Time-varying exchange rate pass-through: experiences of some industrial countries

Preprint OPEN
Toshitaka Sekine (2006)
  • Subject: exchange rate pass-through, impacts of commodity prices, time-varying parameter, Markov Chain Monte Carlo, stochastic volatility
    • jel: jel:C11 | jel:E31 | jel:F41 | jel:F40 | jel:E58

This paper estimates exchange rate pass-through of six major industrial countries using a time-varying parameter with stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices (first-stage pass-through... View more
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