Showing 1 - 10 of 46
In this paper, we empirically examine the effect of inflation targeting on the exchange rate pass-through to prices in emerging countries. We use a panel VAR that allows us to use the larger data set on twenty-seven emerging countries (fifteen inflation targeters and twelve inflation...
Persistent link: https://www.econbiz.de/10010603682
This paper analyzes the exchange rate pass-through (ERPT) into consumer prices for 12 euro area (EA) countries within a cointegrated VAR (CVAR) framework. Using the Johansen cointegration procedure, results indicate the existence of one cointegrating vectors at least for each EA country of our...
Persistent link: https://www.econbiz.de/10010821130
result according to which exchange rate volatility insulates small open economies from external shocks. Movements of relative … an automatic stabilizer and that macroeconomic volatility is dramatically reduced when trade in intermediate goods is …
Persistent link: https://www.econbiz.de/10008790598
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...
Persistent link: https://www.econbiz.de/10010898742
This paper examines the presence of nonlinear mechanism in the exchange rate pass-through (ERPT) to CPI inflation for 12 euro area (EA) countries. Using logistic smooth transition models, we explore the existence of nonlinearity with respect to economic activity along the business cycle. Our...
Persistent link: https://www.econbiz.de/10010899330
unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …
Persistent link: https://www.econbiz.de/10010899210
In this paper we use data on French export prices at the disaggregated firm and product level to evaluate the effect of economic integration on price convergence. We use the European integration ‘experiment' and firm-level data on export prices to distinguish between two possible margins of...
Persistent link: https://www.econbiz.de/10008793459
This article examines the volatility dependence between the crude oil price and four US dollar exchange rates using … both fractional cointegration and copula techniques. The former exploits the long memory behavior of the volatility … to explore whether the volatility of the markets are linked in the short run. The cointegration results conclude in favor …
Persistent link: https://www.econbiz.de/10010933834
In this paper we investigate the impact of financial globalization on the behaviour of inflation targeting emerging market economies with respect to exchange rate - do central banks respond to exchange rate movements or not. We use quarterly data for six emerging market inflation targeting...
Persistent link: https://www.econbiz.de/10009372685
Recent literature suggests that a proactive exchange rate policy in accordance with price incentives (i.e. undervaluation) can foster manufactured exports and growth. This paper is built on these recent developments and investigates, using a sample of 52 developing countries, whether such a...
Persistent link: https://www.econbiz.de/10009278330