| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1002917 | Research in International Business and Finance | 2014 | 10 Pages |
Abstract
Considering nonlinearities in the exchange rate pass-through to domestic prices, this paper estimates exchange rate pass-through in Mexico. We examine responses of domestic prices to a positive one unit exchange rate shock by estimating a threshold vector autoregression (TVAR) model. A monthly rate of inflation of 0.79% acts as a threshold. The exchange rate pass-through to domestic prices is statistically significant above the threshold level of the inflation rate and statistically insignificant below it.
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Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Abdul Aleem, Amine Lahiani,