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Exchange Rate Pass-Through: What Has Changed Since the Crisis?

Author

Listed:
  • Martina Jašová

    (Barnard College, Columbia University, United States)

  • Richhild Moessner

    (Bank for International Settlements, CESifo)

  • Elöd Takáts

    (Bank for International Settlements)

Abstract

We study how exchange rate pass-through to CPI inflation has changed since the global financial crisis. We have three main findings. First, exchange rate pass-through in emerging economies decreased after the financial crisis, while exchange rate pass-through in advanced economies has remained relatively low and stable over time. Second, we show that the declining pass-through in emerging markets is related to declining inflation. Third, we show that it is important to control for non-linearities when estimating exchange rate passthrough. These results hold for both short-run and long-run pass-through and remain robust to extensive changes in the specifications.

Suggested Citation

  • Martina Jašová & Richhild Moessner & Elöd Takáts, 2019. "Exchange Rate Pass-Through: What Has Changed Since the Crisis?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(3), pages 27-58, September.
    • Handle: RePEc:ijc:ijcjou:y:2019:q:3:a:2
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    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

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