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Exchange rate pass-through: A generalization

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Author Info

  • Beladi, Hamid
  • Chakrabarti, Avik
  • Marjit, Sugata

Abstract

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.

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File URL: http://www.sciencedirect.com/science/article/B6VBY-4YP0N1D-1/2/03de7c57955391e9d1fcda401ef651dd
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 46 (2010)
Issue (Month): 4 (July)
Pages: 493-504

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Handle: RePEc:eee:mateco:v:46:y:2010:i:4:p:493-504

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Web page: http://www.elsevier.com/locate/jmateco

Related research

Keywords: Exchange rate Pass-through Stochastic processes Brownian motion;

References

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Cited by:
  1. Beladi, Hamid & Chakrabarti, Avik, 2012. "Stochastic processes and target zones revisited," Economics Letters, Elsevier, vol. 116(1), pages 34-36.

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