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Not All Exchange Rate Movements Are Alike : Exchange Rate Persistence and Pass-Through to Consumer Prices
| Title: | Not All Exchange Rate Movements Are Alike : Exchange Rate Persistence and Pass-Through to Consumer Prices |
| Authors: | Shirota, Toyoichiro Browse this author |
| Keywords: | exchange-rate pass-through | | exchange-rate persistence | | range restriction | | survey expectation |
| Issue Date: | Sep-2017 |
| Publisher: | Faculty of Economics and Business, Hokkaido University |
| Journal Title: | Discussion Paper, Series A |
| Volume: | 311 |
| Start Page: | 1 |
| End Page: | 22 |
| Abstract: | This study develops a framework to identify persistent and transitory shocks in exchange-rate movements and to estimate the shock-specific exchange-rate pass-through to domestic prices. The framework combines a dataset of a long time series of exchange-rate forecasts since the 1980s with a range restriction that is a natural generalization of the standard sign restriction. The empirical results show that exchange rate pass-through is higher when a persistent shock dominates exchange-rate movements. The composition of persistent and transitory shocks varies over time. This study asserts that time variations of exchange rate pass-through are at least partly attributable to differences in shock-specific pass-through rates and variations in the composition of shocks over time. Applying our identification procedure to disaggregated prices of the CPI, we also find that a correlation between pass-through coefficients and frequencies of price adjustments is shock dependent. Specifically, the positive correlation, which is reported in Gopinath and Itskhoki [2010], disappears, when exchange-rate movements are transitory. |
| Type: | bulletin (article) |
| URI: | http://hdl.handle.net/2115/67120 |
| Appears in Collections: | Discussion paper > Series A
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Submitter: 代田 豊一郎
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