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Efecto transferencia (pass-through) del tipo de cambio en los precios de bienes y servicios en Venezuela
[Exchange rate pass-through on prices of goods and services in Venezuela]

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  • Mendoza Lugo, Omar
  • Pedauga, Luis Enrique

Abstract

This paper delves into the asymmetries of the exchange rate pass-through on prices in the case of Venezuela, extending the analysis of Mendoza (2004) the prices of goods and services. The data used is monthly for the period 07/90 -12/04. We find that pass-through in services is less than pass-through in goods. This result may reflect the presence of a major component of non-tradables in the former than the latter. For both groups there is evidence of price asymmetries associated mainly to the behavior of oil prices, the misalignment of the real exchange rate and monetary expansions or contractions.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 14874.

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Date of creation: Dec 2006
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Handle: RePEc:pra:mprapa:14874

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Keywords: Pass-through; inflation; depreciation; regression models with smooth transition;

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References

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  1. Burstein, Ariel Tomas & Neves, Joao C & Rebelo, Sérgio, 2001. "Distribution Costs and Real Exchange Rate Dynamics During Exchange-Rate-Based Stabilization," CEPR Discussion Papers 2944, C.E.P.R. Discussion Papers.
  2. Philip Rothman & Dick van Dijk & Philip Hans Franses, 1999. "A Multivariate STAR Analysis of the Relationship Between Money and Output," Working Papers 9913, East Carolina University, Department of Economics.
  3. M. Nowak & Ketil Hviding & Luca Antonio Ricci, 2004. "Can Higher Reserves Help Reduce Exchange Rate Volatility?," IMF Working Papers 04/189, International Monetary Fund.
  4. van Dijk, D.J.C. & Franses, Ph.H.B.F., 1997. "Modelling Multiple Regimes in the Business Cycle," Econometric Institute Research Papers EI 9734/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  5. Franses,Philip Hans & Dijk,Dick van, 2000. "Non-Linear Time Series Models in Empirical Finance," Cambridge Books, Cambridge University Press, number 9780521770415, 9.
  6. Philippe Bacchetta & Eric van Wincoop, 2002. "Why Do Consumer Prices React less than Import Prices to Exchange Rates?," NBER Working Papers 9352, National Bureau of Economic Research, Inc.
  7. Betts, Caroline & Devereux, Michael B., 2000. "Exchange rate dynamics in a model of pricing-to-market," Journal of International Economics, Elsevier, vol. 50(1), pages 215-244, February.
  8. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2004. "Large Devaluations and the Real Exchange Rate," RCER Working Papers 513, University of Rochester - Center for Economic Research (RCER).
  9. Van Dijk, Dick & Franses, Philip Hans & Lucas, Andre, 1999. "Testing for Smooth Transition Nonlinearity in the Presence of Outliers," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 17(2), pages 217-35, April.
  10. Jonathan McCarthy, 2007. "Pass-Through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies," Eastern Economic Journal, Eastern Economic Association, vol. 33(4), pages 511-537, Fall.
  11. Engel, Charles, 2002. "The Responsiveness of Consumer Prices to Exchange Rates: A Synthesis of Some New Open Economy Macro Models," Manchester School, University of Manchester, vol. 70(0), pages 1-15, Supplemen.
  12. Ariel Burstein & Martin Eichenbaum & Sergio Rebelo, 2002. "Why Are Rates of Inflation So Low After Large Devaluations?," NBER Working Papers 8748, National Bureau of Economic Research, Inc.
  13. Joseph E. Gagnon & Jane Ihrig, 2001. "Monetary policy and exchange rate pass-through," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 704, Board of Governors of the Federal Reserve System (U.S.).
  14. Eiji Fuji & Jeannine Bailliu, 2004. "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation," Computing in Economics and Finance 2004, Society for Computational Economics 135, Society for Computational Economics.
  15. Maximo Camacho, 2004. "Vector smooth transition regression models for US GDP and the composite index of leading indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(3), pages 173-196.
  16. Betts, Caroline & Devereux, Michael B., 1996. "The exchange rate in a model of pricing-to-market," European Economic Review, Elsevier, vol. 40(3-5), pages 1007-1021, April.
  17. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, Elsevier, vol. 74(1), pages 119-147, September.
  18. Magda E. Kandil, 2000. "The Asymmetric Effects of Exchange Rate Fluctuations," IMF Working Papers 00/184, International Monetary Fund.
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