Starting from ERPT model, the paper decomposes RMB nominal effective exchange rate published in BIS into level and volatility, and analyzes the pass-through effects of RMB nominal effective exchange rate into import price from level and volatility under GARCH model. The conclusions are that, the pass-through effect of RMB nominal effective exchange rate to the level of import price is not complete, and the volatility of RMB nominal effective exchange rate has a negative impact on the volatility of import price and also has a time lag. Error correction mechanism shows that it needs about 8 months for import price to return to a balanced level after the changes of exchange rate.
展开▼
