Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/202493
Authors: 
Aguirre, Horacio A.
González Padilla, Héctor Gustavo
Year of Publication: 
2019
Series/Report no.: 
Economic Research Working Papers 85
Abstract: 
We look at a panel of Latin American countries from 1970 and 2016 to enquire how exchange rate pass-through has changed over time, and whether this owes to monetary or real shocks hitting the economy. We estimate conventional pass-through measures, both short and long run; then we obtain rolling estimates of those measures, and relate them to monetary and real variables using fixed effect models. We find that: in keeping with previous studies, pass-through coefficients have fallen sharply in recent decades in Latin America; money growth tends to be strongly associated to short-run exchange rate pass through, with a small influence of real shocks such as terms-of-trade changes; money growth is also associated to long-run pass-through, while terms of trade shocks are more statistically significant. Results are consistent with the hypothesis that ERPT changes with the kind of shock and the monetary policy response to it.
Subjects: 
Exchange rate pass through
monetary policy
panel data models
JEL: 
F31
E31
E52
C23
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.