New Keynesian Exchange Rate Pass-Through

Using the theory of optimal local currency pricing, this paper constructs a structural equation to estimate the rate at which foreign producer prices pass through the local currency prices of imported goods in the U.S. This can be viewed as measuring exchange rate pass-through, in line with price stickiness in the New Keynesian Phillips curve literature. We estimate the structural equation using the generalized methods of moments for consistent estimates of exchange rate pass-through. We find that a model with a mix of local currency pricing and producer currency pricing fits the data best. Th

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Year of publication:	2008
Authors:	Cook, David
Other Persons:	Choi, Woon Gyu (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Theorie \| Theory \| Neoklassische Synthese \| Neoclassical synthesis \| Exchange Rate Pass-Through \| Exchange rate pass-through

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Extent:	Online-Ressource (27 p)
Series:	IMF Working Papers
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Contents; I. Introduction; II. The Model; III. The Data; Figures; 1. The Trade-Weighted Index of the Relative Prices; 2. U.S. Import Price Inflation and Foreign PPI Inflation; IV. Estimated Results; A. Defining Exchange Rate Pass-through; B. Benchmark Regressions; Tables; 1. Estimation Results of the Pass-Through Effect Model; C. Estimating Pass-Though Effects for a Sub-sample Period; D. Robustness Checks: Alternative Specification; 2. Estimating the Pass-through Effect Model: Alternative Specifications; E. Pass-through Effect Model with a Mix of LCP and PCP 3. Estimating the Pass-through Effect Model: A Mix of LCP and PCPF. Regional Models and Country Specific Exports; 4. Regional Pass-through Effect Model: A Mix of LCP and PCP; V. Conclusion; References; Appendix
ISBN:	978-1-4518-7071-8 ; 978-1-4519-1524-2 ; 978-1-4518-7071-8
Source:	ECONIS - Online Catalogue of the ZBW

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