A Threshold Vector Autoregression Model of Exchange Rate Pass-Through in Mexico

Abdul Aleem () and Amine Lahiani

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Abstract: Considering nonlinearities in the exchange rate pass-through to domesticprices, this paper estimates exchange rate pass-through in Mexico. We examine responses of domestic prices to a positive one unit exchange rate shock by estimating a threshold vector autoregression (TVAR) model. A monthly rate of inflation of 0.79% acts as a threshold. The exchange rate pass-through to domestic prices is statistically significant above the threshold level of the inflation rate and statistically insignificant below it.

Keywords: Exchange rate pass-through; Prices; Threshold vector autoregression (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-cba, nep-mon and nep-opm
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-01022416
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Citations: View citations in EconPapers (24)

Published in Research in International Business and Finance, 2014, 30, pp.24-33. ⟨10.1016/j.ribaf.2013.05.001⟩

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Journal Article: A threshold vector autoregression model of exchange rate pass-through in Mexico (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-01022416

DOI: 10.1016/j.ribaf.2013.05.001

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