Threshold Autoregressive Model of Exchange Rate Pass through Effect: The Case of Croatia
AbstractIn this paper exchange rate pass-through effect in Croatia is estimated with nonlinear (asymmetric) threshold autoregressive model (TAR). In total 12285 regressions is estimated and a strong case of nonlinearity with single threshold is proven. According to our estimation there is a threshold at 2.69% of monthly change of nominal exchange rate of German mark (Euro) and the way in which nominal exchange rate affects inflation is asymmetric around it. Below the threshold, effect of change in nominal exchange rate on inflation is statistically insignificant and above the threshold the effect is strong and significant.
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Bibliographic InfoPaper provided by Faculty of Economics and Business, University of Zagreb in its series EFZG Working Papers Series with number 0715.
Date of creation: 01 Oct 2007
Date of revision:
threshold autoregressive model; pass-through effect; exchange rate; inflation; nonlinear econometrics;
Find related papers by JEL classification:
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-13 (All new papers)
- NEP-CBA-2007-10-13 (Central Banking)
- NEP-IFN-2007-10-13 (International Finance)
- NEP-MAC-2007-10-13 (Macroeconomics)
- NEP-MON-2007-10-13 (Monetary Economics)
- NEP-TRA-2007-10-13 (Transition Economics)
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- Przystupa, Jan & Wróbel, Ewa, 2009. "Asymmetry of the exchange rate pass-through: An exercise on the Polish data," MPRA Paper 17660, University Library of Munich, Germany.
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