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Study on RMB Exchange Rate Transmission Mechanism Based on VAR Model

Conference paper
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 204)

Abstract

The transfer effect through import prices index (direct transmission mechanism) is stronger and more obvious than through export prices index (indirect transmission mechanism), which mainly due to the buffer of the international market weaken effect of ERPT through export price. The RMB exchange rate movement has an incomplete transfer to prices. The degree of pass-through of exchange rate shock to different prices indices varies, however, consistently with prediction: the pass-through effect is the largest for import prices, and the smallest on consumer prices.

Keywords

Exchange rate pass-through RMB nominal exchange rate VAR model 

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Copyright information

© Springer-Verlag London 2013

Authors and Affiliations

  1. 1.School of Management Harbin Institute of TechnologyHarbinChina

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