Nonlinear exchange rate pass-through in timber products: the case of oriented strand board in Canada and the United States
AbstractWe assess exchange rate pass–through (ERPT) for U.S. and Canadian prices for oriented strand board (OSB), a wood panel product used extensively in U.S. residential construction. Because of its prominence in construction and international trade, OSB markets are likely sensitive to general economic conditions. In keeping with recent research (e.g., Al-Abri and Goodwin, 2009; Larue et al., 2010), we examine regime–specific ERPT effects; we use a smooth transition vector error correction model. We also build on work by Nogueira, Jr. and Leon-Ledesma (2011) and Chew et al. (2011) in considering ERPT asymmetries associated with a measure of general macroeconomic activity. Our results indicate that during expansionary periods ERPT is modest, at least initially, but during the recent financial crises ERPT effects were quite large.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 40834.
Date of creation: 22 Aug 2012
Date of revision:
Exchange rate pass–through; oriented strand board; smooth transition model; unemployment;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- F10 - International Economics - - Trade - - - General
- F30 - International Economics - - International Finance - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-03 (All new papers)
- NEP-MAC-2012-09-03 (Macroeconomics)
- NEP-OPM-2012-09-03 (Open Economy Macroeconomics)
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