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題名 匯率轉嫁效果-動態追蹤資料的分量迴歸分析
Exchange rate pass-through into inflation: a dynamic panel Quantile analysis作者 李婉璘
Li, Wan Lin貢獻者 林馨怡
李婉璘
Li, Wan Lin關鍵詞 匯率轉嫁效果
通貨膨脹
分量迴歸
動態追蹤資料
Exchange rate pass-through
Inflation
Quantile regression
Dynamic panel data日期 2011 上傳時間 30-Oct-2012 10:46:40 (UTC+8) 摘要 開放經濟中，匯率可以透過競爭效果及進口型的通貨膨脹抬升價格，或藉由資產負債效果造成通貨緊縮。本文依循 Carranza et al. (2009) 的實證模型，控制美元化程度的影響，並使用Lin (2010) 的動態分量迴歸方法，針對1974Q1-2010Q4期間80個國家，檢驗不同通貨膨脹水準下的匯率轉嫁效果。總體而言，通膨愈高的時候，匯率貶值的擴張效果愈強；但當通膨降低，其強度也隨之減弱。此結果在考慮其他解釋變數或不同貶值情形後仍維持穩健。而當進一步檢視不同國家或期間的匯率轉嫁效果，匯率對通貨膨脹的正向效果，在中低所得國家中普遍較強，但在1995年後減弱，甚至轉為負向。Taylor（2000）的假說，得以在本文大部分的實證結果中證實。
In an open economy, exchange rate could either increase prices by competitiveness effect and imported inflation, or be disinflationary through the balance-sheet effect. Controlling for the impact induced by the degree of dollarization, I follow the empirical model of Carranza et al. (2009) with a wide panel of 80 countries over 1974Q1-2010Q4. The exchange rate pass-through is investigated at various inflation levels in a dynamic panel quantile analysis suggested by Lin (2010). In general, exchange rate depreciation is more inflationary the higher inflation levels, but the magnitude of pass-through is reduced as inflation become lower. Also, the results are robust with respect to add other explanatory variables or take the depreciation cases into account. Furthermore, to investigate the pass-through across countries or periods, the positive impact of exchange rate on inflation is greater in middle- and low-income countries, but declines and even becomes negative after 1995. The hypothesis in Taylor (2000) is thus confirmed in most part of our empirical results.參考文獻 Aghion, P., Bacchetta, P. and Banerjee, A. (2001). Currency crises and monetary policy in an economy with credit constraints. European Economic Review, 45, 1121--1150. Arellano, M., and Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58, 277--297. Anderson, T., and Hsiao, C. (1981). Estimation of Dynamic Models with Error components. Journal of the American Statistical Association, 76(375), 598--606. Auer, R. and Chaney, T. (2009). Exchange Rate Pass-Through in a Competitive Model of Pricing-to-Market. Journal of Money, Credit and Banking, 41, 151--175. Bergin, P. R. and Feenstra, R. C. (2009). Pass-Through of Exchange Rates and Competition between Floaters and Fixers. Journal of Money, Credit and Banking, 41, 35--70. Bigio, S. and Salas, J. (2006). Non-linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru. Working Paper of the Banco Central de Reserva del Peru. Calvo, G. A. and Reinhart, C. (2002). Fear of floating. Quarterly Journal of Economics, 117, 379--408. Campa, J. M. and Goldberg, L. (2005). Exchange rate pass-through into import prices. Review of Economics and Statistics, 87 (4), 679--690. Carranza, L., Galdon-Sanchez, J. E. and Gomez Biscarri, J. (2008). The Relationship between Investment and Large Exchange Rate Depreciations in Dollarized Economies. Working Paper 01/08, Universidad de Navarra. Carranza, L., Galdon-Sanchez, J. E. and Gomez-Biscarri, J. (2009). Exchange rate and inflation dynamics in dollarized economies. Journal of Development Economics, 89 (1), 98--108. Ca`Zorzi, M., Hahn, E. and Sanchez, M. (2007). Exchange Rate Pass-Through in Emerging Markets. ECB Working Paper, 739. Cespedes, L., Chang, R. and Velasco, A. (2003). IS-LM-BP in the Pampas. IMF Staff Papers, 50(0), 143--156. Cespedes, L., Chang, R. and Velasco, A. (2004). Balance-sheet and exchange rate policy. American Economic Review, 94(4), 1183--1193. Choudhri, E. U., Faruqee, H. and Hakura, D. S. (2005). Explaining the exchange rate pass-through in different prices. Journal of International Economics, 65, 349--374. Choudhri, E. U. and Hakura, D. S. (2006). Exchange rate pass-through to domestic prices: Does the inflationary environment matter? Journal of International Money and Finance, 25, 614--639. Devereux, M.B. and Yetman, J. (2003). Price-setting and exchange rate pass-through: theory and evidence. Price Adjustment and Monetary Policy, Bank of Canada, Ottawa, 347--371. Devereux, M. B. and Yetman, J. (2010). Price-setting and exchange rate pass-through. Journal of International Money and Finance, 29, 181--200. Gust, C., Leduc, S. and Vigfusson, R. (2010). Trade integration, competition and the decline in exchange-rate pass-through. Journal of Monetary Economics, 57, 309--324. Kohlscheen E. (2010). Emerging floaters: Pass-throughs and (some) new commodity currencies. Journal of International Money and Finance, 29, 1580--1595. Levy-Yeyati, E. and Sturzenegger, F. (2003). A de facto Classification of Exchange Rate Regimes: A Methodological Note. Data Appendix for the paper: To Float or to Fix: Evidence on the Impact of Exchange Rate Regimes on Growth. American Economic Review, 93(4). Lin, H. (2010). Endogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach. National Chengchi University. Rodriguez-Lopez, J. A. (2011). Prices and Exchange Rates: Theory of Disconnect. Review of Economic Studies, 78, 1135--1177. Romer, D. (1993). Openness and inflation: theory and evidence. Quarterly Journal of Economics, 108, 869--903. Takhtamanova, Y. F. (2010). Understanding change in exchange rate pass-through. Journal of Macroeconomics, 32, 1118--1130. Taylor, J. B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44, 1389--1408. 描述 碩士
國立政治大學
經濟學系
99258024
100資料來源 http://thesis.lib.nccu.edu.tw/record/#G0099258024 資料類型 thesis dc.contributor.advisor 林馨怡 zh_TW dc.contributor.author (Authors) 李婉璘 zh_TW dc.contributor.author (Authors) Li, Wan Lin en_US dc.creator (作者) 李婉璘 zh_TW dc.creator (作者) Li, Wan Lin en_US dc.date (日期) 2011 en_US dc.date.accessioned 30-Oct-2012 10:46:40 (UTC+8) - dc.date.available 30-Oct-2012 10:46:40 (UTC+8) - dc.date.issued (上傳時間) 30-Oct-2012 10:46:40 (UTC+8) - dc.identifier (Other Identifiers) G0099258024 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/54347 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 經濟學系 zh_TW dc.description (描述) 99258024 zh_TW dc.description (描述) 100 zh_TW dc.description.abstract (摘要) 開放經濟中，匯率可以透過競爭效果及進口型的通貨膨脹抬升價格，或藉由資產負債效果造成通貨緊縮。本文依循 Carranza et al. (2009) 的實證模型，控制美元化程度的影響，並使用Lin (2010) 的動態分量迴歸方法，針對1974Q1-2010Q4期間80個國家，檢驗不同通貨膨脹水準下的匯率轉嫁效果。總體而言，通膨愈高的時候，匯率貶值的擴張效果愈強；但當通膨降低，其強度也隨之減弱。此結果在考慮其他解釋變數或不同貶值情形後仍維持穩健。而當進一步檢視不同國家或期間的匯率轉嫁效果，匯率對通貨膨脹的正向效果，在中低所得國家中普遍較強，但在1995年後減弱，甚至轉為負向。Taylor（2000）的假說，得以在本文大部分的實證結果中證實。 zh_TW dc.description.abstract (摘要) In an open economy, exchange rate could either increase prices by competitiveness effect and imported inflation, or be disinflationary through the balance-sheet effect. Controlling for the impact induced by the degree of dollarization, I follow the empirical model of Carranza et al. (2009) with a wide panel of 80 countries over 1974Q1-2010Q4. The exchange rate pass-through is investigated at various inflation levels in a dynamic panel quantile analysis suggested by Lin (2010). In general, exchange rate depreciation is more inflationary the higher inflation levels, but the magnitude of pass-through is reduced as inflation become lower. Also, the results are robust with respect to add other explanatory variables or take the depreciation cases into account. Furthermore, to investigate the pass-through across countries or periods, the positive impact of exchange rate on inflation is greater in middle- and low-income countries, but declines and even becomes negative after 1995. The hypothesis in Taylor (2000) is thus confirmed in most part of our empirical results. en_US dc.description.tableofcontents 1 Introduction 1 2 Literature Review 3 3 Econometric Methodology 14 3.1 Dynamic panel data model ................... 14 3.1.1 Inconsistency of estimation ................ 14 3.1.2 Anderson-Hsiao estimator...................... 15 3.1.3 Arellano-Bond estimator........................ 15 3.2 Quantile regression for dynamic panel data model.... 16 3.2.1 Fitted value approach ........................... 16 4 Empirical Results 19 4.1 Data ............................................ 19 4.2 Dynamic panel results .......................... 24 4.2.1 The basic analysis ….......................... 24 4.2.2 The extensive analysis ........................ 27 4.3 Results with cases of depreciation controlled .... 31 4.4 Results with different country groups.............. 34 4.5 Results of different periods....................... 36 5 Conclusions 38 References 52 A List of countries 54 B Countries in specific income levels 55 C Data sources and description 56 zh_TW dc.language.iso en_US - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0099258024 en_US dc.subject (關鍵詞) 匯率轉嫁效果 zh_TW dc.subject (關鍵詞) 通貨膨脹 zh_TW dc.subject (關鍵詞) 分量迴歸 zh_TW dc.subject (關鍵詞) 動態追蹤資料 zh_TW dc.subject (關鍵詞) Exchange rate pass-through en_US dc.subject (關鍵詞) Inflation en_US dc.subject (關鍵詞) Quantile regression en_US dc.subject (關鍵詞) Dynamic panel data en_US dc.title (題名) 匯率轉嫁效果-動態追蹤資料的分量迴歸分析 zh_TW dc.title (題名) Exchange rate pass-through into inflation: a dynamic panel Quantile analysis en_US dc.type (資料類型) thesis en dc.relation.reference (參考文獻) Aghion, P., Bacchetta, P. and Banerjee, A. (2001). Currency crises and monetary policy in an economy with credit constraints. European Economic Review, 45, 1121--1150. Arellano, M., and Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies, 58, 277--297. Anderson, T., and Hsiao, C. (1981). Estimation of Dynamic Models with Error components. Journal of the American Statistical Association, 76(375), 598--606. Auer, R. and Chaney, T. (2009). Exchange Rate Pass-Through in a Competitive Model of Pricing-to-Market. Journal of Money, Credit and Banking, 41, 151--175. Bergin, P. R. and Feenstra, R. C. (2009). Pass-Through of Exchange Rates and Competition between Floaters and Fixers. Journal of Money, Credit and Banking, 41, 35--70. Bigio, S. and Salas, J. (2006). Non-linear Effects of Monetary Policy and Real Exchange Rate Shocks in Partially Dollarized Economies: An Empirical Study for Peru. Working Paper of the Banco Central de Reserva del Peru. Calvo, G. A. and Reinhart, C. (2002). Fear of floating. Quarterly Journal of Economics, 117, 379--408. Campa, J. M. and Goldberg, L. (2005). Exchange rate pass-through into import prices. Review of Economics and Statistics, 87 (4), 679--690. Carranza, L., Galdon-Sanchez, J. E. and Gomez Biscarri, J. (2008). The Relationship between Investment and Large Exchange Rate Depreciations in Dollarized Economies. Working Paper 01/08, Universidad de Navarra. Carranza, L., Galdon-Sanchez, J. E. and Gomez-Biscarri, J. (2009). Exchange rate and inflation dynamics in dollarized economies. Journal of Development Economics, 89 (1), 98--108. Ca`Zorzi, M., Hahn, E. and Sanchez, M. (2007). Exchange Rate Pass-Through in Emerging Markets. ECB Working Paper, 739. Cespedes, L., Chang, R. and Velasco, A. (2003). IS-LM-BP in the Pampas. IMF Staff Papers, 50(0), 143--156. Cespedes, L., Chang, R. and Velasco, A. (2004). Balance-sheet and exchange rate policy. American Economic Review, 94(4), 1183--1193. Choudhri, E. U., Faruqee, H. and Hakura, D. S. (2005). Explaining the exchange rate pass-through in different prices. Journal of International Economics, 65, 349--374. Choudhri, E. U. and Hakura, D. S. (2006). Exchange rate pass-through to domestic prices: Does the inflationary environment matter? Journal of International Money and Finance, 25, 614--639. Devereux, M.B. and Yetman, J. (2003). Price-setting and exchange rate pass-through: theory and evidence. Price Adjustment and Monetary Policy, Bank of Canada, Ottawa, 347--371. Devereux, M. B. and Yetman, J. (2010). Price-setting and exchange rate pass-through. Journal of International Money and Finance, 29, 181--200. Gust, C., Leduc, S. and Vigfusson, R. (2010). Trade integration, competition and the decline in exchange-rate pass-through. Journal of Monetary Economics, 57, 309--324. Kohlscheen E. (2010). Emerging floaters: Pass-throughs and (some) new commodity currencies. Journal of International Money and Finance, 29, 1580--1595. Levy-Yeyati, E. and Sturzenegger, F. (2003). A de facto Classification of Exchange Rate Regimes: A Methodological Note. Data Appendix for the paper: To Float or to Fix: Evidence on the Impact of Exchange Rate Regimes on Growth. American Economic Review, 93(4). Lin, H. (2010). Endogeneity in Panel Data Quantile Regression Models: a Fitted Value Approach. National Chengchi University. Rodriguez-Lopez, J. A. (2011). Prices and Exchange Rates: Theory of Disconnect. Review of Economic Studies, 78, 1135--1177. Romer, D. (1993). Openness and inflation: theory and evidence. Quarterly Journal of Economics, 108, 869--903. Takhtamanova, Y. F. (2010). Understanding change in exchange rate pass-through. Journal of Macroeconomics, 32, 1118--1130. Taylor, J. B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44, 1389--1408. zh_TW
