Exchange rate pass-through and inflation: A nonlinear time series analysis

Mototsugu Shintani, Akiko Terada-Hagiwara, Tomoyoshi Yabu

研究成果: Article査読

42 被引用数 (Scopus)

抄録

This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Based on a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well approximated by a class of smooth transition autoregressive (STAR) models using the past inflation rate as a transition variable. We employ several U-shaped transition functions in the estimation of the time-varying ERPT to US domestic prices. The estimation result suggests that declines in the ERPT during the 1980s and 1990s are associated with lowered inflation.

本文言語English
ページ(範囲)512-527
ページ数16
ジャーナルJournal of International Money and Finance
32
1
DOI
出版ステータスPublished - 2013

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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