The Endogeneity of Exchange Rate Pass-Through: Some European Evidence

被引：0
作者：
Ayako Saiki
机构：
[1] De Nederlandsche Bank,Department of Economic Policy and Research (EBO)
[2] DNB-EBO,undefined
来源：
Open Economies Review | 2015年 / 26卷
关键词：
Monetary policy; Inflation; Exchange rate; Pass-through; GMM; E52; E31; F31; F41; C23; C26;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
The decline in exchange rate pass-through (ERPT) in the last three decades is well-documented in the literature. Various studies seek explanations, among which is higher monetary policy credibility. ERPT is often treated as exogenous (i.e., fix coefficient) in policy-makers’ and market participants’ forecasting models. However, if the ERPT is endogenous to monetary policy, it can lead to an error in inflation forecasts and inaccurate policy reaction. Against this backdrop, this paper seeks to examine the endogeneity of exchange rate pass-through to monetary policy, using the European countries as the sample.
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页码：893 / 909
页数：16
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