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Monetary Policy Credibility and Exchange Rate Pass-Through

Yan Carrière-Swallow (), Bertrand Gruss, Nicolas Magud () and Fabián Valencia
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Bertrand Gruss: International Monetary Fund
Fabián Valencia: International Monetary Fund

International Journal of Central Banking, 2021, vol. 17, issue 3, 61-94

Abstract: A long-standing conjecture in macroeconomics is that declines in exchange rate pass-through over the past three decades are in part due to improved monetary policy performance. In a large sample of emerging and advanced economies, we find evidence that a relatively more credible monetary policy regime-measured by better-anchored inflation expectations-is associated with lower exchange rate pass-through to consumer prices. The results are robust to controlling for the level and variability of nominal variables and for the import content of the consumption basket.

JEL-codes: E31 E52 F41 (search for similar items in EconPapers)
Date: 2021
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Working Paper: Monetary Policy Credibility and Exchange Rate Pass-Through (2016) Downloads
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