Research On The RMB Exchange Rate Pass-through Effect On Import Price

In recent years,with the rapid development of China's economy,the international status of RMB is constantly improving,and it plays an indispensable role in the global economy.Therefore,more and more scholars have begun to turn their attention to the pass-through effect of the exchange rate of RMB.Based on the above background,using monthly data from January 1999 to December 2018,taking China's import price index as dependent variable,RMB nominal effective exchange rate and foreign price level as independent variables,using econometric methods such as OLS,ADF unit root test and Granger causality test,this paper establishes ARDL bounds test model and ARDL-ECM model to empirically analyze the RMB exchange rate pass-through effect on import price.It emphatically analyses the relationship between short-term dynamics and long-term equilibrium effect of RMB exchange rate pass-through effect and the asymmetry of economic cycle in exchange rate pass-through effect.The empirical results show that:(1)no matter in the short or long term,the effect of exchange rate reform on the RMB exchange rate pass-through effect is not significant;(2)There is a reverse relationship between the change of RMB exchange rate and the price of imported commodities,that is,the rise of RMB exchange rate(appreciation of RMB)will lead to the decline of the price of imported commodities;(3)In the long run,China's import price is very sensitive to the fluctuation of RMB exchange rate.One percentage point of RMB exchange rate shock can cause the change of 0.8014 percentage points of the import price,and the long-term pass-through effect of the exchange rate is close to complete pass-through;(4)By comparing the long-term and short-term RMB exchange rate pass-through effect,we can find that the long-term exchange rate pass-through effect is significantly greater than the short-term exchange rate pass-through effect;(5)The RMB exchange rate pass-through effect on import price is largely affected by economic cycle fluctuations.There is obvious asymmetry between the economic upstream period and the economic downturn period.The exchange rate pass-through effect in the economic downturn period is significantly greater than that in the economic upstream period.At the same time,there is also a phenomenon of exchange rate super transmission in the economic cycle.Finally,based on the analysis of the empirical test results,the relevant policy recommendations are put forward.