再探匯率轉嫁效果

Abstract

本文參考Campa and Goldberg (2005) 與Chen (2009) 回歸模型,以18 個已開發經濟體與9個新興發展經濟體為樣本,對匯率轉嫁效果進行跨國、跨體系以及跨時間的比較與分析。透過滾輪回歸對轉嫁係數的估計,讓我們對於80 年代以後進口物價受匯率變化的影響有更清楚的了解。 儘管結果不盡顯著,隨著貨幣成長速度趨緩、匯率波動程度降低等總體經濟環境趨於穩定,已開發國家匯率轉嫁的影響程度逐漸下降。相形之下,新興發展國家卻隨著經濟規模擴大,匯率轉嫁程度呈現上升趨勢。

This paper follows the empiricalmodels from Campa and Goldberg (2005) and Chen (2009) to investigate exchange rate pass-through into import price across 18 developed economies and 9 emerging economies. In contrast to previous research, we find that the pass-through effects on emerging markets tend to be lower than those on developed markets. And with the results of rolling regressions, we observed that the different patterns of dynamic changes may exist between two kinds of economies during the sample period. While relative stable monetary conditions could induce the decline of exchange rate pass-through in developed economies, increasing country size could push the pass-through effects up in emerging economies.