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El traspaso de tipo de cambio a precios en Uruguay

Author

Listed:
  • Diego Gianelli

    (Banco Central del Uruguay - Departamento de Economía, Facultad de Ciencias Sociales, Universidad de la República)

Abstract

This paper analyses the magnitude and speed of the exchange rate pass-through to prices comparing the results from a Semi-structural Model, VAR models, nonlinear regressions and the Kalman Filter. This paper also discusses the relation between a set of macroeconomic fundamentals and the exchange rate pass through, by using nonlinear regressions and a State Space representation. The main conclusions of the study reveal that the long run pass-through is close to unit and there is a significant fall in the speed of convergence since the mid 90’s. This fall is associated with the reduction in the inflation stance and the abandonment of the crawling peg regime. The paper also suggests a leverage effect on the pass through due to a positive output gap.

Suggested Citation

  • Diego Gianelli, 2011. "El traspaso de tipo de cambio a precios en Uruguay," Documentos de Trabajo (working papers) 2711, Department of Economics - dECON.
    • Handle: RePEc:ude:wpaper:2711
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    File URL: https://hdl.handle.net/20.500.12008/2218
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    Citations

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    Cited by:

    1. German Cubas, 2012. "The Rate of Reserve Requirements and Monetary Policy in Uruguay: a DSGE Approach," Documentos de trabajo 2012011, Banco Central del Uruguay.
    2. German Cubas, 2011. "A Dynamic Stochastic General Equilibrium Model for Policy Analysis in Uruguay," Documentos de trabajo 2011013, Banco Central del Uruguay.

    More about this item

    Keywords

    Pass-through; Exchange Rate; Monetary Policy; Uruguay;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • 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

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