CPI Krugman 1986 Dornbush 1987 Mark - up Pricing - to - Market Obstfeld and Rogoff 1995 Dornbush 1987 Redux NOEM 2008 NOEM CPI Tayl

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1 CPI * Taylor 2000 NOEM CPI CPI CPI JEL E52 F31 F A WTO Exchange Rate Pass - through into Prices - * E - mail @ qq. com JJD

2 CPI Krugman 1986 Dornbush 1987 Mark - up Pricing - to - Market Obstfeld and Rogoff 1995 Dornbush 1987 Redux NOEM 2008 NOEM CPI Taylor 2000 CPI 1 Devereux 2002 NOEM Taylor Campa and Goldberg 2002 OECD OECD Bailliu and Fujii Taylor 2000 Choudhri and Hakura B - P ARDL B - P B - P 2010 STAR 1 2 Taylor 1 46 Taylor

3 Taylor Taylor 1 Taylor Taylor NOEM Bergin and Feenstra 2001 NOEM E t! t = 0 β[ logu t + log( M t /P ) - L ] U logu t P t σ / ( σ -1) ( σ -1)/σ [ d i ] U t = 1 t ( i) 0U t t [ i ] P t = 1 t ( i) 0P 1 -σ d 1 / ( 1 -σ) M t /P t L t β w t = u t + p t = ( 1 - β) m t + βe t ( u t +1 + p ) t s t + p * t - p t = u t - u * t 3 m * t = u * t = p * t = w t = s t = m t + βe s t +1 - s ( ) t / ( 1 - β) Taylor Taylor Cobb - Douglas Y t = AZ α t L 1 -α t Y t Z t L t P - t Z t W t 6 C t = P - α t W 1 -α t 6 Taylor 2000 P t +τ ( i ) = X t τ = Taylor Risk - sharing Condition 3 47

4 CPI [ ] P t = ( 1 / 2) 1 X 1 -σ 1 /1 -σ t -τ τ = X 1 t X t 7 x t = 1 E 2 1 t c t +τ 8 τ = 0 p t = ( x t + x ) t - / feedback rule Choudhri and Hakura s t = - ρx t -1 + v t 10 ρ( > 0) v t 7 ν P - t = ( 1 - ν) P t + ν( S t P * ) 3 10 t c t = αp t + α( s t + p * ) + ( t 1 - α) w t x t x t = φ 1 x t -1 + φ 2 ν t 12 φ i ρ α 10 9 p t = μ 1 p t -1 + μ 2 ( s t + s ) t - / μ 1 = φ 1 + ρφ 2 μ 2 = φ 2 13 μ 2 /2 μ 1 μ 2 φ ρ μ 2 ρ μ 1 ρ ρ ρ μ 2 μ 1 13 p t = π 1 ( L) p t -1 + π 2 ( L) s t + π 3 ( L) z t + π 4 ( L) p * t + ε t 14 π i ( L) i = z t p * t ε t Goldberg and Knetter Taylor 2000 Taylor 48

5 NEER CPI X12 BIS Wind 1a CPI 25% CPI a. CPI b. CPI 1 CPI CPI CPI ARDL - ECM Cholesky SVAR Chow 1b CPI Taylor Chow Taylor 50 Chow 1 CPI CPI AR 2 49

CPI cpi t = 1. 192cpi t -1 15. 83-0. 214cpi t -2-2. 83 + ^u t R 2 = 0. 9428 D. W. = 2. 035 表 1 CPI 序列自相关性检验表 Autocorrelation Partial Correlation 1 2 3 4 5 6 AC 0.968 0.922 0.868 0.805 0.733 0.

6 CPI cpi t = cpi t cpi t ^u t R 2 = D. W. = 表 1 CPI 序列自相关性检验表 Autocorrelation Partial Correlation AC PAC Q-Stat Prob Chow CPI % 5% Chow F p F LR p LR *** *** ** * ** *** 10% 5% 1% 14 D t CPI cpi y neer p t z t s t p * * t Campa and Goldberg 2002 p t = neer t * p t /reer t reer t ARDL D t = 1 D t = 0 neerd 1 = neer* D t t neerd 2 = neer* D t t cpi y neer p * t 10% 5% EG JJ 14 ARDL Bound Test I( 0) I( 1) ARDL ARDL ARDLECM 15 Microfit D t

7 3 ADF p cpi Δcpi *** y Δy *** neer * p * i ** Δcpi t p 0 = i = 1 β 1i Δcpi ( ) t -i p 1 + i = 0 β 2i Δy ( ) t -i p 2 + i = 0 β 3i Δneer ( ) t -i p 3 + ( β 4i Δp * ) t - i + γ 0 cpi t -1 + γ 1 y t -1 + γ 2 neer t -1 + γ 3 p * t -1 + ε t i = 0 AIC SBC p i 6 ARDLECM AIC SBC LM χ 2 ( 1) χ 2 ( 4) AIC SBC p i = 4 5 H 0 γ 0 = γ 1 = γ 2 = γ 3 = 0 F Pesaran ARDL - ECM F p i 10% 5% 1% I 0 I 1 I 0 I 1 I 0 I F ** * I( 0) I( 1) F I( 1) 4 p i = 4 F p i 4 ARDL AIC ARDL CUSUM CUSUM - SQ 5% % % % % 2. 61% 3. 1%

8 CPI ARDL ARDL t y *** neer * p * t neerd * neerd F R ARDL ARDL - ECM t Δcpi *** Δy *** Δneer ** Δp * *** Δneerd *** Δneerd *** Δneerd ecm F R M2 CPI VAR SVAR Cholesky VAR SVAR Granger ADF I 52

9 1 Granger Granger SVAR 2012 SVAR cpi 1 Δcpi 1 cpi 2 Δcpi 2 neer 1 Δneer 1 ADF p *** *** *** neer 2 Δneer 2 imp 1 Δimp 1 imp 2 Δimp 2 ADF p *** *** *** m2 1 Δm2 1 m2 2 Δm2 2 ADF p *** *** Granger F p Δneer 1 Granger Δimp Granger Δimp 1 Granger Δcpi Δneer 1 Granger Δm Granger Δm2 1 Granger Δcpi Δneer 2 Granger Δimp E - 05 *** Granger Δimp 2 Granger Δcpi E - 06 *** Δneer 2 Granger Δm *** Granger 4 Δm2 2 Granger Δcpi *** A = a a 31 a a1 6 3% 2 a % 2 b1 4 M2 CPI 5 b2 53

10 CPI 2 SVAR Taylor 2000 NOEM CPI Granger SVAR 54

11 Taylor 2000 Bailliu J. and Fujii E Exchange Rate Pass - Through and the Inflation Environment in Industrialized Countries An Empirical Investigation Bank of Canada Working Paper No. 21. Bergin P. and R. Feenstra 2001 Pricing - to - Market Staggered Contracts and Real Exchange Rate Persistence Journal of International Economics 54 2 pp Campa M. and S. Goldberg 2002 Exchange Rate Pass - Through into Import Prices Macro or Micro Phenomenon Research Paper No Choudhri U. and Hakura S Exchange Rate Pass - Through to Domestic Prices Does the Inflationary Environment Matter Journal of International Money and Finance No. 25 pp Devereux B. Engel C. and Storgaard E Endogenous Exchange Rate Pass - Through When Nominal Prices Are Set in Advance HKIMR Working Paper No. 21. Dornbusch R Expectations and Exchange Rate Dynamics Journal of Political Econony 84 6 pp Goldberg K. and Knette M Good Prices and Exchange Rates What Have We Learner Journal of Economic Literature 35 3 pp Krugam P Pricing to Market When the Exchange Rate Changes Working Paper No Obstfeld M. and Rogoff K Exchange Rate Dynamics Redux Journal of Political Economy pp Pesaran M. H. Shin Y. and Smith R. J Bounds Testing Approaches to the Analysis of Level Relationships Journal of Applied Econometrics No. 16 pp

12 CPI Taylor J. B Low Inflation Pass - Through and the Pricing Power of Firms European Economic Review No. 44 pp VAR ARDL - ECM Text of the effect of nominal effective exchange rate pass - through into CPI Based on the inflation environment changes Guangyu He Xiaobo Pang Abstract Through merge the Taylor 2000 staggered price model with the new open macroeconomics model NOEM make the inflation environment and the exchange rate pass - through into domestic prices together. Select the data from to calculate nominal effective exchange rate pass - through effect on consumer prices in the different inflation environment then test the pulse effect based on the channels. The empirical results show that the short and long term effects of the nominal effective exchange rate movements pass - through effect on consumer price low and influenced by inflation environmental obviously from early 1998 to late 2002 continnously low inflation environment has hindered all channels of the exchange rate pass - through under the inflation environment the effect of monetary channels of exchange rate pass - through is significantly higher than the effect of import price channels bct the sign of the effect is negative. Recommendations on policies has been made in accordance w ith the conclusion of empirical studies. Keywords Exchange Rate Pass - Through Consumer Price Inflation Environment Monetary Policy. 56

31 3 Vol. 31 No Research of Finance and Education May ,,, BS,,,,, ; ; ; ; : F : A : ( 2018)

31 3 Vol. 31 No Research of Finance and Education May ,,, BS,,,,, ; ; ; ; : F : A : ( 2018) 3 3 Vol. 3 No. 3 208 5 Research of Finance and Education May. 208 730000,,, BS,,,,, ; ; ; ; : F830. 92 : A : 2095-0098( 208) 03-002 - 2005 30% 202 ± % 204 3 ± 2% 205 8 Rogoff 996 PPP PPP 30 - B - S B -