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Exchange Rate Pass-Through: What Has Changed Since the Crisis?

Martina Jašová, Richhild Moessner and Elod Takats
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Martina Jašová: Barnard College, Columbia University, United States

International Journal of Central Banking, 2019, vol. 15, issue 3, 27-58

Abstract: We study how exchange rate pass-through to CPI inflation has changed since the global financial crisis. We have three main findings. First, exchange rate pass-through in emerging economies decreased after the financial crisis, while exchange rate pass-through in advanced economies has remained relatively low and stable over time. Second, we show that the declining pass-through in emerging markets is related to declining inflation. Third, we show that it is important to control for non-linearities when estimating exchange rate passthrough. These results hold for both short-run and long-run pass-through and remain robust to extensive changes in the specifications.

JEL-codes: E31 E58 F31 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Exchange rate pass-through: What has changed since the crisis? (2016) Downloads
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