Exchange rate pass‐through in a small open economy: Panel evidence from Hong Kong
利用香港高度细分的进口单位价值面板数据，估计汇率对进口价格的传递程度，发现香港的进口价格调整速度比大型封闭经济体更快，且结果稳健。
Abstract This paper presents estimates of exchange rate pass‐through derived from a panel of very disaggregated import unit‐values to Hong Kong. The estimation approach builds on that utilized by Knetter (1989, 1993) to study export pricing and pricing to market. The three‐dimensional data set examined comprises Hong Kong's top eight floating exchange rate trading partners, and twenty‐one of the top 5‐digit SITC imports since 1992. Pass‐through estimates for Hong Kong imply relatively faster import price adjustment than is typically found for larger, less open economies. These estimates are robust to a number of sensitivity tests. Finally these results confirm, from a different perspective, findings by Parsley (2001) that deviations from the law of one price play a relatively smaller role in real exchange rate movements for Hong Kong to be supplies than for other East Asian countries. Copyright © 2003 John Wiley & Sons, Ltd.