Title 日本の輸入財市場における PTM の検証 Author(s) 新開, 潤一 Citation 大阪大学経済学. 57(1) P.60-P.73 Issue Date Text Version publisher URL

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1 Title 日本の輸入財市場における PTM の検証 Author(s) 新開, 潤一 Citation 大阪大学経済学. 57(1) P.60-P.73 Issue Date Text Version publisher URL DOI /16614 rights

2 Vol.57 No.1 June 2007 PTM Keywords: PTM(Pricing-to-market) JEL Classification: F14, F20, F31 1 EU ( ) 3 Krugman (1987) PTM (pricing-to-market) (:pass-through) Kimura, Ando and Fujii (2002)

3 June 2007 PTM 61 2 PTM 3 Obstfeld and Rogoff (1995) 4 Betts and Devereux (1996) (2002) PTM (producers currency pricing 5 PCP) (local currency pricinglcp) PCP LCP 2 PTM 2.1 PTM OLS Krugman (1987) PTM PTM p (1) p = ep (1) OLS e p

4 62 Vol.57 No.1 (pass-through) (2) q q = q(mc, e,ɛ) q ep (2) (1) 10 () 10 () MC ɛ PTM PTM PTM 2.2 PTM Knetter (1993) 4 PTM PTM ,, (2003) CGPI

5 June 2007 PTM Takeda (2002) HS NIEs ASEAN Takagi and Yoshida (1999) PTM Kimura, Fujii and Ando (2002)Takeda (2002) Takagi and Yoshida (1999) HS 9 NIEs ASEAN 2 Kimura, Fujii and Ando (2002) PTM PTM HS Kimura, Fujii and Ando (2002) Takeda (2002) 2 8 (international production networks)

6 64 Vol.57 No.1 3 HS (Takeda 2002) HS PTM 5 DRAM(HS , )MPU( ) SRAM( ) ( ) ( ) ( ) 6 ( ) ( ) ( ) ( ) ( ) ( ) ( ) 7 T ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 8 21 IMF International Financial Statistics 9 3 Takeda (2002)Takagi and Yoshida (1999) 4 5 1

7 June 2007 PTM 65 1: HS DRAM() :1-2001:12 MPU() :1-2001:12 SRAM() :1-2001:12 () :1-2001:12 ( 100mA ) ( 1W ) :1-2001:12 () :1-2001:12 ( 16 9 ) :1-2001:12 () :1-2001: :1-2001: :1-2001: :1-2001: :1-2001: :1-2001:12 T :1-2001: :1-2001: :1-2001: :1-2001: :1-2001: :1-2001: :1-2001: :1-2001:12 6 p k i,t = α i + βe i,t + u i,t (3) i t k p i,t 6 (augmented Dickey-Fuller test) (Engel- Granger test) (error correction model) 1 e i,t u i,t β e i,t β β 1 0 <β<1 β = 0

8 66 Vol.57 No.1 β 0 0 <β 1 β 0 7 p k i,t = α + μ i + βe i,t + δwpi k t + u i,t (4) μ i wpi t OLS 8 p k t = α i + βe t + δwpi k t + u t (5) β β 2: (β) P () 1 DRAM 0.269* SRAM MPU *** *** ** () *** *** *** () 1 T *** *** *** * *** *** *** OLS specification test 8 Durbin-Watson OLS AR1 9 OLS AR(1) AR(1) <β 1*, **, ***10,5,1 2 β DRAM 0.37 OLS OLS

9 June 2007 PTM 67 3: OLS (β) China Korea Malaysia Singapore Taiwan Thailand US () 1 DRAM * 2.922*** 1.559*** SRAM 0.665** *** 1.538*** 3 MPU *** *** 3.13*** *** 0.931*** 0.42** 0.814*** 4.391*** * *** *** ** () *** *** 1.534*** *** * *** 0.404** 3.992*** 0.22*** 2.09** *** ** *** *** 0.758** 0.487** () 1 T ** 0.347** 0.575*** *** *** 0.364** 0.755** 0.812*** * 4.939*** 1.157*** ** 0.42* 0.397*** 0.546** *** 0.635*** 0.538*** 0.576* *** ** OLS 0 0 <β 1 *, **, ***10,5, OLS 1 DRAMSRAMMPU DRAM SRAM MPU

10 68 Vol.57 No β OLS 1 DRAM SRAMMPU T OLS

11 June 2007 PTM 69 SRAMMPU MPU

12 70 Vol.57 No.1 WTO 5 DRAM SRAM 1.76MPU DRAM Takeda (2002) Kimura, Fujii and Ando (2002) 3

13 June 2007 PTM 71 Kimura, Fujii and Ando (2002) Obstfeld (2002) Obstfeld (2002) [1] (2002) PTM(Pricing-to-Market) 21, 3,1-54. [2],, (2003) 22, 3, [3], ( index.htm). [4] Bacchetta, Philippe and Eric van Wincoop (2002) A Theory of the Currency Denomination of International Trade, NBER Working Paper No [5] Betts, Caroline and Michael B. Devereux (1996) The Exchange Rate in a Model of Pricing-to-Market, European Economic Review, 40,

14 72 Vol.57 No.1 [6] Campa, José Manuel, Linda S. Goldberg [14] Obstfeld, Maurice and Kenneth Rogoff and José M. González-Mínguez (2005) (1995) Exchange Rate Dynamics Redux, Exchange-Rate Pass-Through to Import Journal of Political Economy, 103(3), 624- Prices in the Euro Area, NBER Working Paper No [7] Gagnon, Joseph E and Michael M Knetter 660. [15] Obstfeld, Maurice (2002) Exchange Rates and AdjustmentPerspectives from the New (1995) Markup Adjustment and Exchange Open-Economy Macroeconomics, Monetary Rate Fluctuations: Evidence from Panel Data and Economic Studies, 20(S-1), on Auto Mobile Exports, Journal of International Money and Finance, 14(2), [16] Rogoff, Kenneth (1996) The Purchasing Power Parity Puzzle, Journal of Economic [8] International Monetary Fund, International Financial Statistics CD-ROM. [9] Kimura, Fukunari, Takamune Fujii and Mitsuyo Literature, XXXIV, [17] Takagi, Shinji and Yushi Yoshida (1999) Exchange Rate Movements and Tradable Goods Ando (2002) International Production Prices in East Asia: An Analysis Based Networks as a Shock Absorber: Evidence on Japanese Customs Data, , IMF from Japanese Import Price Data, Paper presented at the International Conference on The Asian Crisis, IV: The Recovery and the Rest of the World) Taipei, July [10] Kimura, Fukunari (forthcoming) International Production and Distribution Networks in East Asia: 18 Facts Mechanics, and Policy Implication, Asian Economic Policy Review. [11] Knetter, Michael M (1993) International Comparisons of Pricing-to-Market Behavior, American Economic Review, 83, [12] Krugman, Paul (1987) Pricing to Market When the Exchange Rate Changes, Real- Financial Linkages among Open Economies, ed.bys.w.arndtandj.d.richardson (Cambridge, Mass: MIT Press). [13] Krugman, Paul (1989) Exchange-rate instability, MIT Press. Working Paper. [18] Takeda, Fumio (2002) Exchange Rate Pass- Through in East Asian Manufacturing, paper presented at the TCER conference, Taipei, Taiwan, July. 26. [19] Taylor, John B. (2000) Low Inflation, Pass- Through, and the Pricing Power of Firms, European economic review, 44, [20] The Central Bank of China, Financial Statistics Monthly (

15 June 2007 PTM 73 PTM Analysis in Japanese Import Market Junichi Shinkai This paper examines the exchange rate pass-through of 21 goods on Japan imported from East Asia during It s focus is to investigate the difference across industries and across countries. The panel data analyses show that the incomplete pass-through exists in household appliances and clothing market as compared to semiconductor market. The OLS results show that complete or partial pass-through existed in the all industries in China and Malaysia, but at least half the imported goods from Korea and Thailand was not affected by exchange rate movements. This result indicates that in East Asia there are international production networks that tend to reduce pass-through. In addition, it turned out that there are countries like Taiwan and Singapore that price of import goods excessively reacts to the fluctuation of the exchange rate. Thus, the results indicate that exchange rate pass-through reflects the characteristics of goods, and there was a clear difference across export countries in East Asia. JEL Classification: F14, F20, F31 Key Words: Exchange rate, pass-through, PTM(Pricing-to-market), International production network

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