Asymmetric exchange rate pass-through in the Euro area: New evidence from smooth transition models
Nidhaleddine Ben Cheikh ()
Economics - The Open-Access, Open-Assessment E-Journal, 2012, vol. 6, pages 1-28
This paper examines the presence of asymmetric behavior in exchange rate pass-through (ERPT) to CPI inflation in 12 euro area (EA) countries. Using a class of nonlinear smooth transition models, the author tests for asymmetry with respect to the direction and the magnitude of exchange rate changes. On the one hand, the author finds only 5 out of 12 EA countries showing asymmetric pass-through related to exchange rate appreciations and depreciations. Results are somewhat mixed with no clear evidence about the direction of asymmetry. On the other hand, the author reports strong evidence that ERPT responds asymmetrically to the size of exchange rate changes as a result of presence of menu costs. The degree of ERPT is found to be higher for large exchange rate changes than for small ones in 9 out of 12 EA countries.
Keywords: exchange rate pass-through; inflation; smooth transition regression models; euro area (search for similar items in EconPapers)
JEL-codes: C22 E31 F31 F41 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Working Paper: Asymmetric exchange rate pass-through in the Euro area: new evidence from smooth transition models (2012)
Working Paper: Asymmetric exchange rate pass-through in the Euro area: New evidence from smooth transition models (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:zbw:ifweej:201239
Access Statistics for this article
Economics - The Open-Access, Open-Assessment E-Journal is currently edited by Dennis J. Snower
More articles in Economics - The Open-Access, Open-Assessment E-Journal from Kiel Institute for the World Economy (IfW) Contact information at EDIRC.
Series data maintained by ZBW - German National Library of Economics ().