Has exchange rate pass-through really declined? Evidence from Canada

Exchange Rate Pass-Through in Developing and Emerging Markets: A Survey of Conceptual, Methodological and Policy Issues, and Selected Empirical Findings

“…Shocks that change expectations of future monetary policy (for example, a political shock) can cause co-movements in prices and exchange rates that are not linked to ERPT per se. An alternative approach, mostly specified in the NOE tradition, is the dynamic stochastic general equilibrium (DSGE) model; for example, in Bouakez and Rebei (2008) and Devereux, Engel, and Storgaard (2004). The endogeneity problems of the single equation technique are avoided, and, as the model is structured, shocks can be unambiguously identified, given the assumed theory and the analysis made conditional on the shocks.…”

“…The endogeneity problems of the single equation technique are avoided, and, as the model is structured, shocks can be unambiguously identified, given the assumed theory and the analysis made conditional on the shocks. The number of variables modelled is not necessarily as restricted as in VAR models, though typically the DSGE models are linearised and limited in size (for example, there are five variables in the model of Bouakez and Rebei [2008]). However, the assumed theory is seldom tested against more general specifications, so that DSGE models may be imposing restrictions on the data that would be rejected if tested.…”

Sectoral Price Rigidity and Aggregate Dynamics

“…11 More precisely, the ij s are computed using the Use Table, which contains the value of each input used by each U.S. industry, while the ij s are computed using the Capital Flow Table, which reports the purchases of new structures, equipment and software allocated by using industry. 12 By construction, ij ; ij 2 [0; 1] and…”

“…To this end, we adopt an analogous de…nition to that proposed by Bouakez and Rebei (2008) to measure exchange rate pass-through. We de…ne cost pass-through at horizon as…”

An Empirical Study on the Pass-Through Effect of RMB Nominal Effective Exchange Rate on Import Price

“…In practice, however, the exchange rate pass-through effect is not constant, but changes with time. In 1990s, many countries had experienced currency devaluation, but the economy of many industrialized countries did not seem to response, which prompted people to study on the stability of the pass-through effect of exchange rate to the price and the reasons why exchange rate pass-through effect declined universally and persistently [1] [2] [3]. As far as monetary policy is concerned, low exchange rate pass-through effect indicates that exchange rate fluctuations may lead to a lower expenditure-switching effect of domestic monetary policy.…”