Exchange rate pass-through and inflation: A nonlinear time series analysis

被引：57

作者：

Shintani, Mototsugu ^{[1
]}

Terada-Hagiwara, Akiko ^{[2
]}

Yabu, Tomoyoshi ^{[3
]}

机构：

[1] Vanderbilt Univ, Dept Econ, Nashville, TN 37235 USA

[2] Asian Dev Bank, Econ & Res Dept, Manila 1550, Philippines

[3] Keio Univ, Fac Business & Commerce, Minato Ku, Tokyo 1088345, Japan

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2013年 / 32卷

基金：

美国国家科学基金会;

关键词：

Import prices; Inflation indexation; Pricing-to-market; Smooth transition autoregressive models; Sticky prices;

D O I：

10.1016/j.jimonfin.2012.05.024

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Based on a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well approximated by a class of smooth transition autoregressive (STAR) models using the past inflation rate as a transition variable. We employ several U-shaped transition functions in the estimation of the time-varying ERPT to US domestic prices. The estimation result suggests that declines in the ERPT during the 1980s and 1990s are associated with lowered inflation. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：512 / 527

页数：16

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