This thesis analyzes the incomplete exchange rate pass-through effect on Mongolian economy and its implication on monetary policy under foreign and domestic shocks. The analysis is carried out in a small open economy New Keynesian DSGE model proposed by Monacelli (2005), where incomplete exchange rate pass-through is introduced via nominal rigidities on import prices. In order to accomplish the goal, we firstly derive the solutions of the model, calibrate the parameters, and finally simulate the impulse responses. Moreover, SVAR estimation is achieved to estimate the pass-through. Four main results are obtained. First, the exchange rate pass-through into import price and inflation is 0.69% and 0.49% respectively in short run, implying incomplete pass-through in Mongolia. Second, the exchange rate acts as a shock absorber for domestic productivity and foreign demand shock, but as a shock amplifier for domestic demand shock. Third, in case of incomplete pass-through the central bank of Mongolia is required to adjust the nominal interest rate more under the productivity shock, but less for the domestic and foreign demand shock. Finally, deviations from the law of one price contributes considerably to the variability of the output gap under the low pass-through. Therefore, considering incomplete pass-through in...

Cette thèse met en évidence l’aspect macroéconomique du degré de report du taux de change sur les prix dans la zone euro. Nous utilisons un large éventail de méthodes économétriques récentes afin de fournir des mesures robustes sur la transmission du taux change ainsi que sur ses déterminants macroéconomiques. Notre recherche révèle le rôle prépondérant des facteurs macroéconomiques dans le déclin récent du degré de report. Une conséquence directe de ce résultat est que la baisse du taux de transmission du change n’est pas nécessairement un phénomène structurel, et il peut être ainsi résolu par des politiques macroéconomiques conjoncturelles. Par exemple, l’adoption de régimes de politique monétaire plus crédibles avec l’engagement de maintenir une inflation faible joue un rôle important dans la réduction de la sensibilité des prix aux variations du change. Ceci est particulièrement valable pour les pays dont les politiques macroéconomiques sont historiquement laxistes. Ainsi, la poursuite de politiques économiques solide et lisible au sein de l’UEM peut être un outil efficace pour réduire le degré de report du taux de change / This thesis highlights the macroeconomic aspect of the exchange rate pass-through to domestic prices in the euro area countries. We use a wide range of up-to-date econometric methods in order to provide robust measures of the rate of pass-through as well as to shed further light on its macro determinants. The main finding of our research is the prominent role of macroeconomic forces in driving the recent declin of the transmission of currency movements. A direct consequence of this result is that the lowering in the rate of pass-through is not necessarily a structural phenomenon and it may be solved via macroeconomic policies. For instance, the shift to a more stable monetary policy conditions with credible and anti-inflationary regime would reduce the sensibility of prices to exchange rate changes. This is especially true for countries with historically poor macroeconomic policies. Thus, a better macroeconomic management with a sounder set of policies within the EMU may be an effective tool for reducing the degree of pass-through

In the beginning of 1990s Sweden implemented several measures in order to maintain price stability. These measures have resulted in an environment in which inflation is lower and more stable. The same development could be seen in other OECD countries. At the same time a decrease in exchange rate pass-through was noticed in many countries. This has led researchers to believe that there may be a connection, between these two phenomena. This dissertation analyzes whether there has been any change in exchange rate pass-through for manufacturing products in Sweden between the high inflation period (1977-1993) and the low inflation period (1994-2006). The result shows that there is a difference in the exchange rate pass-through between the two periods. During the low inflation period the degree of pass-through was lower than during the high inflation period.

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Thesis (Doctoral)--Vallendar, WHU - Otto Beisheim School of Management, 2008. / Includes bibliographical references (p. [93]-97).

This thesis consists of three self-contained essays in International Trade, Exchange Rates and Prices. Although independent, these essays share some common themes. The first two papers can be related to the vast literature on exchange rate pass-through to prices. While the first paper uses firm-product level data from Sweden to study firms’ export price response to movements in exchange rate, the second paper employs aggregate level data from Ethiopia and looks at the issue from the importers’ perspective. The third paper, like the first paper, uses Swedish firm-level data and investigates firms’ exporting behavior. The third paper, however, specifically focuses on export margins of multi-product firms and studies their response when exporting to destinations of different size and distance from the home country. / <p>At the time of the doctoral defense, the following papers were unpublished and had a status as follows: Paper 1: Manuscript. Paper 2: Manuscript. Paper 3: Manuscript.</p>

This thesis examines the exchange rate pass-through into consumer prices in Central and Eastern Europe. The study is based on quarterly data of 12 countries from 2003 to 2013. Estimations are conducted using heterogeneous panel cointegration methods, namely the mean group and the pooled mean group estimators. Fixed effects are used as a reference. The thesis provides short- run and long-run estimates of the exchange rate pass-through for the individual countries and for the region as a whole. Based on the results, we conclude that the exchange rate pass-through is highly variable across Central and Eastern Europe. We find that there is no clear distinction between the pass-through rates in euro area countries, EU countries not using the euro and non- EU countries. Further, we find that the generally accepted concept of higher exchange rate pass- though in developing countries does not hold in this region. JEL Classification C23, E31, E52, F31 Keywords exchange rate pass-through, pooled mean group, mean group, heterogeneous panel cointegration Author's e-mail bara.mirkova@centrum.cz Supervisor's e-mail roman.horvath@gmail.com

Esta pesquisa investiga o comportamento não-linear do pass-through de taxa de câmbio na economia brasileira, durante o período de câmbio flutuante (2000-2015), a partir de um modelo de equilíbrio geral dinâmico estocástico com mudança de regime Markoviana (MS-DSGE). Para isso, utilizamos a metodologia proposta por Baele et al. (2015) e um modelo Novo-Keynesiano básico, sobre o qual incluímos novos elementos na curva de oferta agregada e uma nova equação para a dinâmica cambial. Encontramos evidências de existência de dois regimes distintos para o repasse cambial e para a variância dos choques sobre a inflação. No regime denominado de “Normal”, o pass-through de longo prazo é estimado em 0.0092 pontos percentuais para inflação, dado um choque cambial de 1%, contra 0.1302 pontos percentuais no regime de “Crise”. A superioridade do modelo MS-DSGE sobre o modelo com parâmetros fixos é constatada de acordo com diversos critérios comparativos. / This research investigates the non-linearity of exchange rate pass-through on the Brazilian economy during the floating exchange rate period (2000-2015) in a Markov-switching dynamic stochastic general equilibrium framework (MS-DSGE). We apply methods proposed by Baele et al. (2015) in a basic New Keynesian model, with the addition of new elements to the aggregate supply curve and a new equation for the exchange rate dynamics. We find evidence of two distinct regimes for the exchange rate pass-through and for the volatility of shocks to inflation. During the regime named “Normal”, the long run pass-through is estimated as 0.0092 percent points to inflation, given a 1% exchange rate shock, in contrast to 0.1302 percent points during the “Crisis” regime. The MS-DSGE model appears superior to the fixed parameters model according to various comparison criteria.

This dissertation consists of essays that study exchange rate pass-through, China’s de facto exchange rate regime, and China’s capital controls. The first essay studies exchange rate pass-through (ERPT) by using a set of data from ten countries including four advanced economies and six Asian emerging markets. The price indices used in this essay include consumer price, producer price, import price and export price indices. While most literature only include the import price index, this essay also puts emphasis on the export price index. It investigates the asymmetry in the ERPT between depreciation and appreciation of domestic currency by using a non-linear OLS model; meanwhile, the short-run and long-run effects of ERPT are also compared with each other. It also detects possible structural change in the ERPT and finds most structural change points are around the Great Recession and Asia financial crisis. Finally, a VAR model is developed to detect the impulse responses of prices to exchange rate shock. The second essay is about China’s exchange rate regime. It has changed a lot since the 2005 reform. It is interesting and important to investigate China’s de facto exchange rate regime with the most recent data. This essay follows Frankel and Wei’s (2008) method, by applying both the basic model and new model with the exchange market pressure (EMP) variable to currency basket for the Chinese yuan exchange rate. I select the US dollar, the Euro, the British pound, the Japanese yen, the Canadian dollar, the Australian dollar and the Russian ruble as component currencies of the basket, based on free floaters, GDP and trade volume. I also add results from a VAR model, considering the endogeneity issue, and the results are consistent with those of OLS. I find the weight of the US dollar declines dramatically and the variation of the Chinese yuan becomes much larger after 2015. This implies that China has been transferring its exchange rate regime from dollar pegged to free floating. The third essay investigates the effectiveness of China’s capital controls. In recent years, after 2014, China’s foreign reserves declined dramatically, from 4 trillion US dollars to 3 trillion US dollars. There was a huge amount of capital outflows from China during 2015 to 2016. This phenomenon lets us reconsider the question: Are China’s capital controls still effective? I will use five methods to measure the effectiveness of China’s capital controls, including de jure indicators, saving-investment correlation test, covered interest rate parity, real interest rate differentials and Edwards-Kahn model. The de jure indicators I use are from Fernández et al. (2016) and Chinn and Ito (2008). I compare China with the US, the UK and Japan in the saving-investment correlation test, and with the Eurozone and Japan in covered interest rate parity, real interest rate differentials and Edwards-Kahn model. Various results indicate that China’s capital controls are still effective.

Both economists and policy makers are interested in understanding the welfare effect of economic policies, especially in small open economies such as Turkey and Iran. This knowledge is crucial for priority setting in any informed policy discussion. This dissertation aims to study the impoverishing effect of high levels of out-of-pocket (OOP) payments in the health sector, referred to as catastrophic health expenditure (CHE), and investigates the impact of exchange rate pass-through (ERPT) on both the microeconomic and macroeconomic indicators of a country. For millions of people worldwide, health payments present a huge financial risk. A high rate of OOP health care payments can lead to CHE, which can force households to cut down their consumption, minimize access to their needs, or face poverty. This makes the design of financial risk protection necessary for governments in order to secure people against the financial hardship at the time of incurring CHE. This thesis comprises three essays. The first investigates financial risk protection indicators related to OOP health care payments through CHE mean positive overshoot and incidence and depth of impoverishment. This research observes that in the absence of universal health care insurance in Iran, together with a high share of OOP spending for health care (more than 52%), the Iranian households facing CHE will eventually face poverty. In the second essay, using a difference-in-differences propensity score matching approach, I seek to analyze the degree to which Iranian universal health care insurance protects households from high rates of OOP health expenditure. In this study, I evaluate the effect of the universal health insurance program on Iranian CHE. The results show that the program was successful in decreasing the rate of OOP health expenditures and CHE in Iran during the sample period. The third essay estimates the ERPT using product-level daily data on wholesale prices of imported agricultural products, where the identification is possible by using daily data on the domestic inflation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent.