Article ID Journal Published Year Pages File Type
965504 Journal of Macroeconomics 2012 12 Pages PDF
Abstract
► We model asymmetric responses of prices to exchange rate variations. ► We consider the cointegrating relationship between prices and exchange rate and allow for asymmetric effects. ► In all the countries under study, depreciations are passed more than appreciations. ► Our estimated pass-through is higher than in linear estimations. ► Important implications for the proper conduct of monetary policy.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Asymmetric exchange rate pass-through: Evidence from major countries
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