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El traspaso de tipo de cambio a precios en Uruguay

Listed author(s):
  • Diego Gianelli


    (Banco Central del Uruguay - Departamento de Economía, Facultad de Ciencias Sociales, Universidad de la República)

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    This paper analyses the magnitude and speed of the exchange rate pass-through to prices comparing the results from a Semi-structural Model, VAR models, nonlinear regressions and the Kalman Filter. This paper also discusses the relation between a set of macroeconomic fundamentals and the exchange rate pass through, by using nonlinear regressions and a State Space representation. The main conclusions of the study reveal that the long run pass-through is close to unit and there is a significant fall in the speed of convergence since the mid 90’s. This fall is associated with the reduction in the inflation stance and the abandonment of the crawling peg regime. The paper also suggests a leverage effect on the pass through due to a positive output gap.

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    Paper provided by Department of Economics - dECON in its series Documentos de Trabajo (working papers) with number 2711.

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    Length: 33 pages
    Date of creation: Nov 2011
    Handle: RePEc:ude:wpaper:2711
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