通膨與通縮之匯率轉嫁

EXCHANGE RATE PASS-THROUGH FOR INFLATION AND DEFLATION

本文探討臺灣的通膨與通縮環境對整體進口物價及各產業匯率轉嫁程度的影響。有別於既有文獻並未加入通貨緊縮對匯率轉嫁的分析， 本文採用門檻迴歸模型（threshold model）， 並區分能源價格及非能源價格進行分析。實證結果顯示， 通貨緊縮考慮與否將影響匯率轉嫁程度與通膨、通縮環境的關係。包含能源價格之礦物性燃料潤滑油及有關材料產業之匯率轉嫁程度隨通膨環境變動的變化幅度居所有產業之冠。加入通貨緊縮分析後， 整體進口物價及大多數產業之匯率轉嫁效果在通貨緊縮時大於低通膨。因此， 在分析上明確區分通貨緊縮的情況有其必要性， 否則可能形成偏誤之推論。

This paper analyzes the impacts of inflation and deflation on exchange rate pass-through for import prices both on the aggregate and industrial levels in Taiwan. Different fromexisting studies that do not specify the impact of deflation, we use the threshold model to take it into account and estimate the passthrough with general and non-oil prices. The empirical results show that the relationship of pass-through and both inflation and deflation is changed after considering the deflation impacts. The pass-through of the fuel industry varies most with inflation movements. Most industries exhibit larger pass-through in deflation than in low inflation. Hence, a clearly defined deflation regime from low inflation is necessary for avoiding a biased result when analyzing the passthrough for inflation and deflation.