• 论文 •

### 基于频域的汇率非对称传递研究

• 出版日期:2013-11-15 发布日期:2013-11-04

### The Research base for Exchange Rate Asymmetric Pass-through of the Frequency Domain

Liu Qiren

• Online:2013-11-15 Published:2013-11-04

Abstract: This paper proposes a new analysis of exchange rate pass-through in frequency domain. Using 2005M7-2012M6 bilateral data between the United States and China, Canada, France, Germany, Japan, Mexico, United Kingdom, we present evidence of asymmetric exchange rate pass-through in different fluctuation frequency. We apply “moving window one-sided band pass filters” to partial the exchange rate series into 19 orthogonal frequency components. Through time-domain and frequency-domain estimation, we find significant asymmetric exchange rate pass-through at different frequencies, which indicates that transiently appreciation or depreciation bring no significant exchange rate pass-through, however, lasting appreciation or depreciation causes large and significant pass-through. So China should increase the exchange rate volatility to cultivate the switch of exchange rate flexible floating model from lasting appreciation model after the exchange rate reform in 2005.