Exchange rate pass-through: A generalization

被引：5

作者：

Beladi, Hamid ^{[1
]}

Chakrabarti, Avik ^{[2
]}

Marjit, Sugata ^{[3
]}

机构：

[1] Univ Texas San Antonio, Coll Business, Dept Econ, San Antonio, TX 78249 USA

[2] Univ Wisconsin, Coll Letters & Sci, Dept Econ, Milwaukee, WI 53201 USA

[3] Ctr Studies Social Sci, Kolkata 700094, W Bengal, India

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 2010年 / 46卷 / 04期

关键词：

Exchange rate; Pass-through; Stochastic processes; Brownian motion; HYSTERESIS; PRICES;

D O I：

10.1016/j.jmateco.2010.03.003

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The extent of exchange rate pass-through has been playing an increasingly pivotal role in the transmission of exchange rate shocks and adequate policy responses. We develop a model of exchange rate pass-through that allows the stochastic process of exchange rate to include the lagged values of the velocity of money. We show that the likelihood and extent of pass-through is sensitive to the lagged response. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：493 / 504

页数：12

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