Exchange rate pass-through in G20 economies: Empirical analysis based on panel cointegration
Exchange rate pass-through in G20 economies: Empirical analysis based on panel cointegration
2017年1卷第1期 页码:45-62
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Zhang Xi. (2017). Exchange rate pass-through in G20 economies: Empirical analysis based on panel cointegration. 发展经济学(英文版), 1(1), 45-62.
ZHANG XI. (2017). Exchange rate pass-through in G20 economies: Empirical analysis based on panel cointegration. Development Economics of China, 1(1), 45-62..
Zhang Xi. (2017). Exchange rate pass-through in G20 economies: Empirical analysis based on panel cointegration. 发展经济学(英文版), 1(1), 45-62.DOI:
ZHANG XI. (2017). Exchange rate pass-through in G20 economies: Empirical analysis based on panel cointegration. Development Economics of China, 1(1), 45-62.. DOI:
Exchange rate pass-through in G20 economies: Empirical analysis based on panel cointegration
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摘要
Abstract
Using the aggregate price index macro-data in the 16 economies of G20
the paper performs ex- change rate pass-through to import price and domestic price in different groups by employing panel cointegration method and reviews the difference of exchange rate pass-through in these economies during the recent global fi- nancial crisis. The empirical results suggest the exchange rate pass-through to import price and domestic price is incomplete in the long run and the exchange rate pass-through to domestic price is lower than one to import price during the same period. The findings do not consolidate the traditional verdicts that the exchange rate pass-through in emerging economies is higher than one in developed economies. The long run exchange rate pass-through to import price and domestic price in emerging economies and developed economies presents great incongruous in the recent global financial crisis.