Asymmetry of the Exchange Rate Pass-Through
We propose a complex analysis of the exchange rate pass-through in an open economy. We assess the level, linearity, and symmetry of exchange rate pass-through to import and consumer prices in Poland and discuss their implications for monetary policy. We show that the pass-through is incomplete, even in the long run. There is pricing to market behavior in both the long and short runs. We do not find strong evidence of nonlinearity in import prices' reaction to the exchange rate and reject the hypothesis of an asymmetric response to appreciations and depreciations. On the other hand, we find an asymmetry of consumer price index responses to the output gap, direction and size of exchange rate changes, and magnitude of exchange rate volatility. The asymmetry is mostly visible after exogenous shocks. We reject the hypothesis of an asymmetric reaction of prices in a high- and low-inflation environment.
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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 49 (2011)
Issue (Month): 1 (January)
|Contact details of provider:|| Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=106044|
When requesting a correction, please mention this item's handle: RePEc:mes:eaeuec:v:49:y:2011:i:1:p:30-51. 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: (Chris Nguyen)
If references are entirely missing, you can add them using this form.