Exchange rate pass-through, monetary policy and real shocks: an empirical evaluation

We look at a panel of Latin American countries from 1970 and 2016 to enquire how exchange rate pass-through has changed over time, and whether this owes to monetary or real shocks hitting the economy. We estimate conventional pass-through measures, both short and long run; then we obtain rolling est...

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Detalles Bibliográficos
Autores principales: Aguirre, Horacio A., González Padilla, Héctor G.
Formato: Objeto de conferencia
Lenguaje:Inglés
Publicado: 2018
Materias:
Ciencias Económicas
Exchange rate pass through
monetary policy
panel data models
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/169108
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-169108
record_format dspace
spelling I19-R120-10915-1691082024-09-02T20:02:10Z http://sedici.unlp.edu.ar/handle/10915/169108 Exchange rate pass-through, monetary policy and real shocks: an empirical evaluation Aguirre, Horacio A. González Padilla, Héctor G. 2018-11 2018 2024-08-27T12:41:34Z en Ciencias Económicas Exchange rate pass through monetary policy panel data models We look at a panel of Latin American countries from 1970 and 2016 to enquire how exchange rate pass-through has changed over time, and whether this owes to monetary or real shocks hitting the economy. We estimate conventional pass-through measures, both short and long run; then we obtain rolling estimates of those measures, and relate them to monetary and real variables using fixed effect models. We find that: in keeping with previous studies, pass-through coefficients have fallen sharply in recent decades in Latin America; money growth tends to be strongly associated to short-run exchange rate pass through, with a small influence of real shocks such as terms-of-trade changes; money growth is also associated to long-run pass-through, while terms of trade shocks are more statistically significant. Results are consistent with the hypothesis that ERPT changes with the kind of shock and the monetary policy response to it. Facultad de Ciencias Económicas Objeto de conferencia Objeto de conferencia http://creativecommons.org/licenses/by-nc-sa/4.0/ Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International (CC BY-NC-SA 4.0) application/pdf
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Ciencias Económicas
Exchange rate pass through
monetary policy
panel data models
spellingShingle Ciencias Económicas
Exchange rate pass through
monetary policy
panel data models
Aguirre, Horacio A.
González Padilla, Héctor G.
Exchange rate pass-through, monetary policy and real shocks: an empirical evaluation
topic_facet Ciencias Económicas
Exchange rate pass through
monetary policy
panel data models
description We look at a panel of Latin American countries from 1970 and 2016 to enquire how exchange rate pass-through has changed over time, and whether this owes to monetary or real shocks hitting the economy. We estimate conventional pass-through measures, both short and long run; then we obtain rolling estimates of those measures, and relate them to monetary and real variables using fixed effect models. We find that: in keeping with previous studies, pass-through coefficients have fallen sharply in recent decades in Latin America; money growth tends to be strongly associated to short-run exchange rate pass through, with a small influence of real shocks such as terms-of-trade changes; money growth is also associated to long-run pass-through, while terms of trade shocks are more statistically significant. Results are consistent with the hypothesis that ERPT changes with the kind of shock and the monetary policy response to it.
format Objeto de conferencia
Objeto de conferencia
author Aguirre, Horacio A.
González Padilla, Héctor G.
author_facet Aguirre, Horacio A.
González Padilla, Héctor G.
author_sort Aguirre, Horacio A.
title Exchange rate pass-through, monetary policy and real shocks: an empirical evaluation
title_short Exchange rate pass-through, monetary policy and real shocks: an empirical evaluation
title_full Exchange rate pass-through, monetary policy and real shocks: an empirical evaluation
title_fullStr Exchange rate pass-through, monetary policy and real shocks: an empirical evaluation
title_full_unstemmed Exchange rate pass-through, monetary policy and real shocks: an empirical evaluation
title_sort exchange rate pass-through, monetary policy and real shocks: an empirical evaluation
publishDate 2018
url http://sedici.unlp.edu.ar/handle/10915/169108
work_keys_str_mv AT aguirrehoracioa exchangeratepassthroughmonetarypolicyandrealshocksanempiricalevaluation
AT gonzalezpadillahectorg exchangeratepassthroughmonetarypolicyandrealshocksanempiricalevaluation
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