A threshold vector autoregression model of exchange rate pass-through in Mexico

被引：24

作者：

Aleem, Abdul ^{[1
,2
]}

Lahiani, Amine ^{[3
,4
]}

机构：

[1] Dalhousie Univ, Halifax, NS B3H 4R2, Canada

[2] Univ Paris XIII, Univ Paris Nord, Ctr Econ, Paris, France

[3] Univ Orleans, LEO, F-45100 Orleans, France

[4] ESC Rennes Sch Business, F-35065 Rennes, France

来源：

RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE | 2014年 / 30卷

关键词：

Exchange rate pass-through; Prices; Threshold vector autoregression;

D O I：

10.1016/j.ribaf.2013.05.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Considering nonlinearities in the exchange rate pass-through to domestic prices, this paper estimates exchange rate pass-through in Mexico. We examine responses of domestic prices to a positive one unit exchange rate shock by estimating a threshold vector autoregression (TVAR) model. A monthly rate of inflation of 0.79% acts as a threshold. The exchange rate pass-through to domestic prices is statistically significant above the threshold level of the inflation rate and statistically insignificant below it. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：24 / 33

页数：10

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