Nonlinear exchange rate pass-through and monetary policy credibility: Evidence from Korea

Janghan Kwon and Woongjae Shin

Economics Letters, 2023, vol. 230, issue C

Abstract: Applying a smooth transition vector autoregression model with survey expectation data, we investigate the nonlinear effects of exchange rate shocks on inflation across monetary policy credibility states in Korea. We find that the impact of the exchange rate shocks is statistically larger in the low credibility regime, particularly in the short run. Our findings suggest that monetary policy credibility plays a significant role in maintaining for price stability in Korea.

Keywords: Exchange rate pass-through; Monetary policy credibility; Smooth transition vector autoregressions (search for similar items in EconPapers)
JEL-codes: C32 E31 F31 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002598

DOI: 10.1016/j.econlet.2023.111234

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