publication . Preprint . Report . 2004

Role of Exchange Rate Volatility in Exchange Rate Pass-Through to Import Prices: Some Evidence from Japan

Guneratne Wickremasinghe; Param Silvapulle;
Open Access
  • Published: 21 Jun 2004
Abstract
This paper investigates the effect of exchange rate volatility on the degree of exchange rate pass-through in Japan for the period January 1975 to June 1997. Although several studies put forward theoretical arguments for the volatility-domestic import price relationship, only a very few studies produced empirical evidence. The volatility of contractual currency based exchange rate index returns was modelled using GARCH-type processes with skewed student t-distribution, capturing the typical nature of exchange rate returns. Using a three-state regime switching threshold model, we examine the response of import prices, the degree of pass-through in particular, to ...
Subjects
free text keywords: jel:F31, jel:F41

Hooper, P. and Kohlhagen, S. W. (1978), “The Effect of Exchange Rate Uncertainty on the Prices and Volume of International Trade”, Journal of International Economics, 8, 483-511.

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publication . Preprint . Report . 2004

Role of Exchange Rate Volatility in Exchange Rate Pass-Through to Import Prices: Some Evidence from Japan

Guneratne Wickremasinghe; Param Silvapulle;