Investigating first‐stage exchange rate pass‐through: Sectoral and macro evidence from euro area countries

Cheikh, Nidhaleddine Ben; Rault, Christophe

doi:10.1111/twec.12499

Cited by 28 publications

(16 citation statements)

References 49 publications

(98 reference statements)

Supporting

Mentioning

Contrasting

Order By: Relevance

“…In a threshold regression, the transition from one regime to the next is instantaneous in the sense that the nonlinearity kicks in fully and immediately once the transition variable passes its threshold value, while in a smooth transition regression the transition across extreme regimes is gradual. The choice of one approach over another depends on whether the analysis is at the macro or microeconomic level as discussed in details by Ben Cheikh and Rault (2017). Within this context, since we employ micro-price data, we consider the following threshold regression:…”

Section: Data and Empirical Methodologymentioning

confidence: 99%

“…Within this literature, by estimating a nonlinear time series model for the U.S., Shintani, Terada-Hagiwara, and Yabu (2013) show that the period of low ERPT during the 1980s and 1990s is likely to be associated with low in ‡ation. Similarly, Cheikh and Louhichi (2016) show, using a panel threshold framework for 63 countries, that the class of countries with higher in ‡ation rates experiences higher degrees of ERPT; Ben Cheikh and Rault (2016) show, using logistic smooth transition models for …ve heavily indebted countries, that ERPT is higher when sovereign bond yield spreads exceed a given threshold;…”

Section: Introductionmentioning

confidence: 98%

See 1 more Smart Citation

Daily exchange rate pass-through into micro prices

Alvarez

Shoja

Uddin

et al. 2018

Applied Economics Letters

View full text Add to dashboard Cite

This paper estimates the exchange rate pass-through (ERPT) by using good-level daily data on wholesale prices of imported agricultural products, where the identi…cation is achieved by using daily data on the domestic in ‡ation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal exchange rate changes are above 0:55 percent, daily frequencies of price change are above 3:12 percent, and storage life of a product is above 10 weeks. Important policy implications follow.

show abstract

Section: Data and Empirical Methodologymentioning

confidence: 99%

Section: Introductionmentioning

confidence: 98%

Daily exchange rate pass-through into micro prices

Alvarez

Shoja

Uddin

et al. 2018

Applied Economics Letters

View full text Add to dashboard Cite

show abstract

“…Ben Cheikh & Rault (2017, pp. 2611-2638) study inking exchange rates with macroeconomic factors Their study aims to shed further light on the role of microeconomic factors vs. macroeconomic factors in influencing the extent of the exchange rate pass-through (ERPT).…”

Section: Literature Reviewmentioning

confidence: 99%

The impact of the exchange rate on the financial result of enterprises in the transport sector

Krawczyk¹,

Kokot-Stępień²

2020

EiP

View full text Add to dashboard Cite

Motivation: Transport is one of the most important elements that have a major impact on economic development in various countries around the world. Among the main factors that affect the evolution of transport is the development of consumerism, globalization, as well as the modernization of road infrastructure. There are more and more transport companies on the market, which is supported by the dynamic pace of life and the provision of services in the shortest possible time, at the lowest possible price. Therefore, transport companies are a very important economic link. Many factors affect their economic condition, one of them being the exchange rate. Aim: The aim of the article is to show the relationship between exchange rates and financial results of Polish enterprises in the transport sector. The analysis will show the profits and costs in relation to the exchange rates (Zloty to the Euro, US Dollar, British Pound and Swiss Franc). The expected research period will cover the years 2010-2017. Results: The basis of the conducted analyzes will examined the dependence of the financial result (including revenues and costs) on the exchange rates (USD/PLN, EUR/PLN,

show abstract

“…More specifically, countries with higher inflation rates tend also to have a higher degree of exchange‐rate pass‐through to prices. Ben Cheikh () and Ben Cheikh and Rault () explore the Taylor hypothesis in euro area countries and find mixed results, depending on the sample size…”

Section: Introductionmentioning

confidence: 99%

Nonlinear exchange‐rate pass‐through in emerging markets

Caselli

Roitman

2019

International Finance

View full text Add to dashboard Cite

This paper documents nonlinearities and asymmetries in the transmission of exchange rate fluctuations to prices in a panel of 27 emerging markets for the period 1990–2013. Using local projection techniques, we find evidence of asymmetry in the extent of exchange‐rate pass‐through during episodes of appreciation relative to episodes of depreciation. We then test for the presence of a threshold that can lead to nonlinearities when the exchange rate experiences a large depreciation. The findings suggest that the pass‐through becomes nonlinear when the exchange rate depreciates by more than 24%. We also find that, in line with the literature, the adoption of inflation targeting reduces the degree of exchange‐rate pass‐through. These results are robust to various econometric specifications that account for the presence of outliers and potential endogeneity concerns.

show abstract

Investigating first‐stage exchange rate pass‐through: Sectoral and macro evidence from euro area countries

Cited by 28 publications

References 49 publications

Daily exchange rate pass-through into micro prices

Daily exchange rate pass-through into micro prices

The impact of the exchange rate on the financial result of enterprises in the transport sector

Nonlinear exchange‐rate pass‐through in emerging markets

Contact Info

Product

Resources

About