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Non-Linear Mechanisms of Exchange Rate Pass-Through For TaiwanTsai, Yi-shiuan 28 June 2007 (has links)
Taiwan is usually considered as a small open economy. Trade and exchange rate policies in Taiwan have substantially changed since the mid-1980s. Not only has trade been liberalized, but exchange rates of the New Taiwan Dollar(NTD) were also allowed to fluctuate. This paper applies the Threshold Regression Model that puted forward of Cancer and Hansen (2004) and combines the expectation-augmented Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle, direction and magnitude of the exchange rate change. For that purpose, two variables are tested as thresholds: (1)output gap, (2)exchange rate change. The results indicate that the short-run pass-through is higher when the economy is booming, as well as the exchange rate depreciates above some threshold. And they have important implications for monetary policy and are possibly related to pricing-to-market behavior and menu costs of price a djustment.
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Exchange Rate Pass-through To Domestic Prices In Turkish EconomyAlper, Koray 01 January 2003 (has links) (PDF)
In this study, determinants and the evolution of the exchange rate passthrough
to domestic inflation in the Turkish economy is analyzed. The analyses
cover the 1987-2003 period. In the analyses, single equation &ldquo / Error Correction
Models&rdquo / are used to estimate the exchange rate pass-through. Estimation results
suggest that alike other emerging countries, the degree of exchange rate passthrough
to domestic prices is high and the pass-through is completed in a very
short time span. Estimations results also indicates that the main factors to account
for high pass-through are the past currency crises and the high degree of openness
of the economy. These factors create the ground for the indexation behavior of
agents. Although, above-mentioned factors are the main determinants of the
degree of exchange rate pass-through, the persistency and the volatility of
exchange rates can significantly affect the short run dynamics of the pass-through.
The results imply that even if the pass-through slows down due to the changing
pattern of exchange rates, to achieve the low and stable inflation in the long run,
fundamental factors that exacerbate the link between exchange rates and prices
should change.
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Exchange Rate Pass-Through in MongoliaBatmunkh, Sanjidmaa January 2014 (has links)
This thesis investigates the exchange rate pass-through to consumer prices, and its non-linearity and asymmetry effect in Mongolia. The recursive VAR model and non-linear econometric model are applied using monthly data from January 2000 to December 2013. We find that exchange rate pass-through is high and incomplete both in the short and in the long run in Mongolia. There is a statistically significant asymmetry effect, which states that impact of exchange rate depreciation on consumer price is higher than appreciation. However, we do not find an evidence of non-linearity in consumer price reaction to the large and small absolute changes of the exchange rate relative to its sample average and median as a threshold level. Additionally, we estimate the importance of the exchange rate shock for the consumer price variation using variance decomposition technique. In spite of this relatively high pass through, the exchange rate shocks explain a relatively small percentage of the variation in CPI inflation. Powered by TCPDF (www.tcpdf.org)
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Interest rate pass-through in the Eastern Europe: Case of Albania - An empirical AnalysisHoxha, Mimi January 2016 (has links)
The study of interest pass through has been on the core attention of researchers since it serves as an incentive to evaluate the accuracy of monetary policy transmission mechanism. Therefore there are a lot of studies conducted under this topic encompassing a large number of countries and data. My aim, inspired by the great previous works, is to develop the same topic but by focusing on Balkan countries and more specifically on Albania. Being a developing country located on the heart of Balkan while aspiring the EU integration, Albania has gone under a considerable number of economic reforms which are also reflected on the degree and speed of transmission of policy rates to landing rates and on the determinants of such rates. Crisis of 2008 had a global impact but yet several conducted studies revealed that Albania was not directly affected by it. My contribution to this thesis consists in measuring how the pass-through mechanism performance was affected by the crisis and the implications derived from it. Powered by TCPDF (www.tcpdf.org)
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Comparison study of methodologies for estimating the long-run exchange rate pass-through to import prices for South AfricaHove, Herbert 06 February 2009 (has links)
Abstract
The resilience of trade balances of the major industrialised economies such as the US and
Japan to changes in their exchange rates following the switch from fixed to floating exchange
rate regimes, triggered interest in the exchange rate pass-through relationship. Because of the
importance of the pass-through issue particularly in economic policy formulation, a sizeable
literature has developed over recent years. Comprehensive surveys of this literature include
Menon (1995), Goldberg and Knetter (1997) and McCarthy (2002). However, not much
attention has been paid to the comparison of the methodologies for estimating exchange
rate pass-through. This research report aims to address this imbalance by comparing some
of the exchange rate pass-through estimation methodologies via a Monte Carlo simulation
study, based on the South African data set. The econometric results reported in this research
report suggest that the Johansen type VECMs are superior to polynomial distributed lag
models, exchange rate pass-through to South Africa’s import prices is incomplete (around
78%) and that the speed of adjustment to long-run equilibrium is low, about 7 per cent of
disequilibrium in the previous month is corrected in the current month. We conclude that
if we are not sure about the unit root properties of the data (as is normally the case), then
the ARDL precedure is the appropriate model for empirical work.
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Asymmetry of Exchange Rate Pass-Through for TaiwanHsu, Chien-hao 13 July 2011 (has links)
Taiwan is usually considered as a small open economy. Trade and exchange rate policies in Taiwan have substantially changed since 1990s.Not only has trade been liberalized, but exchange rates of the New Taiwan Dollar(NTD) were also allowed to fluctuate.
This paper applies the Threshold Regression with Endogenous Threshold Variables(THRET) Model that puted forward Kourtellos, Stengos and Tan (2007) and combines the expectation-augmented Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle. For that purpose, the important variable is tested as thresholds: output gap change. The results indicate that the short-run pass-through is higher when the the economy is booming, as well as the exchange rate depreciates above some threshold. And showed in this has conformed to the business cycle theory which Goldfajn and Werlang (2000) , Carneiro, Monteiro and Wu (2002) , Muinhos (2001) proposed.
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Monetary policy and exchange rates : breakthrough of pass-through /Adolfson, Malin, January 2001 (has links)
Diss. Stockholm : Handelshögsk., 2001.
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“Pass-through cambial dos principais produtos importados da Região Nordeste no período de 2000 a 2012”ARAÚJO, Hérica Gabriela Rodrigues de 26 February 2014 (has links)
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Previous issue date: 2014-02-26 / CAPES / A partir da década de 70 começou a se questionar a validade da lei do preço único (LPU) em que baseia a Paridade do Poder de Compra (PPC), porque, segundo a qual, em condições de livre mobilidade de fatores os preços de um mesmo bem devem ser iguais em países diferentes. Mas as evidências empíricas demonstram que as variações cambiais não são totalmente repassadas aos preços domésticos, esse fenômeno é denominado de pass-through. Essa pesquisa representa uma adaptação da discussão apresentada no modelo desenvolvido por Woo (1984), implementado com Ohno (1989) e Feinberg (1991) e utilizado por Campa e Goldberg (2002), Pollard e Coughlin (2005) e Maciel (2006) como processo de mensuração do grau de pass-through nos preços domésticos para os principais produtos importados da Região Nordeste, no período de 2000 a 2012. Especificadamente, pretende-se: verificar se o grau de repasse cambial para os preços dos principais produtos importados será nulo, completo, ou incompleto; e, examinar o comportamento dos preços internos frente a choques cambiais. Para alcançar o objetivo proposto foi utilizado o Modelo de Correção de Erro Vetorial (VECM). Dentre os resultados obtidos, destaca-se que as commodities mais importadas pela região Nordeste foram Trigo, Amêndoa de cacau, Malte não torrado e Arroz semibranqueado, representando, respectivamente 62%, 20%, 14%, 2% e 1% na balança comercial. O coeficiente do pass-through para os preços de importação do trigo e cacau assumem valores no intervalo, , indicando que os efeitos dos choques cambiais não são repassados integralmente para preços de importação desses produtos. Em relação à depreciação real da taxa de câmbio, percebe-se que essa afetou positivamente os preços de importação de todas as commodities analisadas de forma persistente.
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Price Pass-through in U.S. Gasoline MarketsMixon, Phillip Anthony 11 August 2012 (has links)
The price pass-through relationship of retail gasoline markets in the United States has been examined on several levels. This dissertation takes two unique approaches to examine the pass-through behavior (1) a seemingly unrelated regressions model to survey regional differences in gasoline markets and (2) a pooled panel error-correction approach to analyze the effects of spatial competition on local Mississippi gasoline markets. The first model showed the presence of rockets and feathers on a regional level in the US. Moreover, every PADD had a long run asymmetric price pass-through relationship. I included variables to capture the effect of Hurricane Katrina. The inclusion of the Katrina variable indicated only the immediate period after the storm changed the pass-through behavior. Additionally, the market returned to the pre-Katrina pass-through relationship twelve weeks after the storm. The pooled panel model showed the presence of rockets and feathers in the state of Mississippi. It also indicated that the presence of spatial competition does have an effect on the price pass-through behavior. Moreover, the exact distance to the closest competitor did have a significant effect on the price pass-through relationship.
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Uma análise empírica para a hipótese de hysteresis nas importações brasileiras / Empirical analysis of the hysteresis hypothesis on the brazilian importsMendonça, Diogo de Prince 26 February 2010 (has links)
Esse trabalho propõe testar a presença de hysteresis na demanda por importações e no repasse cambial para o preço das importações, no período de 1996 a 2008 no Brasil, utlizando dados em painel para 29 setores industriais. Os testes para a presença de hysteresis baseiam-se no conceito de hysteresis forte fornecido pelo modelo de Preisach (1938), captadas a partir de variáveis representativas do fenômeno calculadas a partir do algoritmo de Piscitelli et al (2000). As estimações utilizam a metodologia convencional em painel, bem como métodos de estimação considerando a possibilidade de cointegração entre as variáveis. Os resultados evidenciaram a presença de hysteresis no preço e no quantum importados. Como teorizou Dixit (1989), o grau de pass-through reduz na presença do fenômeno histerético. Além disso, obtivemos que o grau de repasse cambial para o preço das importações diminuía sob a presença de hysteresis, conforme proposto por Dixit. / This research proposes to test the hysteresis hypothesis on the Brazilian import demand and the exchange rate pass-through from 1996 to 2008 in a panel from 29 industrial sectors. The hysteresis test is based on the strong hysteresis concept from Preisach model, measured by algorithm from Piscitelli et al (2000). The methodology focus on the traditional panels method and the cointegration relationship. The results indicate the presence of hysteresis at both equations. Besides, the exchange rate pass-through estimated reduced in the presence of hysteresis as proposed by Dixit (1989).
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