Nonlinear mechanism of the exchange rate pass-through: Does business cycle matter?
Nidhaleddine Ben Cheikh ()
MPRA Paper from University Library of Munich, Germany
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 reveal that pass-through depends positively on economic activity, that is, when real GDP is growing above some threshold, the extent of ERPT becomes higher.
Keywords: Exchange Rate Pass-Through; Inflation; Smooth Transition Regression (search for similar items in EconPapers)
JEL-codes: E31 C22 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-mac, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/41179/1/MPRA_paper_41179.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/41271/1/MPRA_paper_41271.pdf revised version (application/pdf)
Working Paper: Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter? (2013)
Working Paper: Nonlinear Mechanism of the Exchange Rate Pass-Through: Does Business Cycle Matter? (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:pra:mprapa:41179
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Schackstr. 4, D-80539 Munich, Germany. Contact information at EDIRC.
Series data maintained by Ekkehart Schlicht ().