Volatility and Pass-Through
نویسندگان
چکیده
What drives countercyclical volatility? A large literature has documented that many economic variables are more disperse in recessions, but this could either occur because shocks get bigger or because rms respond more to shocks which are the same size. Existing evidence that the dispersion of endogenous variables rises in recessions cannot tell us which of volatility or responsiveness is getting bigger, and these two explanations have very di¤erent policy implications. However, we document new facts in the open economy environment and show that they can be used to disentangle these explanations. In particular, we use con dential BLS micro data to show that there is a robust positive relationship between exchange rate pass-through and the dispersion of item-level price changes. We then argue that changes in responsiveness can explain this fact while volatility shocks cannot. JEL Classi cation: E31, E10, E30, F31, E52
منابع مشابه
The Impact of Monetary Regime on the Exchange Rate Pass-Through under Exchange Rate Volatility (Dynamic Panel Data Approach)
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Aguerre, R.B., Fuertes, A. M. and Phylaktis, K. (2012), "Exchange Rate Pass-through into Import Prices Revisited", Journal of International Money, 31: 818-844. Bailliu, J. & Fujii, E. (2004). "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation", Bank of Canada Working Paper No. 21. Carlsson, M., Lyhagen, J., and Österholm, P. (2007)...
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