汇率升值预期、进口商行为和贸易中货币标价1.doc

汇率升值预期、进口商行为和出口中货币标价 —理论模型和日元的实证研究 许祥云 郭朋 （南京财经大学国际经贸学院，210046；上海期货交易所 200122） 作者简介：许祥云（1983—），男，安徽宿州人，，研究方向为国际经济学和东亚经济。地址：市，邮编联系方式：1，邮箱：xuxiangyun_ecnu@。Exchange rate appreciation expectation, importer’s behavior and invoicing currency in exporta theory model and Yen’s empirical evidence Xu Xiangyun Guo Peng (Nanjing University of economics and finance; Shanghai future exchange) Abstract Purpose: This study aims to develop a model to analyze the role of exchange rate appreciation expectation in trade invoicing from the perspective of importer, then empirically analyze it using Japanese export data. Design/methodology/approach: Constructing a theoretical model of importer behavior by analyzing the importer’s utility function under an assumption like “menu cost”, then using econometric method to justify theoretical model’s finding Findings: We find that under the assumption of “menu cost”, risk neutrality and price rigidity, there are three directions of appreciation expectation’s effect: increasing, unchanged and decreasing theoretically, but under common condition, only a large appreciation expectation will cause importer reduce the use of exporter’s currency, and the role is constricted by exporters’ bargaining capacity. The empirical results of Yen’s use in Japan’s export justifies the conclusion of model, and shows that commercial pressure and political events are most important signal to form large appreciation expectation. Research limitations/implications: This study only analyze importers’ behavior, doesn’t scrutinize the complex relationship between importers and exporters using game theory, so its just a partial research, need to expand model’s framework. The second limitation is the paper using Japanese data with limited number of observation; we hope can use larger sample in the future research. Practical Implications: This paper has important policy implications to RMB’s exchange rate policy under the context of RMB internationalization, in order t