The Research On RMB Exchange Rate Pass-through Into China’s Import Prices

Since the exchange rate reform in 2005,RMB exchange rate has been rising continuously, while the trade surplus of China still become more and more, and the price index do not decline. Based on this fact, we could study from the perspective of exchange rate pass-through, at present, domestic researches focus on pass-through of exchange rate movement to aggregate import prices, ignore that the pass-through coefficients have difference among industries.This paper analyzes the pass-through effect from exchange rate changes to aggregate import prices and prices of 11 industries under the HS code classification, monthly data from July 2005 to July 2015 are used. We construct industrial nominal effective exchange rate index and exporters production costs index,then employ bounds test approach to determine whether there is long-run equilibrium relationship between variables, with the exception of footwear and headgear products(HS12) and transport equipment(HS17), all industries have co-integration relationship. This paper employs Auto Regressive Distributed Lag(ARDL)model to estimate the short- and long-run ERPT into import prices, meanwhile, adopts SUR approach to examine stability of estimated results.The estimated results show: ERPT into China’s aggregate import prices has quite a high degree, but short-run ERPT coefficient is very small while not statistically significant; both the short- and long-run ERPT coefficients for various industries are fairly different; the ERPT degrees are high in industries of basic metals and metal products, chemical products, pulp and paper products, plastic and rubber products; the ERPT degrees are comparatively low in industries of textiles products, raw hides, leather and furs products, wood and wooden products and non-metallic mineral products; the effective ERPT into import prices are incomplete in industries of machinery and equipment.