人民币汇率变动的出口价格传递效应研究——基于VAR模型的实证分析<br>Studies on Effects of RMB Exchange Rate Pass-Through into Export Prices——An Empirical Study by Mean of VAR Model

Finance ◽  
2012 ◽  
Vol 02 (01) ◽  
pp. 50-57
Author(s):  
吴 东立
Keyword(s):  
Exchange Rate ◽  
Empirical Study ◽  
Var Model ◽  
Rmb Exchange Rate ◽  
Export Prices ◽  
Pass Through ◽  
Exchange Rate Pass Through

Asymmetric Exchange Rate Pass-through into Korea’s Export Prices to China

2018 ◽  
Vol 14 (3) ◽  
pp. 45-72
Author(s):  
Yan Tan ◽  
◽  
Utai Uprasen ◽  
Keyword(s):  
Exchange Rate ◽  
Export Prices ◽  
Pass Through ◽  
Exchange Rate Pass Through

Modeling Foreign Exchange Rate Pass-Through using the Exponential GARCH

2014 ◽  
pp. 139-190
Author(s):  
Baoying Lai ◽  
Nathan Lael Joseph
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Pricing To Market ◽  
Export Prices ◽  
Long Run ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
Meat Sector

In this chapter, the authors use an EGARCH-ECM to estimate the pass-through effects of Foreign Exchange (FX) rate changes and changes in producers’ prices for 20 U.K. export sectors. The long-run adjustments of export prices to FX rate changes and changes in producers’ prices are within the range of –1.02% (for the Textiles sector) and –17.22% (for the Meat sector). The contemporaneous Pricing-To-Market (PTM) coefficients are within the range of –72.84% (for the Fuels sector) and –8.05% (for the Textiles sector). Short-run FX rate pass-through is not complete even after several months. Rolling EGARCH-ECMs show that the short and long-run effects of changes in FX rate and producers’ prices vary substantially, as do asymmetry and volatility estimates before equilibrium is achieved.

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