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題名：通膨與通縮之匯率轉嫁
書刊名：臺灣經濟預測與政策
作者：林柏君／吳中書
作者(外文)：Lin, Po-chun／Wu, Chung-shu
出版日期：2013
卷期：43:2
頁次：頁51-81
主題關鍵詞：匯率轉嫁；通貨緊縮；通貨膨脹；非線性估計；門檻迴歸模型；Exchange rate pass-through；Deflation；Inflation；Non-linear estimation；Threshold model
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(2) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:2
  • 共同引用共同引用:10
  • 點閱點閱:145
本文探討臺灣的通膨與通縮環境對整體進口物價及各產業匯率轉嫁程度的影響。有別於既有文獻並未加入通貨緊縮對匯率轉嫁的分析，本文採用門檻迴歸模型（threshold model），並區分能源價格及非能源價格進行分析。實證結果顯示，通貨緊縮考慮與否將影響匯率轉嫁程度與通膨、通縮環境的關係。包含能源價格之礦物性燃料潤滑油及有關材料產業之匯率轉嫁程度隨通膨環境變動的變化幅度居所有產業之冠。加入通貨緊縮分析後，整體進口物價及大多數產業之匯率轉嫁效果在通貨緊縮時大於低通膨。因此，在分析上明確區分通貨緊縮的情況有其必要性，否則可能形成偏誤之推論。
This paper analyzes the impacts of inflation and deflation on exchange rate pass-through for import prices both on the aggregate and industrial levels in Taiwan. Different from existing studies that do not specify the impact of deflation, we use the threshold model to take it into account and estimate the pass-through with general and non-oil prices. The empirical results show that the relationship of pass-through and both inflation and deflation is changed after considering the deflation impacts. The pass-through of the fuel industry varies most with inflation movements. Most industries exhibit larger pass-through in deflation than in low inflation. Hence, a clearly defined deflation regime from low inflation is necessary for avoiding a biased result when analyzing the pass-through for inflation and deflation.
期刊論文
1.Knetter, Michael M.(1993)。International Comparisons of Pricing-to-market Behavior。The American Economic Review，83(3)，473-486。  new window
2.Ito, Takatoshi、Sato, Kiyotaka(2008)。Exchange Rate Changes and Inflation in Post-Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass-Through。Journal of Money, Credit and Banking，40(7)，1407-1438。  new window
3.Hooker, Mark A.(2002)。Are oil shocks inflationary? Asymmetric and nonlinear specifications versus changes in regime。Journal of Money, Credit, and Banking，34(2)，540-561。  new window
4.Chen, S. S.(2009)。Oil Price Pass-Through into Inflation。Energy Economics，31(1)，126-133。  new window
5.Al-Abri, A.、Goodwin, B.(2009)。Re-Examining the Exchange Rate Pass-Through into Import Prices Using Non-Linear Estimation Techniques: Threshold Cointegration。International Review of Economics and Finance，18(1)，142-161。  new window
6.Bouakez, H.、Rebei, N.(2008)。Has Exchange Rate Pass-Through Really Declined? Evidence from Canada。Journal of International Economics，75(2)，249-267。  new window
7.Campa, J.、Gonzalez, J.(2006)。Differences in Exchange Rate Pass-Through in the Euro Area。European Economic Review，50(1)，121-145。  new window
8.Ceglowski, J.(2010)。Exchange Rate Pass-Through to Bilateral Import Prices。Journal of International Money and Finance，29(8)，1637-1651。  new window
9.Choudhri, E.、Hakura, D.(2006)。Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter?。Journal of International Money and Finance，25，614-639。  new window
10.Corsetti, G.、Dedola, L.、Leduc, S.(2008)。High Exchange-Rate Volatility and Low Pass-Through。Journal of Monetary Economics，55(6)，1113-1128。  new window
11.Gust, C.、Leduc, S.、Vigfusson, R.(2010)。Trade Integration, Competition, and the Decline in Exchange Rate Pass-Through。Journal of Monetary Economics，57(3)，309-324。  new window
12.Kim, Y.(1990)。Exchange Rates and Imports Prices in the U.S.: A Varying-Parameter Estimation of Exchange Rate Pass-Through。Journal of Business and Economic Statistics，8(3)，169-210。  new window
13.Knetter, M. M.(1989)。Price Discrimination by U.S. and German Exporters。American Economic Review，79(1)，198-210。  new window
14.María-Dolores, Ramón(2010)。Exchange Rate Pass-Through in New Member States and Candidate Countries of the EU。International Review of Economics and Finance，19(1)，23-35。  new window
15.Steel, D.、King, A.(2004)。Exchange Rate Pass-Through: The Role of Regime Changes。International Review of Applied Economics，18(3)，301-322。  new window
16.Tica, J.、Posedel, P.(2009)。Threshold AutoregressiveModel of Exchange Rate Pass-Through Effect: The Case of Croatia。Eastern European Economies，47(6)，43-59。  new window
17.Hooper, P.、Mann, C. L.(1989)。Exchange Rate Pass-Through in the 1980s: The Case of U. S. Imports of Manufactures。Brooking Papers on Economic Activity，1，297-337。  new window
18.Knetter, M.(1995)。Pricing to Market in Response to Unobservable and Observable Shocks。International Economic Journal，9(2)，1-25。  new window
19.LeBlanc, Michael、Chinn, Menzie D.(2004)。Do high oil prices presage inflation。Business Economics，39(2)，38-48。  new window
20.Athukorala, P.(1991)。Exchange Rate Pass-Through: The Case of Korean Exports of Manufactures。Economics Letters，35，79-84。  new window
21.劉宗欣、張銘仁(20001200)。進口物價的匯率轉嫁與不對稱性：臺灣的實證研究。經濟論文，28(4)，369-396。new window  延伸查詢new window
22.王國樑、林淑芬(20000300)。臺灣中游石化業進口價格匯率轉嫁彈性之探討。經濟論文，28(1)，97-126。new window  延伸查詢new window
23.Goldberg, P. K.、Knetter, M.(1997)。Goods prices and exchange rates: What have we learned?。Journal of Economic Literature，35(3)，1243-1272。  new window
24.Tsay, R. S.(1998)。Testing and Modeling Multivariate Threshold Models。Journal of the American Statistical Association，93(443)，1188-1202。  new window
25.Campa, José Manuel、Goldberg, Linda S.(2005)。Exchange Rate Pass-through into Import Prices。The Review of Economics and Statistics，87(4)，679-690。  new window
26.Taylor, John B.(2000)。Low inflation, pass-through, and the pricing power of firms。European Economic Review，44(7)，1389-1408。  new window
27.黃恩恩、藍青玉、郭炳伸(20071200)。菜單成本與不對稱匯率轉嫁--以臺灣進口物價為例。經濟論文，35(4)，439-472。new window  延伸查詢new window
28.Marazzi, M.、Sheets, N.(2007)。Declining Exchange Rate Pass-Through to U.S. Import Prices: The Potential Role of Global Factors。Journal of International Money and Finance，26，924-947。  new window
研究報告
1.Gagnon, J.、Ihrig, J.(2001)。Monetary Policy and Exchange Rate Pass-Through。  new window
2.Sekine, T.(2006)。Time-Varying Exchange Rate Pass-Through: Experiences of Some Industrial Countries。  new window
圖書
1.Rogoff, K.(2003)。Policy Options-Findings of an Interdepartmental Task Force。Washington, DC：International Monetary Fund。  new window
2.王國樑、吳中書(1999)。Exchange Rate Pass-through and Industry Characteristics: the Case of Taiwan's Exports of Midstream Petrochemical Products。Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues。Chicago, IL：University of Chicago Press。  new window
圖書論文
1.吳中書(1995)。臺灣進口物價匯率轉嫁效果之探討。開放總體經濟論文集。中央研究院經濟研究所。  延伸查詢new window
 
 
 
 
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