Reinvestigating Exchange Rate Pass-Through into Import Price
Date Issued
2011
Date
2011
Author(s)
Lee, Hung-En
Abstract
This paper follows the empiricalmodels from Campa and Goldberg (2005) and Chen (2009) to investigate exchange rate pass-through into import price across 18 developed economies and 9 emerging economies. In contrast to previous research, we find that the pass-through effects on emerging markets tend to be lower than those on developed markets. And with the results of rolling regressions, we observed that the different patterns of dynamic changes may exist between two kinds of economies during the sample period.
While relative stable monetary conditions could induce the decline of exchange rate pass-through in developed economies, increasing country size could push the pass-through effects up in emerging economies.
Subjects
Exchange rate pass-through
Emerging Economy
Inflation
Exchange rate volatility
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