EconPapers    
Economics at your fingertips  
 

Inflation and Exchange Rate Pass-Through

Jongrim Ha, M. Marc Stocker and Hakan Yilmazkuday
Additional contact information
M. Marc Stocker: World Bank

No 2004, Working Papers from Florida International University, Department of Economics

Abstract: This paper investigates exchange rate pass-through into consumer prices by considering the nature of the shock triggering currency movements. By individually estimating structural factor-augmented vector autoregression models for 55 countries, monetary policy shocks are shown to be associated with higher exchange rate pass-through measures compared to other domestic shocks, while global shocks have widely different effects across countries. Pass-through measures tend to be lower in countries that combine flexible exchange rate regimes and credible inflation targets, where central bank independence can greatly facilitate the task of stabilizing inflation by using the exchange rate as a buffer against external shocks. It is implied that exchange rate pass-through should be investigated by considering the nature of the shock that triggers currency movements and country characteristics that affect the response of prices.

Keywords: Inflation; Foreign Exchange; Monetary Policy; Exchange Rate Pass Through (search for similar items in EconPapers)
JEL-codes: E31 E42 E52 F31 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2020-03
New Economics Papers: this item is included in nep-cba, nep-mac, nep-mon, nep-opm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

Downloads: (external link)
https://economics.fiu.edu/research/pdfs/2020_working_papers/2004.pdf First version, 2020 (application/pdf)

Related works:
Journal Article: Inflation and exchange rate pass-through (2020) Downloads
Working Paper: Inflation and Exchange Rate Pass-Through (2019) Downloads
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:fiu:wpaper:2004

Access Statistics for this paper

More papers in Working Papers from Florida International University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sheng Guo ().

 
Page updated 2025-03-22
Handle: RePEc:fiu:wpaper:2004