2013 8 CPI * Taylor 2000 NOEM 1998 1 2012 4 CPI CPI 1998 2002 2003 2012 4 CPI JEL E52 F31 F064. 1 A 1000-6249 2013 08-045 - 12 2001 11 WTO 2008 2005 7 Exchange Rate Pass - through into Prices - * E - mail 549577057@ qq. com 2699 130012 10JJD790033 45
CPI 2010 60 80 Krugman 1986 Dornbush 1987 Mark - up Pricing - to - Market 2009 90 Obstfeld and Rogoff 1995 Dornbush 1987 Redux NOEM 2008 NOEM CPI Taylor 2000 CPI 1 Devereux 2002 NOEM Taylor 20 80 Campa and Goldberg 2002 OECD OECD Bailliu and Fujii 2005 11 21 Taylor 2000 Choudhri and Hakura 2006 71 2001 2007 2008 2009 2008 2011 B - P ARDL B - P B - P 2010 STAR 1 2 Taylor 1 46 Taylor
2013 8 Taylor 2000 90 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 2 2 3 3 1 w t = u t + p t = ( 1 - β) m t + βe t ( u t +1 + p ) t + 2 1 s t + p * t - p t = u t - u * t 3 m * t = u * t = p * t = 0 2 3 4 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 = 0 1 4 5 1 2 Taylor Risk - sharing Condition 3 47
CPI [ ] P t = ( 1 / 2) 1 X 1 -σ 1 /1 -σ t -τ τ = 0 6 7 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 - /2 9 1 4 feedback rule Choudhri and Hakura 2006 2 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 11 8 9 11 8 11 4 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 - /2 13 1 μ 1 = φ 1 + ρφ 2 μ 2 = φ 2 13 μ 2 /2 μ 1 μ 2 φ 2 8 11 10 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 = 1 2 3 4 z t p * t ε t Goldberg and Knetter 1997 7 1998 1 2 Taylor 2000 Taylor 48
2013 8 1998 1 2012 4 NEER CPI 1998 1 X12 BIS Wind 1a CPI 25% 2005 7 CPI a. CPI b. CPI 1 CPI CPI CPI ARDL - ECM Cholesky SVAR Chow 1b CPI 1998-2002 2003-2007 2008 2009 2010 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 0.654 PAC 0.968-0.219-0.129-0.143-0.123-0.087 Q-Stat 163.89 313.68 447.21 562.57 658.75 735.97 Prob 0.000 0.000 0.000 0.000 0.000 0.000 Chow 2 1998-2012 CPI 2003 1 2009 1 2010 1 1% 5% 1998. 012002. 12 2009. 012009. 12 2003. 012008. 12 2010. 012012. 04 2 Chow F p F LR p LR 2003 1 2. 941 0. 000 327. 898 0. 000 *** 2009 1 3. 546 0. 000 126. 787 0. 000 *** 2010 1 1. 834 0. 035 87. 250 0. 024 ** * ** *** 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 1998. 01-2002. 12 neerd 2 = neer* D t t 2009. 01-2009. 12 cpi y neer p * t 10% 5% EG JJ 14 ARDL Bound Test I( 0) I( 1) ARDL ARDL ARDLECM 15 Microfit4. 1 50 D t
3 ADF p cpi - 2. 618 0. 273 Δcpi - 10. 619 0. 000 *** y - 2. 534 0. 312 Δy - 12. 275 0. 000 *** neer - 3. 321 0. 0644 * p * i - 3. 563 0. 0361 ** 2013 8 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 - 116-114 p i = 4 5 H 0 γ 0 = γ 1 = γ 2 = γ 3 = 0 F Pesaran 2001 15 4 ARDL - ECM F p i 10% 5% 1% I 0 I 1 I 0 I 1 I 0 I 1 4 1. 90 3. 01 2. 26 3. 48 3. 07 4. 44 5 1. 81 2. 93 2. 14 3. 34 2. 82 4. 21 F 4 5 3. 92 ** 3. 21 * I( 0) I( 1) F I( 1) 4 p i = 4 F p i 4 ARDL AIC ARDL 2 1 1 1 1 2 5 6 CUSUM CUSUM - SQ 5% 5 6 0. 136 0. 031 1998. 01-2002. 12 7. 5% 2009. 01-2009. 12 0. 29% 1998. 01-2002. 12 2% 2009 2. 83% 2. 61% 3. 1% 2008 51
CPI 2009 5 ARDL ARDL 2 1 2 t y 0. 9453 3. 48 *** neer - 0. 1359 2. 36 * p * t 0. 09959 0. 33 neerd1 0. 0609 1. 12 * neerd2 0. 0029 0. 99 F 623. 419 R 2 0. 9797 6 ARDL ARDL - ECM 2 1 2 t Δcpi -1 0. 2701 3. 5762 *** Δy - 0. 0524-5. 0642 *** Δneer - 0. 0310-1. 9531 ** Δp * 0. 04704 3. 2865 *** Δneerd1 0. 0238-2. 7093 *** Δneerd2 0. 0027-10. 5062 *** Δneerd2-1 0. 0049 1. 6546 ecm - 1 0. 0019-1. 6246 F 42. 222 R 2 0. 65598 M2 CPI VAR SVAR Cholesky VAR SVAR Granger ADF I 52
1 Granger Granger SVAR 2012 SVAR 2013 8 7 cpi 1 Δcpi 1 cpi 2 Δcpi 2 neer 1 Δneer 1 ADF - 0. 248227-8. 552541-2. 247426-8. 043306-1. 402882-6. 019751 p 0. 5926 0. 0000 *** 0. 1911 0. 0000 *** 0. 1479 0. 0000 *** neer 2 Δneer 2 imp 1 Δimp 1 imp 2 Δimp 2 ADF 0. 409624-7. 215063 0. 244394-11. 51457-0. 570315-4. 986642 p 0. 7998 0. 0000 *** 0. 4681 0. 0000 *** 0. 7536 0. 0000 *** m2 1 Δm2 1 m2 2 Δm2 2 ADF 0. 070812-10. 26295-0. 367986-3. 660537 p 0. 7014 0. 0000 *** 0. 5499 0. 00003 *** 1 2 8 Granger F p Δneer 1 Granger Δimp 1 0. 76240 0. 5552 Granger Δimp 1 Granger Δcpi 1 0. 53651 0. 7096 Δneer 1 Granger Δm2 1 1. 01838 0. 4078 Granger Δm2 1 Granger Δcpi 1 1. 41312 0. 2446 Δneer 2 Granger Δimp 2 7. 88657 1. E - 05 *** Granger Δimp 2 Granger Δcpi 2 8. 79744 4. E - 06 *** Δneer 2 Granger Δm2 2 3. 81774 0. 0063 *** Granger 4 Δm2 2 Granger Δcpi 2 3. 04582 0. 0206 *** A = 1 0 0 a 21 1 0 a 31 a 32 1 2 a1 6 3% 2 a2 4 0. 4% 2 b1 4 M2 CPI 5 b2 53
CPI 2 SVAR Taylor 2000 NOEM 1998 1 2012 4 CPI Granger SVAR 54
2013 8 Taylor 2000 Bailliu J. and Fujii E. 2005 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. 333-359. Campa M. and S. Goldberg 2002 Exchange Rate Pass - Through into Import Prices Macro or Micro Phenomenon Research Paper No. 475. Choudhri U. and Hakura S. 2006 Exchange Rate Pass - Through to Domestic Prices Does the Inflationary Environment Matter Journal of International Money and Finance No. 25 pp. 614-639. Devereux B. Engel C. and Storgaard E. 2002 Endogenous Exchange Rate Pass - Through When Nominal Prices Are Set in Advance HKIMR Working Paper No. 21. Dornbusch R. 1976 Expectations and Exchange Rate Dynamics Journal of Political Econony 84 6 pp. 1161-1176. Goldberg K. and Knette M. 1997 Good Prices and Exchange Rates What Have We Learner Journal of Economic Literature 35 3 pp. 1243-1272. Krugam P. 1986 Pricing to Market When the Exchange Rate Changes Working Paper No. 1926. Obstfeld M. and Rogoff K. 1995 Exchange Rate Dynamics Redux Journal of Political Economy 103 3 pp. 624-660. Pesaran M. H. Shin Y. and Smith R. J. 2001 Bounds Testing Approaches to the Analysis of Level Relationships Journal of Applied Econometrics No. 16 pp. 289-326. 55
CPI Taylor J. B. 2000 Low Inflation Pass - Through and the Pricing Power of Firms European Economic Review No. 44 pp. 1389-1408. 2001 6 79-88 2007 VAR 4 1-13 2008 4 52-62 2012 4 101-112 2009 1 140-145 2008 3 28-41 2009 6 44-59 2008 8 52-64 2010 5 3-26 2009 ARDL - ECM 6 53-64 2011 5 3-14 2010 11 51-61 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 1998. 01-2012. 04 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