Exchange Rate Pass-Through to Prices: VAR Evidence for Chile

Santiago Justel () and Andrés Sansone

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper investigates the exchange rate pass-through (ERPT) to different price indices in Chile. The analysis is carried out with a vector autoregressive (VAR) model with block exogeneity restrictions. Models were estimated using monthly data for Chile from January 1987 to December 2013. Average pass-through ratio to total CPI is estimated to be between 0.1 and 0.2 in the medium term. These results indicate a lower ERPT after the adoption of inflation targeting. Moreover, from 2002 onwards the effect of an exchange rate movement takes around four quarters to pass-through completely, compared to one to two years for the full sample.

Date: 2015-02
New Economics Papers: this item is included in nep-cba, nep-lam, nep-mac and nep-mon
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Citations: View citations in EconPapers (16)

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Journal Article: Exchange rate pass-through to prices: var evidence for Chile (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:747

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