A Threshold Vector Autoregression Model of Exchange Rate Pass-Through in Mexico

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 rate of inflation of 0.79% acts as a threshold. The exchange rate pass-through to domestic prices is statistically significant above the threshold level of the inflation rate and statistically insignificant below it.

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Year of publication:	2014
Authors:	Aleem, Abdul ; Lahiani, Amine
Institutions:	HAL
Subject:	Exchange rate pass-through \| Prices \| Threshold vector autoregression

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-01022416 Published, Research in International Business and Finance, 2014, 30, 24-33
Source:	RePEc - Research Papers in Economics

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