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Asymmetries in the Pass-Through of Exchange Rate to Prices: The Argentine Case 2004-2019

Author

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  • Matías Barberis

    (Universidad Nacional de La Plata)

Abstract

This document performs an analysis of the asymmetry and non-linearity of the effect that the volatility of the exchange rate introduces on the domestic prices of Argentina during the period 2004-2019. Using the local projections technique, the pass-through coefficient from the exchange rate to prices in different contexts and magnitudes is calculated in order to evaluate its non-linearity and asymmetry. Different specifications of the exchange rate variable were used for a more exhaustive examination. The results suggest that the pass-through coefficient behaves asymmetrically for all the exchange rate variables used and shows clear evidence of non-linearity.

Suggested Citation

  • Matías Barberis, 2021. "Asymmetries in the Pass-Through of Exchange Rate to Prices: The Argentine Case 2004-2019," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(76), pages 103-143, May.
    • Handle: RePEc:bcr:ensayo:v:1:y:2021:i:76:p:103-143
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    More about this item

    Keywords

    Argentina; inflation; exchange rate; pass-through to prices;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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