Una evaluación del pass-through en la Argentina usando funciones impulso respuesta de cuantiles multivariados[An evaluation of pass-through in Argentina using multivariate quantile impulse response functions]

This article implements multivariate quantiles econometric models to evaluate the heterogeneity in price and product pass-through in Argentina 2004-2018. The novel analysis reveals response heterogeneity after an exchange rate shock. First, the mean effects computed using standard VAR techniques on the mean are not adequate for product and inflation. In fact, the effects computed this way are similar to those in extreme quantiles as estimated in this paper. Second, pass-through effects using the offi cial exchange rate on inflation and product mainly depend on each variables’ quantiles, and there are no cross effects. That is, the product effects vary with the product quantiles, but not those of infl ation. Similarly, the effects on inflation do not depend on product but on infl ation only quantiles. There are cross effects, however, when using the unofficial exchange rate. The pass-through effect on prices is higher (lower) for low (high) inflation quantiles. Third, both product and infl ation depend on the exchange rate quantiles. Thus certain exchange rate dynamics may produce high pass-through dynamics (negative for product, positive for inflation)