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首页> 外文期刊>The North American journal of economics and finance >Re-examining the time-varying nature and determinants of exchange rate pass-through into import prices
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Re-examining the time-varying nature and determinants of exchange rate pass-through into import prices

机译：重新审视汇率传递到进口价格中的时变性质和决定因素

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Numerous studies have focused on the time-varying nature of exchange rate pass-through (ERPT) into import prices and investigated the possible reasons for controlling its changes. Unlike the numerous previous studies, we used the quantile regression method to obtain the time-varying ERPTs of 16 OECD countries. In general, the ERPTs before 1990s were relatively higher than the conditional mean estimate and relatively lower in later years. Panel regression analysis indicated that time-varying ERPTs are significantly and positively correlated with inflation rate/inflation volatility and significantly and negatively correlated with exchange rate volatility, output gap, and degree of trade openness. We also showed that ERPT responses insignificantly to inflation rate in the deflation environment. Moreover, ERPT responses to exchange rate depreciation and appreciation will differ depending on the scale of the exchange rate changes. This is potentially because the ERPT behavior of firms are primarily linked to the market competition that they face.
机译：大量研究集中在汇率传递（ERPT）进入进口价格的时变性质上，并研究了控制其变动的可能原因。与以前的大量研究不同，我们使用分位数回归方法获得了16个经合组织国家随时间变化的ERPT。总体而言，1990年代之前的ERPT相对高于有条件的均值估计，而后期则相对较低。面板回归分析表明，随时间变化的ERPT与通货膨胀率/通货膨胀率呈显着正相关，与汇率波动率，产出缺口和贸易开放程度呈显着负相关。我们还表明，在通缩环境下，ERPT对通货膨胀率的反应微不足道。此外，ERPT对汇率贬值和升值的反应将根据汇率变化的规模而有所不同。这可能是因为企业的ERPT行为主要与他们面临的市场竞争有关。

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