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.
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)The email address of this maintainer does not seem to be valid anymore. Please ask Chris Nguyen to update the entry or send us the correct address
If references are entirely missing, you can add them using this form.