Nonlinear mechanism of the exchange rate pass-through: Does business cycle matter?

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 results reveal that pass-through depends positively on economic activity, that is, when real GDP is growing above some threshold, the extent of ERPT becomes higher.

MoreLess

Year of publication:	2012-09
Authors:	Ben Cheikh, Nidhaleddine
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Exchange Rate Pass-Through \| Inflation \| Smooth Transition Regression

freely available

Full text |

More access options

mpra.ub.uni-muenchen.de

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	E31 - Price Level; Inflation; Deflation ; C22 - Time-Series Models ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011109154