Asymmetric exchange rate pass-through: evidence from Colombia based in a TVAR model

Santiago Marín-Ardila ()

No 17572, Revista Intercambio from Universidad Nacional de Colombia Sede Medellín

Abstract: In this paper we assess the asymmetric responses of the inflation rate to nominal exchange rate shocks in Colombia. To this end, we estimate a Threshold VAR (TVAR) along with a Generalized Impulse Response Function (GIRF) framework. The empirical evidence illustrates the existence of two regimes (low and high nominal exchange rate levels) and that nominal exchange rate shocks have different effects on the inflation rate depending from the regime which the shock departs. ****** En el presente artículo se estudian las respuestas asimétricas de la inflación ante choques en la tasa de cambio nominal en Colombia. Para este fin, se estima un modelo VAR por Umbrales (TVAR) junto con un marco de Funciones de Impulso Respuesta Generalizadas (GIRF). La evidencia empírica sugiere la existencia de dos regímenes (niveles alto y bajo de la tasa de cambio nominal) y la existencia de respuestas distintas de la inflación a choques en la tasa de cambio nominal, dependiendo del régimen de donde parte el choque.

Keywords: asymmetries; pass-through; exchange rate; inflation; TVAR; nonlinearities; Colombia (search for similar items in EconPapers)
JEL-codes: C32 E31 E40 (search for similar items in EconPapers)
Pages: 228
Date: 2019-09-30
New Economics Papers: this item is included in nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:col:000538:017572

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