A threshold vector autoregression model of exchange rate pass-through in Mexico

Considering nonlinearities in the exchange rate pass-through to domestic prices, 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.

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Year of publication:	2014
Authors:	Aleem, Abdul ; Lahiani, Amine
Published in:	Research in International Business and Finance. - Elsevier, ISSN 0275-5319. - Vol. 30.2014, C, p. 24-33
Publisher:	Elsevier
Subject:	Exchange rate pass-through \| Prices \| Threshold vector autoregression

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Type of publication:	Article
Classification:	E31 - Price Level; Inflation; Deflation ; F31 - Foreign Exchange ; F47 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010719043