Exchange rate pass-through: an analysis of a panel quantile regression
DOI:
https://doi.org/10.17811/ebl.10.2.2021.148-156Resumen
The purpose of this study is to examine the degree of exchange rate pass-through (ERPT) with the focus on Taylor (2000)’s hypothesis that asserts ERPT tends to be high (low) in high (low) inflation states. To this end, a panel quantile regression is applied to the data from 37 countries over the period of 1996-2018. The panel quantile regression allows us to capture the distributional heterogeneity in the ERPT coefficient and thus to directly address the question of whether the ERPT degree depends on the inflationary environment. The results indicate that ERPT is low (high) at low (high) quantiles of the inflation rate, supporting Taylor’s hypothesis.
Keywords: Exchange rate pass-through, Taylor’s Hypothesis, Panel Quantile Regression
JEL Codes: C13, E31, F31
Citas
Baharumshah, A. Z., Soon, S.-V., and Wohar, M. E. (2017). Markov-switching analysis of exchange rate pass-through: Perspective from Asian countries. International Review of Economics & Finance, 51, 245–257.
Brun-Aguerre, R., Fuertes, A.-M., and Phylaktis, K. (2012). Exchange rate pass-through into import prices revisited: What drives it? Journal of International Money and Finance, 31(4), 818–844.
Chou, K. W. (2019). Re-examining the time-varying nature and determinants of exchange rate pass-through into import prices. The North American Journal of Economics and Finance, 49, 331–351.
Choudhri, E. U., and Hakura, D. S. (2006). Exchange rate pass-through to domestic prices: Does the inflationary environment matter? Journal of International Money and Finance, 25(4), 614–639.
Galvao, A. F., and Montes-Rojas, G. V. (2010). Penalized quantile regression for dynamic panel data. Journal of Statistical Planning and Inference, 140(11), 3476–3497.
Ghosh, A., and Rajan, R. S. (2009). What is the extent of exchange rate pass-through in Singapore? Has it changed over time? Journal of the Asia Pacific Economy, 14(1), 61–72.
Herzberg, V., Kapetanios, G., and Price, S. (2003). Import Prices and Exchange Rate Pass-Through: Theory and Evidence from the United Kingdom. Bank of England working paper no.182
Hodrick, R. J., and Prescott, E. C. (1997). Postwar U.S. Business Cycles: An Empirical Investigation. Journal of Money, Credit and Banking, 29(1), 1.
Holmes, M. J. (2009). The Response of Exchange Rate Pass-Through to the Macroeconomic Environment. The Open Business Journal, 2(1).
Jimborean, R. (2013). The exchange rate pass-through in the new EU member states. Economic Systems, 37(2), 302-329.
Judson, R. A., & Owen, A. L. (1999). Estimating dynamic panel data models: a guide for macroeconomists. Economics letters, 65(1), 9-15.
Junttila, J., and Korhonen, M. (2012). The role of inflation regime in the exchange rate pass-through to import prices. International Review of Economics & Finance, 24, 88–96.
Koenker, R. (2004). Quantile regression for longitudinal data. Journal of Multivariate Analysis, 91(1), 74–89.
Koenker, R., and Bassett, G. (1978). Regression quantiles. Econometrica, 33–50.
Ozkan, I., and Erden, L. (2015). Time-varying nature and macroeconomic determinants of exchange rate pass-through. International Review of Economics & Finance, 38, 56–66.
Shintani, M., Terada-Hagiwara, A., and Yabu, T. (2013). Exchange rate pass-through and inflation: A nonlinear time series analysis. Journal of International Money and Finance, 32, 512–527.
Takhtamanova, Y. F. (2010). Understanding changes in exchange rate pass-through. Journal of Macroeconomics, 32(4), 1118–1130.
Taylor, J. B. (2000). Low inflation, pass-through, and the pricing power of firms. European Economic Review, 44(7), 1389–1408.
Zhu, H., Duan, L., Guo, Y., & Yu, K. (2016). The effects of FDI, economic growth and energy consumption on carbon emissions in ASEAN-5: Evidence from panel quantile regression. Economic Modelling, 58, 237–248.
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
The works published in this journal are subject to the following terms:
1. Oviedo University Press (the publisher) retains the property rights (copyright) of published works, and encourages and enables the reuse of the same under the license specified in paragraph 2.
© Ediuno. Ediciones de la Universidad de Oviedo / Oviedo University Press
2. The works are published in the online edition of the journal under a Creative Commons Attribution-Non Commercial-Non Derives 3.0 Spain (legal text). You can copy, use, distribute, transmit and publicly display, provided that: i) you cite the author and the original source of publication (journal, publisher and URL of the work), ii) they are not used for commercial purposes, iii) mentions the existence and specifications of this license.
3. Conditions of self-archiving. The author can archive the post-print version of the article (publisher’s version) on the author’s personal website and/or on the web of the institution where he belong, including a link to the page of the journal and putting the way of citation of the work. Economics and Business Letters and its URL https://reunido.uniovi.es/index.php/EBL/index are the only authorized source for correctly giving the reference of the publisher’s version in every mention of the article.