Time-varying exchange rate pass-through over 2005–2021 using dynamic model averaging

Yasemin Colak, Lutfi Erden and Ibrahim Ozkan

International Review of Economics & Finance, 2024, vol. 96, issue PA

Abstract: This study reexamines the time-varying structure of exchange rate pass-through (ERPT) by employing the dynamic model averaging (DMA) method. DMA is a novel empirical methodology that allows both parameters and predictors of the model to change over time, thereby addressing model uncertainty in determining time-varying ERPT degrees. We apply DMA to quarterly time series data spanning from 1996:1–2021:3 for each of the 39 advanced and emerging economies in the sample. The findings reveal a shift in short run ERPT dynamics prompted by the global crisis in 2008-09. While ERPT levels are initially low, they have been rising steadily since the onset of the pandemic across all advanced countries. Conversely, the ERPT levels are approximately twice as high in emerging economies, exhibiting a U-shaped pattern over the sample period.

Keywords: Exchange rate pass-through; Time-varying; Dynamic model averaging (search for similar items in EconPapers)
JEL-codes: C13 E31 F31 (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056024005069
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:reveco:v:96:y:2024:i:pa:s1059056024005069

DOI: 10.1016/j.iref.2024.103514

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().