通膨與通縮之匯率轉嫁

Exchange Rate Pass-Through for Inflation and Deflation

林柏君(Po-Chun Lin) ； 吳中書(Chung-Shu Wu)

《臺灣經濟預測與政策》 43卷2期 (2013/03) Pp. 51-81

摘要

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。

關鍵字

匯率轉嫁 ； 通貨緊縮 ； 通貨膨脹 ； 非線性估計 ； 門檻迴歸模型

並列摘要

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.

並列關鍵字

Exchange rate pass-through ； Deflation ； Inflation ； Non-linear estimation ； Threshold model

參考文獻

王國樑、林淑芬(2000)。臺灣中油石化業進口價格匯率轉嫁彈性之探討。經濟論文。28，97-126。

吳中書()。

黃恩恩、藍青玉、郭炳伸(2007)。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。35，439-472。

劉宗欣、張銘仁(2000)。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。28，369-396。

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.