关键词: 汇率传递 , 汇率预期 , 非线性效应 , STR模型

Abstract: The payment time is mostly in the future in foreign tradeThe expectations of future exchange rate changes will affect the passthrough effect of exchange rate on export prices, resulting in nonlinear characteristics of exchange rate passthroughThis paper theoretically analyzes this phenomenon and the results show that when the extent of exchange rate change in the future are expected to be large, the exchange rate passthrough degree will decline or there may even be a negative passthroughIn the empirical study, we analyze the passthrough effect of RMB exchange rate on export prices under the exchange rate expectation with data from January 1999 to July 2016 using the STR modelWe find that when the extent of expected change in RMB exchange rate is small, the exchange rate passthrough coefficient is positive, and the RMB appreciation will lead to an increase in export prices and the devaluation will lead to decline in export pricesWhen the extent of expected change in RMB exchange rate reached a certain threshold, the appreciation of the RMB will lead to drop in export prices, and the devaluation will lead to rise in export pricesTherefore, it is necessary for the monetary authorities to pay attention to the impact of exchange rate expectations on prices of and demand for imports and exports, especially when the expectation of exchange rate change is large

Key words: pass through , exchange rate expectation , nonlinear effect , STR model