Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through
Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: VAR Analysis of the Exchange Rate Pass-Through
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DOI：
10.3386/w12395
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发表时间：
2006-07
期刊：
影响因子：
--
通讯作者：
Takatoshi Ito;Kiyotaka Sato
中科院分区：
文献类型：
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作者：
Takatoshi Ito;Kiyotaka Sato
使用VAR分析来检验汇率变化对东亚国家国内价格的传递效应，该分析包括多个价格指数、国内宏观经济变量以及汇率。 VAR分析结果表明：（1）受危机影响国家的汇率对进口价格的传导程度较高； (2)对CPI的传递普遍较低，但印度尼西亚有明显例外；(3)在印度尼西亚，货币政策变量对汇率冲击的脉冲响应和CPI对货币政策冲击的脉冲响应均为正值，且较大且具有统计显着性。因此，印尼宽松的货币政策以及CPI对汇率变化的高度反应是导致危机后国内物价通胀螺旋式上升和名义汇率大幅贬值的重要因素。
The pass-through effects of exchange rate changes on the domestic prices in the East Asian countries are examined using a VAR analysis including several price indices and domestic macroeconomic variables as well as the exchange rate. Results from the VAR analysis show that (1) the degree of exchange rate pass-through to import prices was quite high in the crisis-hit countries; (2) the pass-through to CPI was generally low, with a notable exception of Indonesia: and (3) in Indonesia, both the impulse response of monetary policy variables to exchange rate shocks and that of CPI to monetary policy shocks are positive, large and statistically significant. Thus, Indonesia's accommodative monetary policy as well as the high degree of the CPI responsiveness to exchange rate changes was important factors that resulted in the spiraling effects of domestic price inflation and sharp nominal exchange rate depreciation in the post-crisis period.