IMF-国家相关汇率传递（英）-2023.4-83页_5mb

This report analyzes the state-dependent nature of exchange rate pass-through (ERT) in 46 advanced and emerging market economies over the period 1990-2022. The key findings highlight how ERT varies with economic conditions, including inflation, uncertainty, exchange rate fluctuation drivers, and country-specific factors. The abstract summarizes that ERT is higher during high inflation and elevated uncertainty, and also depends on the source of exchange rate shocks, with policies like U.S. monetary tightening amplifying effects.

In the introduction, the authors address the declining trend in ERT in the literature, but find it increases significantly in recent high-inflation and volatile environments, such as during the COVID-19 pandemic and associated global events. The literature review synthesizes previous studies, supporting that ERT is influenced by credibility of monetary policy and other factors, with new empirical evidence filling gaps on state-dependence using a large dataset.

Key data sources and methodologies include bilateral exchange rates, consumer and import prices, inflation expectations, and state variables like inflation, uncertainty, and country characteristics. They use local projections, state-dependent models, and a novel difference-in-differences instrumental variables approach to identify US monetary policy shocks.

Results show average pass-through coefficients, with depreciation of 1% linked to about 0.16% increase in domestic prices after 12 months. Import prices show faster pass-through (0.7% after one month). Pass-through is heterogeneous: higher in emerging markets (0.3) vs advanced economies (0.08). State-dependence is strong—ERT increases with inflation, uncertainty, and decreases during expansions. Additionally, shock-dependence reveals that ERT from US monetary shocks is three times larger than from other drivers. Asymmetry exists in depreciation vs appreciation, with faster impact from depreciation. Non-linear effects confirm stronger pass-through with larger fluctuations.

The conclusion emphasizes policy implications: current exchange rate periods may exert more significant p ressures on inflation than past estimates. Models and policymakers should account for this.

• Abstract Summary: Reports establish that exchange rate pass-through (ERT) varies with economic states like high inflation and uncertainty, and is amplified by specific shocks.
• Introduction: Outlines rising uncertainty and inflation leading to stronger ERT in current conditions.
• Literature Review: Reviews historical ERT trends, supporting role of monetary credibility and new evidence on state-dependence.
• Data and Methods: Details datasets and econometric approaches, including identification of shocks.
• Results:
  • Average ERT: 0.16% for consumer prices after 12 months depreciation.
  • Heterogeneity: Higher in EMDEs and dependent on inflation, uncertainty, shocks, and country/regional factors.
  • Policy Relevance: Highlights need for adjustments in monetary policies and inflation modeling due to higher current ERT.
• Conclusion: Reinforces findings and suggests that ERT is state-dependent and can significantly impact economy, with implications for both policy and research.