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題名 不同物價環境下之匯率轉嫁效果
Exchange rate pass-through at different price levels
作者 林柏君
Lin, Po Chun
貢獻者 吳中書<br>郭炳伸
Wu, Chun Shu<br>Kuo, Bing Shen
林柏君
Lin, Po Chun
關鍵詞 匯率轉嫁
通貨膨脹
通貨緊縮
門檻模型
Exchange rate pass-through
Inflation
Deflation
Threshold model
日期 2011
上傳時間 30-Oct-2012 10:10:47 (UTC+8)
摘要 本論文探討不同的物價環境對匯率轉嫁程度的影響。有別於既有文獻將通貨緊縮納入低通膨的區間一併討論，本論文特別區分通貨緊縮與低且正的通膨區間，估計不同物價環境下的匯率轉嫁效果。
利用門檻迴歸模型（threshold model）及台灣1981-2008年的資料，且區分能源價格及非能源價格，本文的實證結果顯示，通貨緊縮考慮與否將影響匯率轉嫁程度與通膨、通縮環境的關係。不同於既有文獻發現匯率轉嫁效果與通膨環境呈正相關，本文發現通貨緊縮環境下的匯率轉嫁效果會提高。此外，包含能源價格之匯率轉嫁效果隨物價環境變化的幅度較大，與既有文獻的看法一致。
因此，在匯率轉嫁效果與物價環境的分析上，明確區分通貨緊縮的情況有其必要性，否則可能形成偏誤之推論。
This dissertation incorporates inflation and deflation in the analysis of exchange rate pass-through at different price levels. Because the existing literature generally consider deflation as part of low inflation, pass-through estimates tend to be considered the same for these two regimes. This study separates the effects of deflation and low positive inflation and estimates the pass-through for different price levels.
This dissertation uses a nonlinear model with aggregate and disaggregate import prices data from 1981–2008 in Taiwan to first examine the pass-through for two regimes of high inflation and low inflation. The results confirm the notion in the literature that a positive relationship exists between pass-through and inflation. Then, this dissertation extends the model to a three-regime setting, including high inflation, low positive inflation, and deflation. When deflation is clearly defined in a three-regime model, the degree of exchange rate pass-through is found to be increasing in both high inflation and deflation. The positive relationship at all price levels is no longer valid while the effect of deflation is separated from that of low inflation. In Taiwan, the pass-through becomes inversely greater as the inflation rate falls into a deflationary regime. That the pass-through is higher in a deflationary regime became particularly obvious after the 1997 financial crisis. Contrary to the results predicted by the positive relationship, this analysis does not find an unlimited downward trend for the pass-through. A rebound occurs in the degree of pass-through once deflation is clearly identified, and this pattern is also found for half of the importing industries categorized using the Standard International Trade Classification (SITC).
In addition, the results are consistent with the notion that oil prices usually fluctuate much more than the prices of other imports. The estimates show that the pass-through changes the most for fuels and related materials. Obviously, fluctuations in the price of oil influence the measurement of the pass-through. The increase in the pass-through found in a deflationary regime becomes smaller when oil prices are excluded.
參考文獻 Al-Abri, A., & Goodwin, B. (2009), “Re-examining the exchange rate pass-through into import prices using non-linear estimation techniques: threshold cointegration,” International Review of Economics and Finance, 18(1), 142−161.
Athukorala, P. (1991), “Exchange rate pass-through: the case of Korean exports of manufactures,” Economic Letters, 35, 79-84.
Bouakez, H., & Rebei, N. (2008), “Has exchange rate pass-through really declined? Evidence from Canada,” Journal of International Economics, 75, 249-267.
Campa, J., & Goldberg, L. (2005), “Exchange rate pass-through into import prices. Review of Economics and Statistics, 87(4), 679-690.
Campa, J., & Gonzalez, J. (2006), “Differences in exchange rate pass-through in the euro area,” European Economic Review, 50(1), 121-145.
Ceglowski, J. (2010), “Exchange Rate Pass-through to Bilateral Import Prices,” Journal of International Money and Finance, 29(8), 1637-1651.
Choudhri, E., & Hakura, D. (2006), “Exchange rate pass-through to domestic prices: does the inflationary environment matter?” Journal of International Money and Finance, 25, 614-639.
Dornbusch, R. (1987), “Exchange rates and prices,” American Economic Review, 77 (1), 93-106.
Froot, K. A. & Klemperer, P. D. (1989), “Exchange Rate Pass-Through When Marke Share Matters,” American Economic Review, 79(4), 637-654.
Gagnon, J., & Knetter, M. (1995), “Markup adjustment and exchange rate fluctuations: evidence from panel data on automobile exports,” Journal of International Money and Finance, 14(2), 289-310.
Gagnon, J., & Ihrig, J. (2004), “Monetary policy and exchange rate pass-through,” International Journal of Finance and Economics, 9(4), 315-338.
Gust, C., Leduc, S., & Vigfusson, R. (2010) , “Trade integration, competition, and the decline in exchange rate pass-through,” Journal of Monetary Economics, 57(3), 309-324.
Hooper, P., & Mann, C. (1989), “Exchange rate pass-through in the 1980s: the case of U.S. imports of manufactures,” Brookings Papers on Economic Activity 1, 297-337.
Huang, E. E., Lan, C. Y., & Kuo, B. S. (2007) “Asymmetry in Exchange Rate Pass-through to Taiwan Import Prices: The Potential Role of Menu Costs”, Academia Economic Papers, 35(4), 439-472.
Ito, T., & Sato, K. (2008), “Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass-Through,” Journal of Money, Credit and Banking, 40(7), 1407-1438.
Kim, Y. (1990), “Exchange rates and imports prices in the U.S.: a varying-parameter estimation of exchange rate pass-through,” Journal of Business and Economic Statistics, 8(3), 169-210.
Knetter, M. (1989), “Price discrimination by U.S. and German exporters,” American Economic Review, 79(1), 198-210.
Knetter, M. (1993), “International comparisons of pricing-to-market behavior,” American Economic Review, 83(3), 473-486.
Knetter, M. (1995), “Pricing to market in response to unobservable and observable shocks,” International Economic Journal, 9(2), 1-25.
Krugman, P. (1987), “Pricing to market when the exchange rate changes,” Real-Financial Linkages among Open Economies, MIT Press, Cambridge, MA, 49-70.
Kohlscheen, E. (2010), “Emerging floaters: Pass-throughs and (some) new commodity currencies,” Journal of International Money and Finance, 29(8), 1580-1595.
Liu, Z. S., & Chang, M. J. (2000), “Exchange Rate Pass-through and Asymmetry to Import Prices: An Empirical Analysis of Taiwan”, Academia Economic Papers, 28(4), 439-472.
María-Dolores, R. (2010), “Exchange rate pass-through in New Member States and candidate countries of the EU,” International Review of Economics and Finance, 19(1), 23-35.
Marazzi, M., & Sheets, N. (2007), “Declining exchange rate pass-through to U.S. import prices: the potential role of global factors,” Journal of International Money and Finance, 26, 924-947.
Phillips, P.C.B, & Perron, P. (1988), “Testing for a unit root in time series regressions,” Biometrika, 75, 335-346.
Rogoff, K., Burton, D., Deppler, M. & Singhet, A. (2003), “Deflation: determinants, risks, and policy options-findings of an interdepartmental task force,” International Monetary Fund.
Sekine, T. (2006), “Time-varying exchange rate pass-through: experiences of some industrial countries,” Bank for International Settlements, Working Paper 202.
Steel, D., & King, A. (2004), “Exchange rate pass-through: the role of regime changes,” International Review of Applied Economics, 18(3), 301-322.
Taylor, J. (2000), “Low inflation, pass-through, and the pricing power of firms,” European Economic Review, 44(7), 1389-1408.
Tica, J., & Posedel, P. (2009), “Threshold autoregressive model of exchange rate pass-through effect: the case of Croatia,” Eastern European Economies, 47(6), 43-59.
Tsay, R. S. (1998), “Testing and modeling multivariate threshold models,” Journal of American Statistical Association, 93, 1188-1998.
Wang, K. L. and Wu, C. S. (1999), “Exchange Rate Pass-through and Industry Characteristics: the Case of Taiwan’s Exports of Midstream Petrochemical Products,” Exchange Rates in Rapidly Developing Countries, 338-365, Chicago: University of Chicago Press.
Wang, K. L., & Lin, S. F. (2000) “A Study of Exchange Rate Pass-through Elasticities in Taiwan’s Import Prices of Midstream Petrochemical Industries”, Academia Economic Papers, 28(1), 97-126.
Wu, C. S. (1995), “An Investigation of Exchange Rate Pass-through Effects on Taiwan Import Pirces”, Essays on Open Macroeconomic Issues, 43-61, The Institute of Economics Academia Sinica.
描述 博士
國立政治大學
國際經營與貿易研究所
94351501
100
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0943515011
資料類型 thesis
dc.contributor.advisor 吳中書<br>郭炳伸zh_TW
dc.contributor.advisor Wu, Chun Shu<br>Kuo, Bing Shenen_US
dc.contributor.author (Authors) 林柏君zh_TW
dc.contributor.author (Authors) Lin, Po Chunen_US
dc.creator (作者) 林柏君zh_TW
dc.creator (作者) Lin, Po Chunen_US
dc.date (日期) 2011en_US
dc.date.accessioned 30-Oct-2012 10:10:47 (UTC+8)-
dc.date.available 30-Oct-2012 10:10:47 (UTC+8)-
dc.date.issued (上傳時間) 30-Oct-2012 10:10:47 (UTC+8)-
dc.identifier (Other Identifiers) G0943515011en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54162-
dc.description (描述) 博士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 94351501zh_TW
dc.description (描述) 100zh_TW
dc.description.abstract (摘要) 本論文探討不同的物價環境對匯率轉嫁程度的影響。有別於既有文獻將通貨緊縮納入低通膨的區間一併討論，本論文特別區分通貨緊縮與低且正的通膨區間，估計不同物價環境下的匯率轉嫁效果。
利用門檻迴歸模型（threshold model）及台灣1981-2008年的資料，且區分能源價格及非能源價格，本文的實證結果顯示，通貨緊縮考慮與否將影響匯率轉嫁程度與通膨、通縮環境的關係。不同於既有文獻發現匯率轉嫁效果與通膨環境呈正相關，本文發現通貨緊縮環境下的匯率轉嫁效果會提高。此外，包含能源價格之匯率轉嫁效果隨物價環境變化的幅度較大，與既有文獻的看法一致。
因此，在匯率轉嫁效果與物價環境的分析上，明確區分通貨緊縮的情況有其必要性，否則可能形成偏誤之推論。		zh_TW
dc.description.abstract (摘要) This dissertation incorporates inflation and deflation in the analysis of exchange rate pass-through at different price levels. Because the existing literature generally consider deflation as part of low inflation, pass-through estimates tend to be considered the same for these two regimes. This study separates the effects of deflation and low positive inflation and estimates the pass-through for different price levels.
This dissertation uses a nonlinear model with aggregate and disaggregate import prices data from 1981–2008 in Taiwan to first examine the pass-through for two regimes of high inflation and low inflation. The results confirm the notion in the literature that a positive relationship exists between pass-through and inflation. Then, this dissertation extends the model to a three-regime setting, including high inflation, low positive inflation, and deflation. When deflation is clearly defined in a three-regime model, the degree of exchange rate pass-through is found to be increasing in both high inflation and deflation. The positive relationship at all price levels is no longer valid while the effect of deflation is separated from that of low inflation. In Taiwan, the pass-through becomes inversely greater as the inflation rate falls into a deflationary regime. That the pass-through is higher in a deflationary regime became particularly obvious after the 1997 financial crisis. Contrary to the results predicted by the positive relationship, this analysis does not find an unlimited downward trend for the pass-through. A rebound occurs in the degree of pass-through once deflation is clearly identified, and this pattern is also found for half of the importing industries categorized using the Standard International Trade Classification (SITC).
In addition, the results are consistent with the notion that oil prices usually fluctuate much more than the prices of other imports. The estimates show that the pass-through changes the most for fuels and related materials. Obviously, fluctuations in the price of oil influence the measurement of the pass-through. The increase in the pass-through found in a deflationary regime becomes smaller when oil prices are excluded.		en_US
dc.description.tableofcontents Chapter 1 Introduction 1
1.1 Research Background 1
1.2 Research Purpose 4
1.3 Organization of the Dissertation 6
Chapter 2 Literature Review 7
Chapter 3 Theoretical Framework 10
Chapter 4 Empirical Analysis 13
4.1 Data Description 13
4.2 Model Specification 17
4.3 Threshold Tests 20
4.4 Explanations of Estimation Results 23
4.5 Possible Structural Change in 1997 30
4.6 Robustness Checks 32
Chapter 5 Conclusions 36
References 38		zh_TW
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0943515011en_US
dc.subject (關鍵詞) 匯率轉嫁zh_TW
dc.subject (關鍵詞) 通貨膨脹zh_TW
dc.subject (關鍵詞) 通貨緊縮zh_TW
dc.subject (關鍵詞) 門檻模型zh_TW
dc.subject (關鍵詞) Exchange rate pass-throughen_US
dc.subject (關鍵詞) Inflationen_US
dc.subject (關鍵詞) Deflationen_US
dc.subject (關鍵詞) Threshold modelen_US
dc.title (題名) 不同物價環境下之匯率轉嫁效果zh_TW
dc.title (題名) Exchange rate pass-through at different price levelsen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Al-Abri, A., & Goodwin, B. (2009), “Re-examining the exchange rate pass-through into import prices using non-linear estimation techniques: threshold cointegration,” International Review of Economics and Finance, 18(1), 142−161.
Athukorala, P. (1991), “Exchange rate pass-through: the case of Korean exports of manufactures,” Economic Letters, 35, 79-84.
Bouakez, H., & Rebei, N. (2008), “Has exchange rate pass-through really declined? Evidence from Canada,” Journal of International Economics, 75, 249-267.
Campa, J., & Goldberg, L. (2005), “Exchange rate pass-through into import prices. Review of Economics and Statistics, 87(4), 679-690.
Campa, J., & Gonzalez, J. (2006), “Differences in exchange rate pass-through in the euro area,” European Economic Review, 50(1), 121-145.
Ceglowski, J. (2010), “Exchange Rate Pass-through to Bilateral Import Prices,” Journal of International Money and Finance, 29(8), 1637-1651.
Choudhri, E., & Hakura, D. (2006), “Exchange rate pass-through to domestic prices: does the inflationary environment matter?” Journal of International Money and Finance, 25, 614-639.
Dornbusch, R. (1987), “Exchange rates and prices,” American Economic Review, 77 (1), 93-106.
Froot, K. A. & Klemperer, P. D. (1989), “Exchange Rate Pass-Through When Marke Share Matters,” American Economic Review, 79(4), 637-654.
Gagnon, J., & Knetter, M. (1995), “Markup adjustment and exchange rate fluctuations: evidence from panel data on automobile exports,” Journal of International Money and Finance, 14(2), 289-310.
Gagnon, J., & Ihrig, J. (2004), “Monetary policy and exchange rate pass-through,” International Journal of Finance and Economics, 9(4), 315-338.
Gust, C., Leduc, S., & Vigfusson, R. (2010) , “Trade integration, competition, and the decline in exchange rate pass-through,” Journal of Monetary Economics, 57(3), 309-324.
Hooper, P., & Mann, C. (1989), “Exchange rate pass-through in the 1980s: the case of U.S. imports of manufactures,” Brookings Papers on Economic Activity 1, 297-337.
Huang, E. E., Lan, C. Y., & Kuo, B. S. (2007) “Asymmetry in Exchange Rate Pass-through to Taiwan Import Prices: The Potential Role of Menu Costs”, Academia Economic Papers, 35(4), 439-472.
Ito, T., & Sato, K. (2008), “Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass-Through,” Journal of Money, Credit and Banking, 40(7), 1407-1438.
Kim, Y. (1990), “Exchange rates and imports prices in the U.S.: a varying-parameter estimation of exchange rate pass-through,” Journal of Business and Economic Statistics, 8(3), 169-210.
Knetter, M. (1989), “Price discrimination by U.S. and German exporters,” American Economic Review, 79(1), 198-210.
Knetter, M. (1993), “International comparisons of pricing-to-market behavior,” American Economic Review, 83(3), 473-486.
Knetter, M. (1995), “Pricing to market in response to unobservable and observable shocks,” International Economic Journal, 9(2), 1-25.
Krugman, P. (1987), “Pricing to market when the exchange rate changes,” Real-Financial Linkages among Open Economies, MIT Press, Cambridge, MA, 49-70.
Kohlscheen, E. (2010), “Emerging floaters: Pass-throughs and (some) new commodity currencies,” Journal of International Money and Finance, 29(8), 1580-1595.
Liu, Z. S., & Chang, M. J. (2000), “Exchange Rate Pass-through and Asymmetry to Import Prices: An Empirical Analysis of Taiwan”, Academia Economic Papers, 28(4), 439-472.
María-Dolores, R. (2010), “Exchange rate pass-through in New Member States and candidate countries of the EU,” International Review of Economics and Finance, 19(1), 23-35.
Marazzi, M., & Sheets, N. (2007), “Declining exchange rate pass-through to U.S. import prices: the potential role of global factors,” Journal of International Money and Finance, 26, 924-947.
Phillips, P.C.B, & Perron, P. (1988), “Testing for a unit root in time series regressions,” Biometrika, 75, 335-346.
Rogoff, K., Burton, D., Deppler, M. & Singhet, A. (2003), “Deflation: determinants, risks, and policy options-findings of an interdepartmental task force,” International Monetary Fund.
Sekine, T. (2006), “Time-varying exchange rate pass-through: experiences of some industrial countries,” Bank for International Settlements, Working Paper 202.
Steel, D., & King, A. (2004), “Exchange rate pass-through: the role of regime changes,” International Review of Applied Economics, 18(3), 301-322.
Taylor, J. (2000), “Low inflation, pass-through, and the pricing power of firms,” European Economic Review, 44(7), 1389-1408.
Tica, J., & Posedel, P. (2009), “Threshold autoregressive model of exchange rate pass-through effect: the case of Croatia,” Eastern European Economies, 47(6), 43-59.
Tsay, R. S. (1998), “Testing and modeling multivariate threshold models,” Journal of American Statistical Association, 93, 1188-1998.
Wang, K. L. and Wu, C. S. (1999), “Exchange Rate Pass-through and Industry Characteristics: the Case of Taiwan’s Exports of Midstream Petrochemical Products,” Exchange Rates in Rapidly Developing Countries, 338-365, Chicago: University of Chicago Press.
Wang, K. L., & Lin, S. F. (2000) “A Study of Exchange Rate Pass-through Elasticities in Taiwan’s Import Prices of Midstream Petrochemical Industries”, Academia Economic Papers, 28(1), 97-126.
Wu, C. S. (1995), “An Investigation of Exchange Rate Pass-through Effects on Taiwan Import Pirces”, Essays on Open Macroeconomic Issues, 43-61, The Institute of Economics Academia Sinica.		zh_TW