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Asymmetric Exchange Rate Pass-through Behavior over the Business Cycle
| Content Provider | Semantic Scholar |
|---|---|
| Author | Panovska, Luiggi Donayre Irina |
| Copyright Year | 2015 |
| Abstract | We estimate a Bayesian threshold vector autoregression (TVAR) to study the relationship between exchange rate pass-through and business cycles in Canada and Mexico. Both the model comparison and the analysis of impulse response functions show strong evidence of a nonlinear relationship and suggest that the exchange rate pass-through is dependent on the business cycle phase. In particular, the pass-through coe cient is higher when the growth rate of output is large and this di erence is statistically signi cant across regimes for both countries. Furthermore, the results show that the degree of pass-through is complete in the case of import prices and that the pass-through coe cient falls along the distribution chain of goods. JEL Classi cation Code: C11, C32, E31, F31. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://apps.olin.wustl.edu/conf/SBIES/Files/pdf/2015/125.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Accidental Falls Autoregressive model Bayesian network C11 (C standard revision) Cations Manufactured Supplies Model selection Nonlinear system Tail value at risk Vector autoregression |
| Content Type | Text |
| Resource Type | Article |
