Economics at your fingertips  

Nonlinear exchange rate pass-through in Latin America

Lucas Lourenço () and Claudio Vasconcelos ()
Additional contact information
Lucas Lourenço: Universidade Federal de Juiz de Fora, Brazil
Claudio Vasconcelos: Universidade Federal de Juiz de Fora, Brazil

Economics Bulletin, 2018, vol. 38, issue 3, 1566-1582

Abstract: The study aimed to investigate the exchange rate pass-through (ERPT) to domestic prices in four major Latin American economies between 1999 and 2017. The underlying assumption is that currency appreciations have different degree of pass-through when compared to depreciations. The methodology is based on NARDL model, which allows cointegration analyses after the inclusion of threshold variables. The results showed satisfactory presence of cointegration and consistency towards what the literature predicts. In the short run, the results were in accordance with the literature, with small coefficients, many of them non-significant. In the long run, significant coefficients varying from 9% up to 45% were estimated. For Brazil and Mexico, the currency has a sharper transmission to domestic inflation when it depreciates. In the Chilean case, the opposite outcome prevailed, as appreciations had a larger impact than depreciations. In Colombia, the ERPT coefficients were significant, although linear.

Keywords: Exchange rate; pass-through; nonlinearity; NARDL; Latin America (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 2018-09-07
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link) (application/pdf)

Related works:
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:

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().

Page updated 2018-09-29
Handle: RePEc:ebl:ecbull:eb-18-00436