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Exchange Rate Pass-Through into China’s Import Prices: An Empirical Analysis Based on ARDL Model

DOI: 10.4236/jss.2016.44003, PP. 13-22

Keywords: Exchange Rate Pass-Through, Import Prices, ARDL Model

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Abstract:

This study analyzes the exchange rate pass-through into China aggregate import prices and prices of eleven industries under the HS classification. Chinese monthly data from July 2005 to July 2015 are used. Bounds test finds that all industries have co-integration relationship, with the exception of footwear and headgear products (HS12) and transport equipment (HS17). We have researched the short- and long-run pass-through to China import prices with ARDL model and the estimated results are as follows: the degree of exchange rate pass-through to China’s aggregate import prices is very high; both the short- and long-run coefficients for various industries are fairly different; the pass-through coefficient is high in industries of basic metals and metal products, chemical products, pulp and paper products, plastic and rubber products; the degree of pass-through is comparatively low in industries of textiles products, raw hides, leather and furs products, wood and wooden products and non-metallic mineral products; the pass-through into import prices for industries of machinery and equipment (HS16) is incomplete.

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