Impact of Exchange Rate on Price Index-An Empirical Study Based on the GARCH Model

被引：0
|
作者：
Wang, Jia [1 ]
Wang, Xin'an [1 ]
机构：
[1] ShaanXi Univ Chinese Med, Xianyang 712046, Shaanxi, Peoples R China
来源：
PROCEEDINGS OF THE 2012 INTERNATIONAL CONFERENCE ON MANAGEMENT INNOVATION AND PUBLIC POLICY (ICMIPP 2012), VOLS 1-6 | 2012年
关键词：
exchange rate; price index; GARCH; heteroscedasticity;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper the relationship of exchange rate of RMB with CPI index and PPI index were analyzed respectively. Evidences show that the auto-regression impact on CPI is larger than the impact of exchange rate, but for PPI, the impacts of auto-regression and exchange rate are similar. The pass-through of exchange rate to price index are various. The effects of fluctuations of exchange rate to price index are more obviously in short-term.
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页码：489 / 493
页数：5
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