수입물가, 생산자물가, 소비자물가 단계별 장·단기환율전가에 관한 연구

The Impact of Long-run and Short-run Exchange Rates on Korean Import Prices, Domestic PPI and CPI

This paper analyzes the impact of exchange rate on the import prices and the domestic PPI and CPI in Korea from 1985 to 2015 with 1st stage regressions long-run Dynamic OLS and 2nd stage regressions short-run Error Correction Model. Our results show that the exchange rate changes to all stages of prices in the long run is higher than short run pass-through. Second, the direction of the asymmetry varies across stages of prices but prices respond asymmetrically with respect to the size of the change in the exchange rate, adjusting their invoice prices only when there are large changes in the exchange rate. Third, the exchange rate pass-through into CPI is smaller than import and producer prices. To examine how closely inflation environment changes are related with inflation targeting adoption and the increase of openness, the rolling estimation approach is applied. Results demonstrate that the exchange rate pass-through into CPI falls persistently and apparently while the exchange rate pass-through into import price rises. These results support Taylor’s (2000) arguments and that external factors have had a sizable inflationary effect in Korea.