Exchange Rate Changes and Inflation in Post‐Crisis Asian Economies: Vector Autoregression Analysis of the Exchange Rate Pass‐Through
用向量自回归分析东亚经济体汇率变动对国内价格的传递效应，发现危机经济体进口价格传递度高，但CPI传递度普遍低，印尼例外，其宽松货币政策和高CPI响应度导致通胀贬值螺旋。
Macro‐economic consequences of large currency depreciations among the crisis‐hit Asian economies varied from one country to another. Inflation did not soar after the Asian currency crisis of 1997–98 in most crisis‐hit countries except Indonesia where high inflation followed a very large nominal depreciation of the rupiah. The high inflation meant a loss of price competitive advantage, a key for economic recovery from a crisis. This paper examines the pass‐through effects of exchange rate changes on the domestic prices in the East Asian economies using a vector autoregression analysis. The main results are as follows: (i) the degree of exchange rate pass‐through to import prices was quite high in the crisis‐hit economies; (ii) the pass‐through to Consumer Price Index (CPI) was generally low, with a notable exception of Indonesia; and (iii) in Indonesia, both the impulse response of monetary policy variables to exchange rate shocks and that of CPI to monetary policy shocks were positive, large, and statistically significant. Thus, Indonesia's accommodative monetary policy, coupled with the high degree of CPI responsiveness to exchange rate changes was an important factor in the inflation‐depreciation spiral in the wake of the currency crisis.