An Empirical Study on the Pass-Through Effect of RMB Nominal Effective Exchange Rate on Import Price ()
ABSTRACT
Starting from ERPT model,
the paper decomposes RMB nominal effective exchange rate published in BIS into
level and volatility, and analyzes the pass-through effects of RMB nominal
effective exchange rate into import price from level and volatility under GARCH
model. The conclusions are that, the pass-through effect of RMB nominal
effective exchange rate to the level of import
price is not complete, and the volatility of RMB nominal effective exchange
rate has a negative impact on the volatility of import price and also has a
time lag. Error correction mechanism shows that it needs about 8 months
for import price to return to a balanced level after the changes of exchange
rate.
Share and Cite:
Xia, A. (2017) An Empirical Study on the Pass-Through Effect of RMB Nominal Effective Exchange Rate on Import Price.
Modern Economy,
8, 181-190. doi:
10.4236/me.2017.82012.
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