Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods

Hernan Rincon-Castro, Edgar Caicedo () and Norberto Rodríguez N. ()

Borradores de Economia from Banco de la Republica de Colombia

Abstract: Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign exchange and inflation regimes affect the degree of pass-through is evaluated. The analytical framework used was a mark-up model. The main finding is that the long-run pass-through elasticities for the industries in the sample are stable and go from 0.1 to 0.8 and the short-run ones are unstable and go from 0.1 to 0.7, supporting mark-up hypotheses, in contrast to the hypotheses of perfect market competition and complete pass-through. The findings also show evidence of the variability and different degrees of pass-trough among manufacturing sectors, which confirm the importance of using dynamic models and disaggregate data for an analysis of the pass-through. Both, the hypothesis that under a floating regime there is a low degree of pass-through and the hypothesis that a low inflation environment has the same result are not supported.

Keywords: Pass-through effects; PPP; Imperfect competition; Floating regime; Low inflation environment; Fixed parameter model; Time-varying parameter model; Kalman filtering. (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 E31 E52 F31 F41 (search for similar items in EconPapers)
Date: 2005-04
New Economics Papers: this item is included in nep-ifn and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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https://doi.org/10.32468/be.330 (application/pdf)

Related works:
Journal Article: Exchange rate pass-through effects: a disaggregate analysis of Colombian imports of manufactured goods (2007)
Journal Article: Exchange rate pass-through effects: A disaggregate analysis of Colombian imports of manufactured goods (2007)
Working Paper: EXCHANGE RATE PASS-THROUGH EFFECTS: A DISAGGREGATE ANALYSIS OF COLOMBIAN IMPORTS OF MANUFACTURED GOODS (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:330

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