| Summary: | 碩士 === 中原大學 === 國際經營與貿易研究所 === 103 === This study uses the panel smooth transition regression (PSTR) model to evaluate the time-varying and threshold effects of interest rate and the change in consumer price index (CPI) on export exchange rate pass-through. In the PSTR models, the transition variables are interest rate and the change of CPI. The sample objects are Taiwan’s Top 11 export partners, and sample period spans from 1994 to 2013. Thus, there have 220 observations. The empirical results provide crucial information for exports to adopt effective export pricing strategies and for monetary authorities to apply appropriate trade policies to stimulate export.
The key empirical results can be summarized as follows:
1. The exchange rate pass-through (ERPT) varies with time and across countries, i.e., depending on individual trade partners’ interest rates and CPI change in different regimes.
2. In the PSTR model with interest rate as the transition variable, the ERPT is maximum as interest rate locates between two threshold values, That is, the ERPT display a trend of rise first then fall.
3. In the PSTR model with the change in CPI as the transition variable, export price level has a symmetric and smooth transition process, and the ERPT also displays a trend of rise first then fall.
4. The marginal cost , measured by wholesale price level, of exports has an insignificant effect on export price index at any level of change rates in CPI. That is, the wholesale price level has an insignificant impact on pricing strategy of export goods.
Keywords: exchange rate pass-through; consumer price level; cost mark-up; panel smooth transition regression model.
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