Advanced Search
MyIDEAS: Login

Exchange Rate Pass-Through and Market Response: The Case of the US Steel Market

Contents:

Author Info

  • MoonJoong Tcha

    (UWA Business School, The University of Western Australia)

  • Jae H. Kim

    (Department of Econometrics and Business Statistics, Monash University)

Abstract

The relationship between real exchange rate pass-through (ERPT) for market price and an individual country’s price was theoretically formulated and empirically explored, using steel products data in the US market, with special reference to two major steel exporting countries, Japan and Korea. It was found that the direction of market ERPT can be different from that of individual ERPT, due to strategic interactions among producers and different parameters. Vector error correction models and impulse response analysis were used with the statistical inference based on the bootstrap-after-bootstrap of Kilian (1998) for short-run, and the fully modified estimation of Phillips and Hansen (1990) was used for long-run. Empirical results indicate that market ERPT against Japan-US exchange rates is different from that against Korea-US exchange rates. The framework developed in this study indicates that this phenomenon is attributed to either the two countries having different ERPTs, or the other countries’ pricing strategies against the two countries ERPT being different.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.biz.uwa.edu.au/home/research/discussionworking_papers/economics/2003?f=151051
File Function: Main Document
Download Restriction: no

File URL: http://www.biz.uwa.edu.au/home/research/discussionworking_papers/economics/2003?f=151052
File Function: Tables
Download Restriction: no

File URL: http://www.biz.uwa.edu.au/home/research/discussionworking_papers/economics/2003?f=151053
File Function: Figures
Download Restriction: no

Bibliographic Info

Paper provided by The University of Western Australia, Department of Economics in its series Economics Discussion / Working Papers with number 03-02.

as in new window
Length: 31 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:uwa:wpaper:03-02

Contact details of provider:
Postal: 35 Stirling Highway, Crawley, W.A. 6009
Phone: (08) 9380 2918
Fax: (08) 9380 1016
Web page: http://www.business.uwa.edu.au/school/disciplines/economics
More information through EDIRC

Related research

Keywords: Market exchange rate pass-through; individual exchange rate pass-through; elasticities;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Feenstra, Robert C., 1989. "Symmetric pass-through of tariffs and exchange rates under imperfect competition: An empirical test," Journal of International Economics, Elsevier, vol. 27(1-2), pages 25-45, August.
  2. Robert C. Feenstra & Joseph E. Gagnon & Michael M. Knetter., 1993. "Market share and exchange rate pass-through in world automobile trade," International Finance Discussion Papers 446, Board of Governors of the Federal Reserve System (U.S.).
  3. Tivig, Thusnelda, 1996. "Exchange rate pass-through in two-period duopoly," International Journal of Industrial Organization, Elsevier, vol. 14(5), pages 631-645, July.
  4. Kenneth A. Froot & Paul Klemperer, 1989. "Exchange Rate Pass-Through When Market Share Matters," NBER Working Papers 2542, National Bureau of Economic Research, Inc.
  5. Dominique M. Gross & Nicolas Schmitt, 1999. "Exchange Rate Pass-Through and Dynamic Oligopoly - An Empirical Investigation," IMF Working Papers 99/47, International Monetary Fund.
  6. Knetter, Michael M, 1989. "Price Discrimination by U.S. and German Exporters," American Economic Review, American Economic Association, vol. 79(1), pages 198-210, March.
  7. Lutz Kilian, 1998. "Small-Sample Confidence Intervals For Impulse Response Functions," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 218-230, May.
  8. Thomas Klitgaard, 1999. "Exchange rates and profit margins: the case of Japanese exporters," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 41-54.
  9. Sven W. Arndt & J. David Richardson, 1988. "Real-Financial Linkages Among Open Economies," NBER Working Papers 2230, National Bureau of Economic Research, Inc.
  10. Varangis, Panayotis N. & Duncan, Ronald C., 1993. "Exchange rate pass through : An application to US and Japanese steel prices," Resources Policy, Elsevier, vol. 19(1), pages 30-39, March.
  11. Klemperer, Paul, 1995. "Competition When Consumers Have Switching Costs: An Overview with Applications to Industrial Organization, Macroeconomics, and International Trade," Review of Economic Studies, Wiley Blackwell, vol. 62(4), pages 515-39, October.
  12. Peter C.B. Phillips & Bruce E. Hansen, 1988. "Statistical Inference in Instrumental Variables," Cowles Foundation Discussion Papers 869R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1989.
  13. Pinelopi Koujianou Goldberg & Michael M. Knetter, 1997. "Goods Prices and Exchange Rates: What Have We Learned?," Journal of Economic Literature, American Economic Association, vol. 35(3), pages 1243-1272, September.
  14. Adolfson, Malin, 2001. "Export price responses to exogenous exchange rate movements," Economics Letters, Elsevier, vol. 71(1), pages 91-96, April.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:uwa:wpaper:03-02. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shane Standley).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.