Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada

The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. They define pass-through within a correlated vector autoregression (VAR) framework as the response of domestic inflation to an impulse in import price inflation. This approach allows them to examine changes in both the amount and the duration of pass-through.

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Year of publication:	2006
Authors:	Khalaf, Lynda ; Kichian, Maral
Institutions:	Bank of Canada
Subject:	Econometric and statistical methods

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	26 pages
Classification:	F40 - Macroeconomic Aspects of International Trade and Finance. General ; F31 - Foreign Exchange ; C52 - Model Evaluation and Testing ; E31 - Price Level; Inflation; Deflation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005808319