El Traspaso de Tipo de Cambio a Precios en Uruguay

Diego Gianelli
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Diego Gianelli: Banco Central del Uruguay

No 2011008, Documentos de trabajo from Banco Central del Uruguay

Abstract: 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.

Keywords: Pass-through; Exchange Rate; Monetary Policy; Uruguay; Traspaso; Tipo de cambio; Política Monetaria; Uruguay (search for similar items in EconPapers)
JEL-codes: C32 E31 E50 F31 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2011-11
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Citations: View citations in EconPapers (2)

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