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Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada

Lynda Khalaf () and Maral Kichian

Staff Working Papers from Bank of Canada

Abstract: The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. They define pass-through within a correlated vector autoregression (VAR) framework as the response of domestic inflation to an impulse in import price inflation. This approach allows them to examine changes in both the amount and the duration of pass-through.

Keywords: Econometric; and; statistical; methods (search for similar items in EconPapers)
JEL-codes: C52 E31 F31 F40 (search for similar items in EconPapers)
Pages: 26 pages
Date: 2006
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-ifn and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:06-2

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