Evolution of the Exchange Rate Pass-Throught into Prices in Peru: An Empirical Application Using TVP-VAR-SV Models
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DOI: 10.18800/2079-8474.0510
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More about this item
Keywords
Exchange Rate Pass-Through into Prices; Vector Autoregressive Model with TimeVarying Parameters; Stochastic Volatility; Bayesian Estimation and Comparison of Models; Deviance Information Criterion; Marginal Likelihood; Peruvian Economy.;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2022-06-20 (Central Banking)
- NEP-MAC-2022-06-20 (Macroeconomics)
- NEP-MON-2022-06-20 (Monetary Economics)
- NEP-OPM-2022-06-20 (Open Economy Macroeconomics)
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