关键词: 人民币汇率, 物价水平, 传递, 递归估计, 边限协整

Abstract: This paper examines the RMB exchange rate pass-through effect under structure change in China. First of all, this paper utilizes structural break cointegration analysis to investigate the RMB exchange rate pass-through effect into price level based on the data from 1994 to 2008. Secondly, this paper uncovers the dynamic movement of the pass-through effect by utilizing recursive estimation approach. Finally, this paper reveals the macroeconomic determinants including the exchange rate regimes by utilizing bounds cointegration approach. The empirical results show that RMB exchange rate pass-through effect into price level in China had a structural break in August 1998. Before August 1998, the pass-through effect was high and obvious, but declined rapidly after structural change. Through dynamic movement analysis, RMB exchange rate pass-through effect showed an upward trend before August 1998, but showed a downward trend thereafter, and is showing a further declining trend in the future. The analysis of macroeconomic determinants shows that, in the long run, inflation rate, trade openness, exchange rate regime and Asian financial crisis have significantly positive effects on the RMB exchange rate pass-through, while the effect of exchange rate volatility is significantly negative; In the short run, the RMB exchange rate pass-through into price level has certain inertia, and only trade openness has significant positive effect on it. 
 

Key words: RMB exchange rate, Price level, Pass-through, Recursive estimation, Bounds cointegration