Time-varying nature and macroeconomic determinants of exchange rate pass-through
نویسندگان
چکیده
Article history: Received 7 October 2014 Received in revised form 28 January 2015 Accepted 28 January 2015 Available online 7 February 2015 The objectives of this study are two-fold: i) to derive time-varying exchange rate pass-through (ERPT) degree and ii) investigate the macroeconomic determinants of the degree of ERPT. For this purpose, the study adopts a distinct methodology combining Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroskedasticity (DCC-GARCH) and panel threshold regression analyses. The data from a large sample of countries are used and timevarying ERPT measure is obtained with an application of DCC-GARCH to each country in the sample. Then the macroeconomic determinants of ERPT are examined by making use of both cross country and time variations in a panel regressionmodel. The time varying structure of ERPT clearly shows that the ERPT degree has been low over the last three decades and declining dramatically sincemid-1990s. Further, ERPT responds positively to average inflation and inflation rate volatility while negatively to exchange rate volatility, the degree of openness and output gap. © 2015 Elsevier Inc. All rights reserved. JEL classification: C13 E31 F31 F41
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تاریخ انتشار 2015