publication . Preprint . 2006

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

Toshitaka Sekine;
Open Access
  • Published: 01 Mar 2006
Abstract
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 ...
Subjects
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
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