Structural shifts in monetary policy conduct, inflation environment, and exchange rate pass-through

本研究的主要目标是检验所谓的泰勒假设的经验有效性，该假设是关于宏观经济环境中的结构性变化，特别是通货膨胀和货币政策的结构性变化与汇率传递率之间的关系。我们使用经合组织数据进行实证分析的主要结果可以总结如下。1)应用内生结构断裂检验，我们发现自布雷顿森林体系崩溃以来，许多工业化经济体的通货膨胀过程经历了重大的结构性转变。此外，在样本经济体中，在20世纪80年代和90年代经历这样的结构性断裂是很常见的。2)许多经合组织国家至少在20世纪80年代或90年代对其货币政策行为进行了重大改变，在某些情况下两者都有。对于上述测试确定结构性断裂的许多国家来说，这些断裂是在货币政策行为发生变化之后发生的。因此，货币政策行为的改善很可能导致通胀过程的结构性转变。3)根据我们的估计结果，由于货币政策行为改善导致的低通胀环境，汇率传递率确实下降了。

The prime objective of this research is to examine the empirical validity of the so-called Taylor hypothesis regarding the relationship between structural shifts in macroeconomic environments, particularly those in inflation and monetary policy, and the rate of exchange rate pass-through. The main results of our empirical analyses using OECD data can be summarized as follows.1) In applying the endogenous structural break tests, we find that since the collapse of the Bretton Woods system many industrialized economies have experienced significant structural shifts in their inflation processes. Furthermore, it is common among the sample economies to experience such a structural break in the 1980s, and another in the 1990s.2) Many OECD countries made important alterations to their monetary policy conducts at least in either the 1980s or the 1990s, and in some cases in both. For many countries for which the above mentioned test identifies structural breaks, these breaks are found to have occurred following the changes in monetary policy conducts. Hence, it is quite likely that improvements in monetary policy conducts led to structural shifts in inflation processes.3) According to our estimation results, the rates of exchange rate pass-though indeed declined in response to the low inflation environment induced by the improvement of monetary policy conducts.