This paper studies shock-dependent exchange rate pass-through for Japan with a Bayesian structural vector autoregression model. We identify the shocks by complementing the traditional sign and zero restrictions broadly following Forbes(2018) with the narrative sign restrictions related to the...

This paper studies shock-dependent exchange rate pass-through for Japan with a Bayesian structural vector autoregression model. We identify the shocks by complementing the traditional sign and zero restrictions with narrative sign restrictions related to the Plaza Accord. We find that the...

The extant structural vector autoregression (SVAR) literature typically focuses on one shock at a time when studying the behavior of the exchange rates, which risks confounding the identified shock with the endogenous responses to the unidentified shocks. This paper proposes a novel SVAR...