کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099702 1377024 2010 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Monthly pass-through ratios
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Monthly pass-through ratios
چکیده انگلیسی
This paper estimates monthly pass-through ratios from import prices to consumer prices in real time. Conventional time series methods impose restrictions to generate exogenous shocks on exchange rates or import prices when estimating pass-through coefficients. Instead, our estimation strategy follows an event-study approach based on monthly releases in import prices. Projections from a dynamic common factor model with daily panels before and after monthly releases of import prices define the innovation for import prices. We apply our identification procedure to Swiss prices and find strong evidence that the median of the monthly pass-through ratio is around 0.3. Tests show that standard assumptions of non-real time data and limited information breath are critical for the pass-through estimates.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 7, July 2010, Pages 1202-1213
نویسندگان
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