Exchange rate pass-through: What has changed since the crisis?

Martina Jasova (), Richhild Moessner and Elod Takats

No 583, BIS Working Papers from Bank for International Settlements

Abstract: We study how exchange rate pass-through to CPI inflation has changed since the global financial crisis. We have three main findings. First, exchange rate pass-through in emerging economies decreased after the financial crisis, while exchange rate pass-through in advanced economies has remained relatively low and stable over time. Second, we show that the declining pass-through in emerging markets is related to declining inflation. Third, we show that it is important to control for non-linearities when estimating exchange rate pass-through. These results hold for both short-run and long-run pass-through and remain robust to extensive changes in the specifications.

Keywords: Exchange rate pass-through; inflation (search for similar items in EconPapers)
Pages: 33 pages
Date: 2016-09
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (56)

Downloads: (external link)
http://www.bis.org/publ/work583.pdf Full PDF document (application/pdf)
http://www.bis.org/publ/work583.htm (text/html)

Related works:
Journal Article: Exchange Rate Pass-Through: What Has Changed Since the Crisis? (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:583

Access Statistics for this paper

More papers in BIS Working Papers from Bank for International Settlements Contact information at EDIRC.
Bibliographic data for series maintained by Martin Fessler ().