| As export-oriented large economy in Asia, China has a rapid development ofmarketization and globalization after joining WTO and Chinese currency, the RMB yuan alsoexperiences a reform. RMB exchange rate grately affects macroeconomic and inflation inChina. Furthermore, the pass-through effects of RMB exchange rate play an important role indetermining exchange rate system and monetary policy. Therefore, it is a very important andurgent topic to study on the RMB exchange rate pass-through effects.Based on the fluctuation features of RMB exchange rate in China and the mechanism ofexchange rate transmission, this paper reviewed the change of RMB exchange rate anddetailed analysed the pass-through effects of RMB exchange rate to domestic prices fromdirect and indirect perspectives. Furthermore, these analysis methods were applied toagricultural products prices which called the base of the million prices. The pass-throughmechanism and effects of RMB exchange rate to agricultural prices were analysed.This paper consists of seven chapters. Chapter1is the introduction. It describes theresearch background, purpose and significance of the pass-through effects of RMB exchangerate. Reviewing the domestic and foreign literatures, this chapter gives research ideas andmethods of the whole paper and summarized the innovations of this paper.Chapter2is the research foundation of RMB exchange rate pass-through effects. Thischapter defines the exchange rate, exchange pass-through, agricultural products and exchangerisk and elaborats relevant theories about complete pass-through and incomplete pass-through.Moreover, it qualitative analysed the direct and indirect approach of RMB exchange ratepass-through to domestic prices.Chapter3consists of the review of RMB exchange rate evolution and analysis of thefluctuation features of RMB exchange rate. It reviews the RMB exchange rate system from1949in which RMB exchange rate was published to now, which experienced two periods andeight stages of evolution and analyses the adjustment process of RMB exchange rate fromplanning to marketability, from the relatively closed to relatively open, from strict to flexibleand so on. Take RMB yuan against U.S. dollar and NDF exchange rate as an example, using descriptive statistics anlysis, correlation and partial correlation coefficient and ARCH effecttest, it confirms nonnormality, persistance, aggregation and high order ARCH effect of RMBexchange rate volatility. Based on the research results above, it applies suitable EGARCHmodel to fitting the fluctuations of RMB spot exchange rate, NDF exchange rate and nominaleffective exchange rate.Chapter4analyses the pass-through effect of RMB exchange rate to domestic pricesfrom direct perspective. Firstly, based on complete consideration of domestic and foreignimpact on RMB exchange rate pass-through effect, this chapter constructs theory frame toanalyse the direct pass-through effect of RMB exchange rate to domestic prices andintroduced eight variables into VAR model, such as supply, demand, exchange rate, thefluctuation range of exchange rate and so on. Secondly, considering structural changes in dataand using chow test, it divides sample interval into three stages and analyses the directpass-through effect of RMB exchange rate on three different stages. The results ofco-integration test show it exits a long-run equilibrium relationship between RMB exchangerate and domestic prices on the three stages. Compared with the direct pass-through effect ofRMB exchange rate before the1990s, the pass-through effect of RMB exchange rate isdecreased. However, on the three stages, the pass-through effect of RMB exchange rate isgradually increased slightly. Furthermore, using the error correction model, impulse responsefunction and variance decomposition method, we got the conclusion that the directpass-through effect of RMB exchange rate to domestic prices on the three stages are lagged.Chapter5studies the indirect pass-through effect of RMB exchange rate to domesticprices from asset price mechanism perspective. Modifying the portfolio model as itstheoretical foundation, it selects the difference between RMB NDF exchange rate and RMBspot exchange rate as proxy variable of RMB exchange rate and constitutes VAR modelincluding RMB exchange rate, domestic prices, asset price and monetary supply variables.Using cointegration test, variance decomposition and impulse response function, this chapternot only studies on the influence of RMB exchange rate in the stock price and real estate price,but also studies on the influence of the stock price and real estate price in domestic price. Theresults show that RMB exchange rate, stock price and real estate price all have significantimpact on domestic prices in the short term and real estate price has more strongly impact ondomestic prices than the stock price in the long term.From theory perspective chapter6analyses the pass-through mechanism of RMBexchange rate in the prices of agricultural products and builds a theoretical framework of thepass-through effects of the RMB exchange rate to prices of agricultural products. Throughintroducing the volatility range of RMB exchange rate, this chapter applies cointegration test and impulse response function to empirical analyzing RMB exchange rate pass-througheffects to agricultural products prices. The results show that the total pass-through effect ofRMB exchange rate to agricultural products import prices is-0.703, and to the domesticagricultural prices is-0.4005, and import prices of agricultural products, agricultural futuresprices, changes of interest rates exist a significant impact on the domestic prices ofagricultural products and their flexibilities are0.4246,0.3749,0.2198, respectively. The resultexplains that the pass-through effects of RMB exchange rate to agricultural prices areincomplete and lagged. The reasons of them are price controls, the non-effectiveness ofagricultural futures market and low inflationary environment.Based on research results of all the chapters above, the Chapter7gives some suggestions:the combination of the exchange rate policy, monetary policy and fiscal policy, improving theRMB exchange rate system, agricultural products prices mechanism and national agriculturalsupport subsidy policies. |
