A threshold vector autoregression model of exchange rate pass-through in Mexico
نویسندگان
چکیده
منابع مشابه
The Impact of Exchange Rate Pass-Through via Domestic Prices on Inflation in Iran: New Evidence from a Threshold Regression
There are various causes for inflation in macroeconomics. One of the important channels of experiencing inflation is through the international economy caused by external shocks. In this context, the impact of exchange rate volatilities on domestic prices known as Exchange Rate Pass-Through (ERPT) plays a vital role. The present paper deals with the impact of Exchange Rate Pass-Through on inflat...
متن کاملHeterogeneous Exchange Rate Pass-Through in Mexico: What Drives It?
This paper focuses on the pass-through of exchange rate fluctuations into prices of final goods and services, and examines whether contrasting pass-through rates are associated with regionaland/or product-specific characteristics. Using CPI microdata, we estimate industry-specific rates of pass-through across regions in Mexico. By looking at within country price responses, this study alleviates...
متن کاملExchange rate pass-through in Iran: Exchange rate effects on the consumer price index
The purpose of this study is to find an accurate estimate of the exchange rate-CPI relationship in Iran over the past three decades. The results of the Granger causality test in the frequency domain demonstrate a strong causation from the exchange rate to CPI especially in the long run. The results of the wavelet analysis show that in the currency crisis periods, the exchange rate-CPI correlati...
متن کاملExchange Rate Pass-Through in Ghana
The paper examines the effect of exchange rate changes on consumer prices in Ghana using vector autoregression (VAR) models. Using a data set covering the period 1990M01–2009M02, we find that the exchange rate pass-through to inflation is ‘incomplete’ and decreasing in Ghana. Our empirical results indicate a low but significant pass-through in the short run. We argue that the findings reflect t...
متن کاملMonetary Policy, Exchange Rate Flexibility, and Exchange Rate Pass-Through
This paper develops a dynamic general-equilibrium (DGE) model of a small open economy to investigate alternative monetary rules, differing primarily in the degree to which they allow for exchange rate flexibility. A central argument of the paper is that the nature of the trade-off between fixed and floating exchange rates may be quite different in mature industrial economies than in emerging-ma...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Research in International Business and Finance
سال: 2014
ISSN: 0275-5319
DOI: 10.1016/j.ribaf.2013.05.001