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Exchange rate pass-through: A generalization

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

Abstract

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.

Suggested Citation

  • Beladi, Hamid & Chakrabarti, Avik & Marjit, Sugata, 2010. "Exchange rate pass-through: A generalization," Journal of Mathematical Economics, Elsevier, vol. 46(4), pages 493-504, July.
    • Handle: RePEc:eee:mateco:v:46:y:2010:i:4:p:493-504
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    Cited by:

    1. Beladi, Hamid & Chakrabarti, Avik, 2012. "Stochastic processes and target zones revisited," Economics Letters, Elsevier, vol. 116(1), pages 34-36.
    2. Mallick, Sushanta & Marques, Helena, 2017. "Export prices, selection into exporting and market size: Evidence from China and India," International Business Review, Elsevier, vol. 26(6), pages 1034-1050.
    3. Mallick, Sushanta & Marques, Helena, 2016. "Pricing strategy of emerging market exporters in alternate currency regimes: The role of comparative advantage," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 68-81.

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    More about this item

    Keywords

    Exchange rate Pass-through Stochastic processes Brownian motion;

    JEL classification:

    • F1 - International Economics - - Trade
    • F3 - International Economics - - International Finance
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium

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