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Estimating the Exchange Rate Pass-Through to Prices in Mexico

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  • Josué Fernando Cortés Espada

    (Banco de México)

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    Abstract

    This paper estimates the magnitude of the exchange rate pass-through to consumer prices in Mexico. Moreover, it analyzes if the pass-through dynamics have changed in recent years. In particular, it uses a methodology that generates results consistent with the hierarchy implicit in the cpi. The results suggest that the exchange rate pass-through to the general price level is low and not statistically significant. However, the pass-through is positive and significant for goods prices. Furthermore, the exchange rate pass-through declined over the 2000s and the depreciation observed in 2011 did not change this trajectory.

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    File URL: http://www.cemla.org/PDF/monetaria/PUB-MON-I-02.pdf
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    Bibliographic Info

    Article provided by Centro de Estudios Monetarios Latinoamericanos in its journal Monetaria.

    Volume (Year): I (2013)
    Issue (Month): 2 (July-December)
    Pages: 287-316

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    Handle: RePEc:cml:moneta:v:i:y:2013:i:2:p:287-316

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    Related research

    Keywords: depreciation; inflation; exchange rate pass-through; pass-through elasticity;

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    1. Frain, John C., 2004. "A RATS subroutine to implement the Chow-Lin distribution/interpolation procedure," Research Technical Papers 2/RT/04, Central Bank of Ireland.
    2. Reinout De Bock & Alexander Demyanets, 2012. "Bank Asset Quality in Emerging Markets: Determinants and Spillovers," IMF Working Papers 12/71, International Monetary Fund.
    3. Raphael A. Espinoza & Ananthakrishnan Prasad, 2010. "Nonperforming Loans in the GCC Banking System and their Macroeconomic Effects," IMF Working Papers 10/224, International Monetary Fund.
    4. Khemraj, Tarron & Pasha, Sukrishnalall, 2009. "The determinants of non-performing loans: an econometric case study of Guyana," MPRA Paper 53128, University Library of Munich, Germany.
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