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Exchange rate pass-through: A generalization

  • Beladi, Hamid
  • Chakrabarti, Avik
  • Marjit, Sugata

The extent of exchange rate pass-through has been playing an increasingly pivotal role in the transmission of exchange rate shocks and adequate policy responses. We develop a model of exchange rate pass-through that allows the stochastic process of exchange rate to include the lagged values of the velocity of money. We show that the likelihood and extent of pass-through is sensitive to the lagged response.

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Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 46 (2010)
Issue (Month): 4 (July)
Pages: 493-504

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Handle: RePEc:eee:mateco:v:46:y:2010:i:4:p:493-504
Contact details of provider: Web page: http://www.elsevier.com/locate/jmateco

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