Exchange rate pass-through: A generalization

被引：4
|
作者：
Beladi, Hamid [1 ]
Chakrabarti, Avik [2 ]
Marjit, Sugata [3 ]
机构：
[1] Univ Texas San Antonio, Coll Business, Dept Econ, San Antonio, TX 78249 USA
[2] Univ Wisconsin, Coll Letters & Sci, Dept Econ, Milwaukee, WI 53201 USA
[3] Ctr Studies Social Sci, Kolkata 700094, W Bengal, India
来源：
JOURNAL OF MATHEMATICAL ECONOMICS | 2010年 / 46卷 / 04期
关键词：
Exchange rate; Pass-through; Stochastic processes; Brownian motion; HYSTERESIS; PRICES;
D O I：
10.1016/j.jmateco.2010.03.003
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The extent of exchange rate pass-through has been playing an increasingly pivotal role in the transmission of exchange rate shocks and adequate policy responses. We develop a model of exchange rate pass-through that allows the stochastic process of exchange rate to include the lagged values of the velocity of money. We show that the likelihood and extent of pass-through is sensitive to the lagged response. (C) 2010 Elsevier B.V. All rights reserved.
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页码：493 / 504
页数：12
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