کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7365566 | 1479154 | 2016 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
State-dependent exchange rate pass-through behavior
ترجمه فارسی عنوان
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We estimate a Bayesian threshold vector autoregression (TVAR) to study the relationship between exchange rate pass-through and economic activity in Canada and Mexico. Both the model comparison and the analysis of impulse-response functions provide strong evidence of a nonlinear relationship and suggest that the exchange rate pass-through is dependent on the state of the economy. In particular, the pass-through coefficient is higher when the growth rate of output is large, and this difference is statistically significant 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 it falls along the distribution chain of goods.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 64, June 2016, Pages 170-195
Journal: Journal of International Money and Finance - Volume 64, June 2016, Pages 170-195
نویسندگان
Luiggi Donayre, Irina Panovska,