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Research on the Effect of RMB Exchange Rate Pass-through on Domestic Prices in China

Author: LinLin
Tutor: WuXinRu
School: East China Normal University
Course: Finance
Keywords: RMB exchange rate Exchange rate pass-through Domestic prices (CPI)
CLC: F832.6;F726
Type: Master's thesis
Year: 2009
Downloads: 463
Quote: 3
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Abstract


Prices and exchange rate, the two core economic variables in an open economy, are closely related with each other, which have a significant effect on economic activities. On July 21st, 2005, RMB exchange rate against US dollar appreciated by 2%. Since then, China started to reform the exchange rate regime by moving into a managed floating exchange rate regime based on market supply and demand with reference to a basket of currencies. RMB exchange rate regime has been improved with greater flexibility. Meanwhile, China’s consumer prices rise continuously. This paper investigates the effect of RMB exchange rate pass-through on domestic prices in China. First, the paper summarizes the main pass-through theories, and observes the fluctuations of RMB exchange rate and China’s CPI from 1994 to 2008. Then we conduct an empirical study by means of co-integration and vector error correction model, using monthly data from January 2001 to December 2008. The results show all the six variables are co-integrated in the long run, while the effect of RMB exchange rate pass-through on China’s CPI is weak. The major factors that influence China’s CPI include CPI itself, corporate goods price index （CGPI）, and money supply.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Price
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