关键词: 汇率传递, 波动频率, 出口价格, 频域

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.

Key words: Exchange Rate Pass-through, Fluctuation Frequency, Export Price, Frequency Domain