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Articles
  • An Empirical Study Of The Incomplete Pass-through Of RMB Exchange Rate to Chinese Price Level   [MASS 2012]
  • Author(s)
  • Bo Li, Guosong Wang
  • ABSTRACT
  • The incomplete pass-through of exchange rate to price has long been a question of interest in international economics. In this paper we attempt to investigate this issue in China. By OLS regression and Engle-Granger, we make an empirical test with CPI and NEER, monthly data from January 2002 to December 2011 in China, and find that the RMB exchange rate pass-through is incomplete, which has much revelatory significance for government making economic policy.
  • KEYWORDS
  • exchange rate pass-through; NEER; CPI; OLS regression
  • References
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    R.Dornbusch, "Exchange rates and prices,"American Economic Review, 1987(77) pp.93 106.
    [2]
    J.B.Taylor, "Low inflation pass-through and the pricing power of firms,"European Economic Review, 2000(44) pp.1389-1408.
    [3]
    Jonathan Mc Carthy, "Pass-through of exchange rates and import prices to domestic inflation in some industrialized economies,"BIS Working Papers, 2000, No.79.
    [4]
    J. Bailliu and R..Fujii. 2004, "Exchange rate pass-through and the inflation environment industrialized countries: an empirical investigation," Bank of Canada Working Papers 21.
    [5]
    Yongxiang Bu, "Impact of RMB exchange rate change to domestic price level,"Journal of Financial Research, 2001(3) pp.78-88.
    [6]
    Yujiang Bi and Zhongdi Zhu, "A study on RMB exchange rate pass- through effect based on cointegration and error correction model," Journal of Finance and Economics, 2006(7) pp.53-62.
    [7]
    Beilin Feng, "An analysis about inflation in view of exchange rate pass- through effect and microeconomic shock,"Journal of Shanxi Finance and Economics, 2009(2) pp.40-46.
    [8]
    Keqin Ni, Wei Cao, "A research on incomplete effect of RMB exchange rate pass-through: theoretical analysis and empirical study,"Journal of Financial Research, 2009(6) pp.44-59.

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