Non-Linear, Asymmetric and TimeVarying Exchange Rate Pass-Through: Recent Evidence from India
Michael Debabrata Patra and
Working Papers from eSocialSciences
Exploring nonlinearities and time variations in exchange rate pass-through (ERPT) to consumer prices in India for the period from April 2005 to March 2016, this paper finds ERPT is asymmetric with pass-through from small depreciations being the strongest. ERPT to consumer inflation has declined in recent years in an environment of low inflation and declining trade openness. A DSGE model calibrated for the Indian economy with open economy features suggests that non-linear and time-varying ERPT poses challenges for monetary policy in terms of imported inflation and policy transmission.
Keywords: Exchange rate pass-through; Time-varying parameter regression (search for similar items in EconPapers)
Note: Institutional Papers
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.esocialsciences.org/Articles/show_Artic ... onalPapers&aid=12700
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ess:wpaper:id:12700
Access Statistics for this paper
More papers in Working Papers from eSocialSciences
Bibliographic data for series maintained by Padma Prakash ().