RMB Exchange Rate Pass-through Effects on the Prices of China's Relevant Sectors

Abstract

Abstract:

This paper employs time series method and dynamic Bayesian network method to measure the pass through of RMB exchange rate to prices of different stages and industrial prices. The result shows that the direct transfer effect of RMB exchange rate on RMPI, CGPI and CPI is remarkable. At the same time, the RMB exchange rate can also have indirect influence on PPI, CGPI and CPI by passing among segments of different industries. This study indicates that wood, chemistry, textile and other labor-intensive industry prices are sensitive to the fluctuation of RMB exchange rate, while the exchange rate pass-through effects of energy, black metal, non-ferrous metals and other mineral industries prices are not significant. In addition, inflation in China is not just a simple monetary phenomenon, but driven by exchange rate and the real economy.

Key words: RMB exchange rate, prices, pass-through effects, dynamic Bayesian network

He Benlan, Shi Yong, Zhu Hanxu, Chen Daobin. RMB Exchange Rate Pass-through Effects on the Prices of China's Relevant Sectors[J]. , 2017, 29(8): 3-12.

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