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Exchange-Rate Pass-through with Intertemporal Linkages: Evidence at the Commodity Level

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  • Parsley, David C

Abstract

This paper argues that the stability of exchange-rate pass-through is not well tested in common econometric specifications of pass-through equations. This is because (1) expected future exchange-rate changes are an important omitted variable in these estimations, and (2) the use of aggregate data complicates inference. Commodity-level estimates obtained from applying the Kalman filter are consistent with the apparent instability in aggregate pass-through. Moreover, by comparing these estimates to actual exchange-rate movements, the observed instability is found to be consistent with forward-looking behavior as posited. Copyright 1995 by Blackwell Publishing Ltd.

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Review of International Economics.

Volume (Year): 3 (1995)
Issue (Month): 3 (October)
Pages: 330-41

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Handle: RePEc:bla:reviec:v:3:y:1995:i:3:p:330-41

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0965-7576

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Cited by:
  1. Lee, Jaewoo, 1998. "Intertemporal substitution in imported durables," Journal of International Economics, Elsevier, vol. 44(1), pages 113-133, February.
  2. David C. Parsley, 2004. "Pricing in International Markets: a "Small-country" Benchmark," Review of International Economics, Wiley Blackwell, vol. 12(3), pages 509-524, 08.

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