The Effect of Changes in Exchange Rate on Import Prices : The Effect of Changes in Exchange Rate on Import Prices
- 발행기관 고려대학교 대학원
- 발행년도 2004
- 학위명 박사
- 학과 대학원:경제학과
- 식별자(기타) DL:000014914427
- 서지제어번호 000045156056
초록/요약
Import prices typically change by a small proportion than the exchange rate between the exporting and importing country. Recently, a lot of research and attention has been focused on the analysis of pricing-to-market behavior to find if changes in the exchange rate have any effect on the behavior of final purchasers of goods. However, in this paper, I analyzed the effect of the exchange rate fluctuation on import prices or consumer prices by using the law of international one prices. Also, I tried to test for cointegration to confirm the presence of stationary equilibrium relationships among variables in long-terms. After estimating the long-run effect of changes in currency values on import prices from long-run equilibrium equation by Stock and Watson dynamic OLS(DOLS), I estimated the degree of the short-run pass-through by using the error-correction model(ECM).
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CONTENTS
Ⅰ. Introduction 3
Ⅱ. Theoretical Model Formation and Econometric Methodology 7
1. What is The Pass-Through 7
2. Theoretical Model 10
3. Econometric Methodology 11
3.1. Test for Univariate Integration and Multivarate Cointegration 11
3.2. The Stock and Watson Dynamic OLS (DOLS) Approach 13
3.3. Engle and Granger Error-Correction Model (ECM 14
Ⅲ.Empircal Analysis 16
1. Data 16
2. Estimation and Results 17
2.1. Results of The Test for Unit Root and Cointegratio 18
2.2 Long-Run Exchange Rate Pass-Through Effect 23
2.3. Engle and Granger Error_Correction Model (ECM) 26
2.4. The Effect of import Prices Fluctuation on Consumer Prices 32
Ⅳ. Conclusion 35
