Study On Risk Transfer Effect Of RMB Exchange Rate Fluctuation On Import Price

Exchange Rate Pass-Through(ERPT)is the degree to which exchange rate changes affect a country's import prices and domestic prices,that is,the percentage of import price changes caused by exchange rate changes,which is a major research topic in the field of international economics.In the 1980 s,don bush's discovery that the u.s.dollar had risen sharply since 1985,but that the price of american imports had n' t changed correspondingly,drew more attention and research on the issue of exchange rate transmission.The results of most scholars strongly suggest that there is a weak correlation between most trade commodities and the overall price level and exchange rate movements,That is,incomplete exchange rate transmission.Based on the ERPT general analysis framework,this paper broadens the study of "exchange rate transfer effect" to the level of risk(second order moment),establishes the risk transfer model of exchange rate,and makes empirical analysis by using the sample data after exchange rate modification,and finally compares the original results through the test of robustness.The empirical results show that the transfer effect of RMB exchange rate is incomplete at the mean level,but the transfer at the risk level is excessive,that is,the fluctuation of RMB nominal effective exchange rate can be excessive to the import price risk.Among the factors that increase the price risk,the fluctuation of foreign production cost has the greatest transmission effect on the import price risk.