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Title:Exchange-rate pass-through to import prices: nonlinearities and exchange rate and inflationary regimes PDF Logo
Authors:Kılıç, Rehim
Issue Date:2010
Series/Report no.:TÜSİAD-Koç University Economic Research Forum working paper series 1033
Abstract:This paper investigates the relationship between exchange rate pass-through and exchange rate appreciations/depreciations and inflation by estimating nonlinear time series models. Motivated by theoretical and empirical results in the literature, the paper proposes new econometric models that can characterize nonlinear and asymmetric dynamics between import prices and exchange rate changes in a parsimonious fashion. Findings show the presence of complete and incomplete pass-through regimes depending upon the magnitude of appreciations of a currency and inflation rates both in the short-run and in the long-run. Results also reveal threshold effects and asymmetry in the pass-through relationship over appreciations/depreciations as well as inflationary and disinflationary periods. Findings have important macroeconomic policy implications.
Subjects:Smooth Transition
Nonlinearity
Asymmetry
Exchange Rate Passthrough
Import Prices
JEL:C22
F31
F41
Document Type:Working Paper
Appears in Collections:ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)

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