Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada
AbstractThe authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. They define pass-through within a correlated vector autoregression (VAR) framework as the response of domestic inflation to an impulse in import price inflation. This approach allows them to examine changes in both the amount and the duration of pass-through.
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Bibliographic InfoPaper provided by Bank of Canada in its series Working Papers with number 06-2.
Length: 26 pages
Date of creation: 2006
Date of revision:
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Econometric and statistical methods;
Find related papers by JEL classification:
- F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-06-24 (All new papers)
- NEP-CBA-2006-06-24 (Central Banking)
- NEP-FMK-2006-06-24 (Financial Markets)
- NEP-IFN-2006-06-24 (International Finance)
- NEP-MAC-2006-06-24 (Macroeconomics)
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