- 期刊
A study on the Transmission Effect of RMB Exchange Rate fluctuation on Import Price after Exchange Rate Reform--Based on Vector Auto-regression Model
摘要
This paper explores the influence of exchange rate fluctuation on import price at the second moment level. Based on the general analysis framework of ERPT and GARCH (1, 1) model and VAR model, this paper empirically analyzes the transmission effect of RMB exchange rate fluctuation on import price from the level of exchange rate fluctuation (second moment), and puts forward that RMB exchange rate risk directly affects import price, and the exchange rate risk is completely transferred to import price 16 months after exchange rate reform in 2005. The increase of production cost of foreign manufacturers and RMB exchange rate have obvious influence on import price index. The rise in the import price index came more from its own stickiness.
參考文獻
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延伸閱讀
- Chen, W., Dai, L., & Qin, X. (2020). Analysis of the Impact of Foreign Exchange Reserves and RMB Exchange Rate - Empirical Analysis based on VAR Model. International Core Journal of Engineering, 6(8), 109-113. https://doi.org/10.6919/ICJE.202008_6(8).0017
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- Yuan, X., & Tang, J. (2016). Dependence Evaluation on the Impact of Exchange Rate's Volatility on Yunnan's Import from Four GMS Countries: A GARCH-Vine Copula Model Approach. International Journal of Intelligent Technologies and Applied Statistics, 9(4), 279-291. https://doi.org/10.6148/IJITAS.2016.0904.02
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- 吳惠怡（2007）。The Effect of Inflation Rate on Taiwan Stock Exchange Return Rate of Electronic and Financial Industries-An Empirical Study of Fisher Equation〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU.2007.01855