Exchange Rate Pass-Through and Inflation:A Nonlinear Time Series Analysis

dc.contributor.author	Shintani, Mototsugu
dc.contributor.author	Terada-Hagiwara, Akiko
dc.contributor.author	Yabu, Tomoyoshi
dc.date.accessioned	2020-09-14T01:18:29Z
dc.date.available	2020-09-14T01:18:29Z
dc.date.issued	2009
dc.identifier.uri	http://hdl.handle.net/1803/15878
dc.description.abstract	This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Using a simple theoretical model of ERPT determination, we show that the dynamics of ERPT can be well-approximated by a class of smooth transition autoregressive (STAR) models with inflation as a transition variable. We employ several U-shaped transition functions in the estimation of the time-varying ERPT to U.S. domestic prices. The estimation result suggests that declines in the ERPT during the 1980s and 1990s are associated with lowered inflation.
dc.language.iso	en_US
dc.publisher	Vanderbilt University	en
dc.subject	Import prices
dc.subject	inflation indexation
dc.subject	pricing-to-market
dc.subject	smooth transition autoregressive models
dc.subject	sticky prices
dc.subject	JEL Classification Number: C22
dc.subject	JEL Classification Number: E31
dc.subject	JEL Classification Number: F31
dc.subject.other
dc.title	Exchange Rate Pass-Through and Inflation:A Nonlinear Time Series Analysis
dc.type	Working Paper	en
dc.description.department	Economics