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The relationship between exchange changes our country exchange rate pass through effect and inflation

Author: LiuZuo
Tutor: WangXueHong
School: Yunnan University of Finance
Course: Finance
Keywords: Exchange rate pass-through effect inflation monetary policy nominal effective exchange rate
CLC: F832.6
Type: Master's thesis
Year: 2013
Downloads: 10
Quote: 0
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Abstract


Deepening of the world economic opening-up and cooperation, changes in acountry’s exchange rate would not only impact their economies but also haveprofound implications for the economies of other countries. Therefore, all countriesattach great importance to their exchange rate changes and exchange rate regime. July21,2005, the People’s Bank of China announced that the RMB is no longer pegged tothe U.S. dollar exchange rate system, introduced to swap a managed floatingexchange rate system based on market supply and demand with reference to a basketof currencies. At this point, the RMB exchange rate mechanism more flexible, changetends to be enhanced, and thus the impact on the domestic economy is more extensiveand in-depth. In the meantime, it is worth noting that in the RMB exchange rate stable,high-frequency dynamic appreciation of the process, the traditional economic theorycan not explain the strange phenomenon, for example, in the case of the RMBexchange rate escalating, China’s inflation why the pressure is still great? RMBappreciation on China’s inflation inhibited, and this inhibition is weakened in theconduct of monetary policy process? And so on.Based on the above issues and thinking, the pass-through effect of the exchangerate and objective introduction to the theory research, analysis and the use ofempirical analysis on the impact of the RMB exchange rate on domestic inflation.Qualitative model unit root test, co-integration test and Granger causality test analysis.In a theoretical study, pay more attention to practicality, provides some basis for ourpart in the development of policy, reform the system.By use of the above methods, the paper analyzes the reason after China’sexchange rate reform, the RMB nominal exchange rate movements as well as theappreciation of the RMB. Combined with the characteristics of China’s inflation inChina in recent years, to explore the main reason for rising prices in China. Andanalyzed on the basis of the existing literature on the role between the nominaleffective exchange rate and CPI, PPI data is from July2005to December2012, monthly data for econometric tests to arrive at these relationships between variables,as well as the degree of mutual influence.Through empirical analysis, we found the country after the CPI and PPI arepresent in the reform of the RMB exchange rate pass-through effect of the exchangerate, long demurrage However, due to the CPI and PPI. Pass-through effect not onlyalso showed a gradually decreasing. But relatively speaking, the impact of PPI isgreater than the impact on the CPI, the main reason may be a change in the exchangerate first import prices, and then passed through the intermediate goods to thedomestic market. As a non-fully passed on to the price of export goods in thetransmission process, imports of intermediate goods is only part of the final product,so the pass rate on consumer prices is decreasing. Therefore, to solve our country’srecent inflation, policy efforts should be said on the exchange rate policy think othermacro-and micro-economic policies, theory and practice to put forward concretemeasures.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Exchange rate,foreign financial relations
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