Asymmetric exchange rate pass-through: Evidence from major countries

Anne-Laure Delatte () and Antonia Lopez Villavicencio
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Anne-Laure Delatte: Rouen Business School
Antonia Lopez Villavicencio: CEPN - Centre d'Economie de l'Université Paris Nord - UP13 - Université Paris 13 - USPC - Université Sorbonne Paris Cité - CNRS - Centre National de la Recherche Scientifique

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Abstract: The aim of this paper is to investigate the asymmetric eect of exchange rate variations on prices over the short-and long-run. To this end, we estimate a mark-up model for prices using a novel and simple asymmetric cointegrating model, with positive and negative partial sum decomposition of the nominal exchange rates. Our results show that prices react dierently to appreciations and depreciations over the long-run, an eect that was previously ignored in the literature. In particular, we provide evidence that depreciations are passed through prices more than appreciations, a result that might suggest weak competition structures. This result has important implications for the proper conduct of monetary policy.

Keywords: Exchange rate pass-through; ARDL; asymmetry; ination (search for similar items in EconPapers)
Date: 2011-07-08
Note: View the original document on HAL open archive server: https://hal.science/hal-05454837v1
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Published in Journal of Macroeconomics, 2011, 34 (3), pp.833-844. ⟨10.1016/j.jmacro.2012.03.003⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05454837

DOI: 10.1016/j.jmacro.2012.03.003

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