Nonlinear mechanism of the exchange rate pass-through: Does business cycle matter?
AbstractThis paper examines the presence of nonlinear mechanism in the exchange rate pass-through (ERPT) to CPI inflation for 12 euro area (EA) countries. Using logistic smooth transition models, we explore the existence of nonlinearity with respect to economic activity along the business cycle. Our results reveal that pass-through depends positively on economic activity, that is, when real GDP is growing above some threshold, the extent of ERPT becomes higher.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 41179.
Date of creation: Sep 2012
Date of revision:
Exchange Rate Pass-Through; Inflation; Smooth Transition Regression;
Other versions of this item:
- Nidhaleddine Ben Cheikh, 2012. "Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?," Working Papers halshs-00731502, HAL.
- Nidhaleddine Ben Cheikh, 2013. "Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?," Economics Working Paper Archive (University of Rennes 1 & University of Caen) 201306, Center for Research in Economics and Management (CREM), University of Rennes 1, University of Caen and CNRS.
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-22 (All new papers)
- NEP-EEC-2012-09-22 (European Economics)
- NEP-MAC-2012-09-22 (Macroeconomics)
- NEP-MON-2012-09-22 (Monetary Economics)
- NEP-OPM-2012-09-22 (Open Economy Macroeconomics)
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