A Threshold Vector Autoregression Model of Exchange Rate Pass-Through in Mexico
Abdul Aleem () and
Amine Lahiani
Post-Print from HAL
Abstract:
Considering nonlinearities in the exchange rate pass-through to domesticprices, this paper estimates exchange rate pass-through in Mexico. We examine responses of domestic prices to a positive one unit exchange rate shock by estimating a threshold vector autoregression (TVAR) model. A monthly rate of inflation of 0.79% acts as a threshold. The exchange rate pass-through to domestic prices is statistically significant above the threshold level of the inflation rate and statistically insignificant below it.
Keywords: Exchange rate pass-through; Prices; Threshold vector autoregression (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-cba, nep-mon and nep-opm
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01022416
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)
Published in Research in International Business and Finance, 2014, 30, pp.24-33. ⟨10.1016/j.ribaf.2013.05.001⟩
Downloads: (external link)
https://shs.hal.science/halshs-01022416/document (application/pdf)
Related works:
Journal Article: A threshold vector autoregression model of exchange rate pass-through in Mexico (2014) 
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:hal:journl:halshs-01022416
DOI: 10.1016/j.ribaf.2013.05.001
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().