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...
Guardado en:
| Autores principales: | , |
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| Formato: | Objeto de conferencia |
| Lenguaje: | Inglés |
| Publicado: |
2018
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| Materias: | |
| Acceso en línea: | http://sedici.unlp.edu.ar/handle/10915/169108 |
| Aporte de: |
| Sumario: | 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. |
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