Exchange rate pass-through to prices: var evidence for Chile

Andrés Sansone and Santiago Justel ()

Journal Econom a Chilena (The Chilean Economy), 2016, vol. 19, issue 1, 20-37

Abstract: This paper investigates the exchange rate pass-through to different price indices in Chile. The analysis is carried out with a vector autoregressive (VAR) model with exogenous variables. Models were estimated using monthly data for Chile from January 1987 to December 2013. Average pass-through ratio to total CPI is estimated to be between 0.1 and 0.2 in the medium term. These results indicate a lower ERPT after the adoption of inflation targeting. Moreover, from 2002 onwards the effect of an exchange rate movement takes around four quarters to pass-through completely, compared to one to two years for the full sample.

Date: 2016
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Related works:
Working Paper: Exchange Rate Pass-Through to Prices: VAR Evidence for Chile (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchec:v:19:y:2016:i:1:p:20-37

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