EconPapers    
Economics at your fingertips  
 

Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter?

Nidhaleddine Ben Cheikh ()

Working Papers from HAL

Abstract: This paper examines the presence of nonlinear mechanism in the exchange rate pass-through (ERPT) to CPI inflation for 12 euro area (EA) countries. Using logistic smooth transition models, we explore the existence of nonlinearity with respect to economic activity along the business cycle. Our results provide a strong evidence of nonlinearity in 6 out of 12 EA countries with significant differences in the degree of ERPT between the periods of expansion and recession. However, we find no clear direction in this regime-dependence of pass-through to business cycle. In some countries, ERPT is higher during expansions than in recessions; however, in other countries, this result is reversed. These cross-country differences in the nonlinear mechanism of pass-through would have important implications for the design of monetary policy and the control of inflation in the EA context.

Keywords: Exchange Rate Pass-Through; Inflation; Smooth Transition Regression (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-mac, nep-mon and nep-opm
Date: 2012-09-10
Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00731502
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://halshs.archives-ouvertes.fr/docs/00/73/15/0 ... heikh_submission.pdf (application/pdf)

Related works:
Working Paper: Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter? (2013) Downloads
Working Paper: Nonlinear mechanism of the exchange rate pass-through: Does business cycle matter? (2012) 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: http://EconPapers.repec.org/RePEc:hal:wpaper:halshs-00731502

Access Statistics for this paper

More papers in Working Papers from HAL
Series data maintained by CCSD ().

 
Page updated 2014-07-23
Handle: RePEc:hal:wpaper:halshs-00731502