類別名目実効為替レート指標の構築とパススルーの再検証, Construction of a Goods-group Level Nominal Effective Exchange Rate Data Set and Re-examination of the Exchange Rate Pass-Through in Japan

本稿では，為替変動が輸出入物価に与えるインパクト，すなわちパススルーの程度を再検証する．輸出入物価指数の総平均を用いた研究に代わり，類別の輸出入物価指数を使ったVAR分析を行う．類によって主要な貿易相手国が異なる，という事実を考慮すれば，通常の実効為替レート（すなわち国全体の貿易額を基に算出された，貿易相手国別の為替レートの加重平均） を用いることは必ずしも適切ではないと考えられる．このため，本研究では「類別名目実効為替レート（貿易額ウェイト）」という新しい系列を構築する．一方で，重要なのはどの相手国とどれだけ貿易したかではなく，どの通貨を用いて貿易が行われたかだ，という考え方もあり得る．そこで本稿では Ito, Koibuchi, Sato, and Shimizu (2009)にならって「類別名目実効為替レート（契約通貨ウェイト）」を計算した．これらを用いて1990年以降のデータについて再計測を行った結果，通常の名目実効為替レートを用いた場合と比較して類によっては結果が大きく変わることがわかった．, In this paper, we re-examine the impact of the exchange rate fluctuations on export and import prices in Japan, namely the exchange rate pass-through. Instead of using the overall average indices of export and import prices, we conduct vector autoregression analyzes using goods-group level export and import prices. Considering the fact that major trade partners might differ by goods-groups, it might not be appropriate to use the standard effective exchange rate measure, which is a weighted average of currencies of trade partners based on their weights in total trade values, in such analyses. To resolve this potential problem, in this paper, we construct a new data set on the “goods-group level nominal effective exchange rate (trade value based)”. On the other hand, it is also possible that what is important is not with whom a country is trading but in which currency the prices are denominated in those transactions. To take account of this idea, we also construct a data set on the “goods-group level nominal effective exchange rate (contracting currency based)”, following the idea of Ito, Koibuchi, Sato, and Shimizu (2009). Using those two types of effective exchange rate indices, we find that the estimation results on pass-through are, sometimes, quite different from what we obtain when we use a more conventional measure of the effective exchange rate.