@techreport{NogueiraJunior2010inflation,
abstract = {Recent literature has argued that exchange rate pass-through (ERPT) into domestic inflation has been declining in many countries following a dramatic change in inflation environment during the 1990s. Available empirical results face two central challenges: (i) the evidence on declining ERPT is mostly based on sample-splitting approaches and hence subject to a degree of arbitrariness; and (ii) the link between a lower ERPT and inflation environment is usually based on simple correlation analysis and hence silent about temporal causality. We address these issues by making use of a state-space model that allows ERPT to be time-varying and dependent on the inflation environment.},
address = {Canterbury},
author = {Reginaldo P. Nogueira J\'{u}nior and Miguel A. Le\'{o}n-Ledesma},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E42; E52; E58; F31; F41; 330; exchange rate pass-through; inflation; state-space models; causality tests; Geldpolitik; Inflationsrate; Exchange Rate Pass-Through; Kausalanalyse},
language = {eng},
number = {10,02},
publisher = {Univ. of Kent, School of Economics},
title = {Is low inflation really causing the decline in exchange rate pass-through?},
type = {School of Economics discussion papers},
url = {http://hdl.handle.net/10419/50636},
year = {2010}
}
