Nonlinearities in the exchange rate pass-through: The role of inflation expectations
نویسندگان
چکیده
This paper investigates nonlinearities in the exchange rate pass-through (ERPT) to consumer and import prices by estimating a smooth transition regression model with different inflation expectations regimes for five targeting countries (the UK, Canada, Australia, New Zealand Sweden) three non-targeters US, Euro-Area Switzerland) respectively over period January 1993–August 2021. Both market survey measures of are used as variable, nonlinear is also assessed against benchmark linear model. The both found be stronger some cases close being complete. Also, it regime 2, i.e. when markets consumers expect high rates future; this suggests that anchoring helps reduce ERPT. Finally, appear affect ERPT more countries.
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ژورنال
عنوان ژورنال: International Economics
سال: 2023
ISSN: ['2542-6869', '2110-7017']
DOI: https://doi.org/10.1016/j.inteco.2022.10.003