 Recent developments in exchange rate pass-through: What have we learned from uncertain times?Nidhaleddine Ben Cheikh, Younes Ben Zaied and Hachmi Ben Ameur Journal of International Money and Finance, 2023, vol. 131, issue C Abstract: This study analyzes the influence of geopolitical uncertainty on the degree of exchange rate pass-through (ERPT) into domestic prices for a sample of advanced and emerging economies. We implement a dynamic panel threshold regression model to capture the possible presence of regime shifts in the exchange transmission. The estimation results suggest significant regime-dependence of the ERPT to geopolitical factors, which is more apparent for the sample of developed countries. Primarily, recent adverse geopolitical events seem to lead to higher rates of pass-through to both import and consumer prices. As the uncertainty surrounding the Ukrainian crisis is likely to continue, it is challenging for policymakers to prevent exchange rate changes from fueling the growing inflationary pressures. Keywords: Exchange rate; Domestic prices; Geopolitical risk; Dynamic panel threshold model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560623000062 DOI: 10.1016/j.jimonfin.2023.102805 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
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