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Author Kılıç, Rehim
Source EconStor
Content type Text
Publisher TÜSİAD-Koç University Economic Research Forum
File Format PDF
Language English
Subject Domain (in DDC) Social sciences ♦ Economics
Subject Keyword Smooth Transition ♦ Nonlinearity ♦ Asymmetry ♦ Exchange Rate Passthrough ♦ Import Prices ♦ Exchange Rate Pass-Through ♦ Außenhandelspreis ♦ Inflation ♦ Nichtlineares Verfahren ♦ Schätzung ♦ OECD-Staaten ♦ Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ♦ Foreign Exchange ♦ Open Economy Macroeconomics
Abstract This paper investigates the relationship between exchange rate pass-through and exchange rate appreciations/depreciations and inflation by estimating nonlinear time series models. Motivated by theoretical and empirical results in the literature, the paper proposes new econometric models that can characterize nonlinear and asymmetric dynamics between import prices and exchange rate changes in a parsimonious fashion. Findings show the presence of complete and incomplete pass-through regimes depending upon the magnitude of appreciations of a currency and inflation rates both in the short-run and in the long-run. Results also reveal threshold effects and asymmetry in the pass-through relationship over appreciations/depreciations as well as inflationary and disinflationary periods. Findings have important macroeconomic policy implications.
Part of series TÜSİAD-Koç University Economic Research Forum working paper series x1033
Learning Resource Type Article
Publisher Date 2010-01-01
Publisher Place Istanbul
Rights Holder http://www.econstor.eu/dspace/Nutzungsbedingungen