]:Since July 21, 2005, China has reformed the formation mechanism of RMB exchange rate, and RMB exchange rate is no longer pegged to a single dollar, forming a more flexible exchange rate mechanism. The exchange rate reform has produced the profound influence to each profession of our country. In spite of a sharp appreciation in the yuan, iron ore imports continued to rise, leading to the collapse of many small steel mills and the reduction of production at large steelmakers after the 2008 financial crisis. In view of the important position of iron and steel industry in China's national economy, the author tries to study the exchange rate transmission of imported iron ore, and at the same time, this paper can also fill the gap in domestic literature on iron ore exchange rate transmission. This paper reviews the relevant literature on exchange rate transmission. Aiming at the strong homogeneity of iron ore, this paper chooses to study the exchange rate transmission of imported iron ore from the perspective of incomplete competition, starting from the aspect of maximizing the profits of enterprises. Loosening the classical model hypothesis, the cost of foreign firms is not exogenous fixed, but with the change of output, the iron ore import price is affected by the cost, exchange rate, total demand, external dependence and other factors of domestic and foreign enterprises. In the empirical part, this paper selects the monthly data of 108 months from January 2003 to December 2011, analyzes the exchange rate transfer effect of iron ore by using the distributed lag model, and compares the difference of exchange rate transfer before and after the exchange rate reform. It should be pointed out that according to the characteristics of iron ore industry, this paper constructs the price index, effective exchange rate index and cost index of iron ore itself so that the results can be more convincing. Finally, it is found that the exchange rate transfer degree of iron ore is completely different before and after the exchange rate reform. After the exchange rate reform, there is a significant negative correlation between the exchange rate change and the import price. Secondly, the exchange rate transfer degree of iron ore is very large, regardless of the short-term or long-term effects. This reflects the weakness of the bargaining power of Chinese iron and steel enterprises. At the same time, marginal cost also has a significant positive correlation with prices, including total demand. Other factors, such as external dependence, have no significant effect on iron ore prices. Finally, this paper puts forward some policy suggestions on the phenomenon of large exchange rate transmission of imported iron ore. For the steel industry, it is necessary to adhere to the "go out" strategy and optimize the industrial structure strategy. Through the combination of the two to promote the healthy development of the iron and steel industry. For iron and steel enterprises, it is necessary to increase their own technology and improve the irreplaceable products. For large steel enterprises, the independent burden of shipping costs can also effectively avoid a part of the risk of price fluctuations.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F426.1;F752.61;F832.6

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