Not All Exchange Rate Movements Are Alike : Exchange Rate Persistence and Pass-Through to Consumer Prices

• Shirota, Toyoichiro

抄録

This study develops a framework to identify persistent and transitory shocks in exchange-rate movements and to estimate the shock-specific exchange-rate pass-through to domestic prices. The framework combines a dataset of a long time series of exchange-rate forecasts since the 1980s with a range restriction that is a natural generalization of the standard sign restriction. The empirical results show that exchange rate pass-through is higher when a persistent shock dominates exchange-rate movements. The composition of persistent and transitory shocks varies over time. This study asserts that time variations of exchange rate pass-through are at least partly attributable to differences in shock-specific pass-through rates and variations in the composition of shocks over time. Applying our identification procedure to disaggregated prices of the CPI, we also find that a correlation between pass-through coefficients and frequencies of price adjustments is shock dependent. Specifically, the positive correlation, which is reported in Gopinath and Itskhoki [2010], disappears, when exchange-rate movements are transitory.

収録刊行物

• Discussion Paper, Series A

  Discussion Paper, Series A 311 1-22, 2017-09

  Faculty of Economics and Business, Hokkaido University

キーワード

• exchange-rate pass-through
• exchange-rate persistence
• range restriction
• survey expectation

詳細情報

• CRID: 1050564288977532800
• NII論文ID: 120006343702
• HANDLE: 2115/67120
• 本文言語コード: en
• 資料種別: departmental bulletin paper
• データソース種別:
  • IRDB
  • CiNii Articles