Our paper follows the "Time Varying Parameter VAR with Stochastic Volatility" (TVP VAR) approach developed by Primiceri (2005): Bayesian estimation with time varying coefficients and stochastic volatility. Our paper contributes to the literature by examining if the impact of monetary and...

The issue of exchange rate pass-through has raised interest in international economy, a necessary step for adopting an adequate monetary policy, which accentuated in 2000 given its impacts on the monetary policy. Yet, on the academic level, research attempts at studying small open economy in a...

This study investigates the effect of the degree of currency substitution on the exchange rate pass-through (ERPT) to import and domestic prices in Turkey, using monthly data between 1998 and 2013. The recursive interacted vector autoregressive (IVAR) specification of Towbin and Weber (2013) is...

La traslación del tipo de cambio (ERPT, por sus siglas en inglés) a los precios de importación y consumo en la Unión Europea es, en términos agregados, menor que en los años 90 y tiene un comportamiento no lineal. Estimaciones agregadas de una traslación pequeña a los precios al consumo...

AbstractThe resilience of trade balances of the major industrialised economies such as the US andJapan to changes in their exchange rates following the switch from fixed to floating exchangerate regimes, triggered interest in the exchange rate pass-through relationship. Because of theimportance...

This paper uses the structural VAR approach to examine the interactive responses between import prices and domestic prices in Japan before and after the 1990s. First, the estimation reveals that the Japanese domestic prices have become a little more vulnerable to foreign inflationary pressure...

This paper examines the extent to which changes in exchange rates result in changes in Turkish domestic inflation. Specifically, we determine if there has been a change in the magnitude of this impact from the pre-2003 period to the post-2003, when the exchange rates were allowed to float....

Bolivia is a small, open and commodity exporter economy, so it has been exposed to different external shocks, mainly to fluctuations in commodity prices. According to the literature, the effects of international commodity prices are not complete and change over time. The objective of this...

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...