Threshold Autoregressive Model of Exchange Rate Pass through Effect: The Case of Croatia

In this paper exchange rate pass-through effect in Croatia is estimated with nonlinear (asymmetric) threshold autoregressive model (TAR). In total 12285 regressions is estimated and a strong case of nonlinearity with single threshold is proven. According to our estimation there is a threshold at 2.69% of monthly change of nominal exchange rate of German mark (Euro) and the way in which nominal exchange rate affects inflation is asymmetric around it. Below the threshold, effect of change in nominal exchange rate on inflation is statistically insignificant and above the threshold the effect is strong and significant.

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Year of publication:	2007-10-01
Authors:	Posedel, Petra ; Tica, Josip
Institutions:	Ekonomski Fakultet, Sveučilište u Zagrebu
Subject:	threshold autoregressive model \| pass-through effect \| exchange rate \| inflation \| nonlinear econometrics

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Extent:	application/pdf
Series:	EFZG Working Papers Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Josip Tica & Petra Posedel, 2009. "Threshold Model of the Exchange Rate Pass-Through Effect", Eastern European Economics, M.E. Sharpe, Inc., vol. 47(6), pages 43-59, November Number 0715 1 pages long
Classification:	E31 - Price Level; Inflation; Deflation ; E58 - Central Banks and Their Policies ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005536917