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Asymmetric exchange rate pass-through: evidence from Colombia based in a TVAR model

Author

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  • Santiago Marín-Ardila

Abstract

In this paper we assess the asymmetric responses of the inflation rate to nominal exchange rate shocks in Colombia. To this end, we estimate a Threshold VAR (TVAR) along with a Generalized Impulse Response Function (GIRF) framework. The empirical evidence illustrates the existence of two regimes (low and high nominal exchange rate levels) and that nominal exchange rate shocks have different effects on the inflation rate depending from the regime which the shock departs. ****** En el presente artículo se estudian las respuestas asimétricas de la inflación ante choques en la tasa de cambio nominal en Colombia. Para este fin, se estima un modelo VAR por Umbrales (TVAR) junto con un marco de Funciones de Impulso Respuesta Generalizadas (GIRF). La evidencia empírica sugiere la existencia de dos regímenes (niveles alto y bajo de la tasa de cambio nominal) y la existencia de respuestas distintas de la inflación a choques en la tasa de cambio nominal, dependiendo del régimen de donde parte el choque.

Suggested Citation

  • Santiago Marín-Ardila, 2019. "Asymmetric exchange rate pass-through: evidence from Colombia based in a TVAR model," Revista Intercambio 17572, Universidad Nacional de Colombia Sede Medellín.
    • Handle: RePEc:col:000538:017572
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    More about this item

    Keywords

    asymmetries; pass-through; exchange rate; inflation; TVAR; nonlinearities; Colombia;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General

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