publication . Preprint . 2006

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

Toshitaka Sekine;
Open Access
  • Published: 01 Mar 2006
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) and those of import price movements to consumer prices (second-stage pass-through). The paper finds that both stages of pass-through have declined over time for all the sample countries. The decline in second-stage pass-through is associated with the emergence of the low and stable inflation environment as well as a rise in import penetration, while the relationship to the inflation environment ...
free text keywords: exchange rate pass-through, impacts of commodity prices, time-varying parameter, Markov Chain Monte Carlo, stochastic volatility, jel:C11, jel:E31, jel:E58, jel:F40, jel:F41
28 references, page 1 of 2

Adolfson, M. (2004): “Exchange Rate Pass-Through-Theory, Concepts, Beliefs and Some Evidence,” mimeo, Sveriges Riksbank.

Amstad, M., and A. M. Fischer (2005): “Time Varying Pass-Through: Evidence from an Event Study in a Real-Time Setting,” FRB-NY Staff Reports, No. 228. [OpenAIRE]

Bacchetta, P., and E. van Wincoop (2005): “A Theory of the Currency Denomination of International Trade,” Journal of International Economics, 67, 295-319.

Bank for International Settlements (2005): 75th Annual Report. Basel, Switzerland.

Campa, J. M., and L. S. Goldberg (2004): “Exchange Rate Pass-Through into Import Prices,” Review of Economics and Statistics, forthcoming.

Choudhri, E. U., and D. S. Hakura (2001): “Exchange Rate Pass-Through to Domestic Prices: Does the Inflationary Environment Matter?,” IMF Working Paper, WP/01/194.

Clarida, R., J. Gal´ı, and M. Gertler (2000): “Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory,” Quarterly Journal of Economics, 115, 147-180.

Cogley, T., and T. J. Sargent (2005): “Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.,” Review of Economic Dynamics, 8, 262-302. [OpenAIRE]

de Jong, P., and N. Shephard (1995): “The Simulation Smoother for Time Series Models,” Biometrika, 82, 339-350.

de Walque, G., and R. Wouters (2004): “An Open Economy DSGE Model Linking Euro Area and the US Economy,” mimeo, National Bank of Belgium. [OpenAIRE]

Devereux, M. B., C. Engel, and P. E. Storgaard (2004): “Endogenous Exchange Rate Pass-Through When Nominal Prices are Set in Advance,” Journal of International Economics, 63, 263-291.

Doornik, J. A. (2001): Ox 3.0: Object-Oriented Matrix Programming Using Ox. Timberlake Consultants Press, London, fourth edn.

Dornbusch, R. (1987): “Exchange Rates and Prices,” American Economic Review, 77(1), 93-106.

Frankel, J. A., D. C. Parsley, and S.-J. Wei (2005): “Slow Passthrough Around the World: A New Import for Developing Countries?,” NBER Working Paper, No. 11199.

Gagnon, J., and J. Ihrig (2004): “Monetary Policy and Exchange Rate Pass-Through,” International Journal of Finance and Economics, 9, 315-338.

28 references, page 1 of 2
Powered by OpenAIRE Open Research Graph
Any information missing or wrong?Report an Issue