Changing Exchange Rate Pass-Through in Japan: Does It Indicate Changing Pricing Behavior?
Changing Exchange Rate Pass-Through in Japan: Does It Indicate Changing Pricing Behavior?
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日本汇率传导的变化：是否表明定价行为正在发生变化？
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
Yoshitaka Ichise
中科院分区：
文献类型：
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作者：
Naoko Hara;Kazuhiro Hiraki;Yoshitaka Ichise
本文实证探讨了日本近期汇率传导的变化。我们采取双管齐下的方法。首先，我们使用时变参数估计来估计汇率对国内价格的传导。其次，我们将估计的汇率传导分解为边际成本对汇率的响应性和通货膨胀对边际成本的响应性。估算结果显示，自2000年代末以来，汇率对生产者价格指数和消费者价格指数的传导率一直在上升。国际投入产出表的证据表明，过去十年日本制造业的进口强度大幅增加。我们发现，尽管生产（以及零售部门）对进口的依赖程度不断增加是汇率传导上升的部分原因，但更大部分的上升是由于通货膨胀对边际成本的更大反应。这一发现暗示自 2000 年代末以来企业定价行为发生了结构性变化。
This paper empirically explores recent changes in the exchange rate pass-through in Japan. We take a two-pronged approach. First, we estimate the exchange rate pass-through into domestic prices using time-varying parameter estimation. Second, we decompose the estimated exchange rate pass-through into the responsiveness of marginal costs to the exchange rate and the responsiveness of inflation to marginal costs. The estimation results show that the rates of exchange rate pass-through into the Producer Price Index and the Consumer Price Index have been increasing since the late 2000s. Evidence from international input-output tables suggests that the import-intensity of Japan's manufacturing sector has increased considerably over the last decade. We find that although the increasing dependence on imports in production (as well as in the retail sector) accounts for part of the rise in exchange rate pass-through, a larger part of the rise is due to greater responsiveness of inflation to marginal costs. This finding hints at a structural change in firms' pricing behavior since the late 2000s.
具有杠杆作用的随机波动性：快速似然推理
DOI：
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发表时间：
2006
期刊：
影响因子：
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作者：
Omori;Y.;Watanabe;T.;大森裕浩;大森裕浩・Siddartha Chib-Neil Shephard・中島上智
通讯作者：
大森裕浩・Siddartha Chib-Neil Shephard・中島上智