A number of researchers have found that the rate of exchange rate pass-through (ERPT) to domestic prices has declined substantially over the last few decades. We revisit this claim of a shrinking exchange rate effect on the Consumer Price Index (CPI) in a vector autoregressive (VAR) model for US macroeconomic data under the current floating exchange rate regime. Our VAR approach nests the conventional single equation method and reveals statistically significant evidence of ERPT to the CPI only during later observations, sharply contrasting with previous findings. After confirming structural breaks in ERPT via statistical tests by Hansen (Journal of Economic Perspectives, 15(4), 117–128, 2001) and Qu and Perron (Econometrica, 75(2), 459–502, 2007), we seek the source with disaggregated level CPIs, and pin down a key role of energy prices. US energy imports increased from the 1990s until the recent recession. This market changes magnify the effects of the exchange rate shocks on domestic energy prices, resulting in greater responses of the total CPI via the energy price channel.

许多研究人员发现，过去几十年来，汇率通过率（ERPT）与国内价格的比率已大大下降。在当前的浮动汇率制度下，我们针对美国宏观经济数据的矢量自回归（VAR）模型，重新审视了汇率对消费者物价指数（CPI）收缩效应的说法。我们的VAR方法套用了传统的单方程方法，仅在以后的观察中才显示出ERPT对CPI具有统计学意义的证据，这与以前的发现形成了鲜明的对比。在通过Hansen（Journal of Economic Perspectives，15（4），117–128，2001）和Qu and Perron（Econometrica，75（2）的统计测试）确认ERPT中的结构性断裂之后（459-502，2007年），我们寻找CPI分级的来源，并确定能源价格的关键作用。从1990年代到最近的经济衰退，美国的能源进口有所增加。这种市场变化加剧了汇率冲击对国内能源价格的影响，从而导致总CPI通过能源价格渠道的反应更大。