The Pass-Through from Depreciation to Inflation: A Panel Study

Goldfajn, Ilan; Werlang, Sérgio Ribeiro da Costa

doi:10.2139/ssrn.224277

Cited by 144 publications

(121 citation statements)

References 11 publications

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“…Contrary to early estimations (e.g. Borensztein and de Gregorio (1999), Calvo and Reinhart (2000), Goldfajn and Werlang (2000)), we find that the pass-throughs in the emerging floaters have typically been moderate and that, in some respects the effects of the exchange rates in these countries resemble those found in developed economies with floating exchange rate regimes. Pass-throughs are very far from being complete even in the long run and we find no evidence that variations in domestic price levels feed straight back into exchange rate variations.…”

Section: Introductioncontrasting

confidence: 99%

Emerging floaters: Pass-throughs and (some) new commodity currencies

Kohlscheen

2010

Journal of International Money and Finance

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In spite of early skepticism on the merits of floating exchange rate regimes in emerging markets, 8 of the 25 largest countries in this group have now had a floating exchange rate regime for more than a decade. Using parsimonious VAR specifications covering the period of floating exchange rates, this study finds that exchange rate pass-throughs to consumer price indices in these emerging floaters have typically been moderate even though emerging floaters have seen considerable nominal and real exchange rate volatilities. Previous studies that set out to estimate exchange rate pass-throughs ignored changes in policy regimes, making them vulnerable to the Lucas critique. We find that, within the group of emerging floaters, estimated pass-throughs are higher for countries with greater nominal exchange rate volatilities and that trade more homogeneous goods. These findings are consistent with the pass-through model of Floden and Wilander (2006) and earlier findings by Campa and Goldberg (2005), respectively. Furthermore, we find that the Indonesian Rupiah, the Thai Baht and possibly the Mexican Peso are commodity currencies, in the sense that their real exchange rates are cointegrated with international commodity prices.

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Section: Introductioncontrasting

confidence: 99%

Emerging floaters: Pass-throughs and (some) new commodity currencies

Kohlscheen

2010

Journal of International Money and Finance

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“…Some of the most striking macro evidence of a weak correlation between exchange rate depreciation and inflation comes from case studies of episodes in which even highly open economies experienced little upward pressure on inflation following large depreciations of their currencies (Lafleche, 1996(Lafleche, /1997Cunningham and Haldane, 2000;Goldfajn and Werlang 2000;Gagnon, 2004;Burnstein, Eichenbaum, and Rebelo, 2007 The case study evidence has been confirmed by time series analysis. Gagnon and Ihrig (2004), for example, estimated pass-through to consumer prices for a broad set of industrial countries using data over the 1971-2002 period.…”

Section: Recent Macro Evidence: Pass-through To Consumer Pricesmentioning

confidence: 96%

Exchange Rate Pass-Through And Monetary Policy

Mishkin

2008

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“…The transmission of exchange rate depreciations to domestic prices would be lower during an economic slowdown. Goldfajn and Werlang (2000), estimating a panel data model for 71 countries, have found that depreciations have a higher pass-through to prices when the economy is booming. In the case of Brazil, Carneiro et al (2002) have found similar results estimating a backward-looking Phillips curve with the pass-through coefficient as a function of unemployment rate and real exchange rate level.…”

Section: Introductionmentioning

confidence: 99%

Nonlinear mechanisms of the exchange rate pass-through: a Phillips curve model with threshold for Brazil

Correa¹,

Minella²

2010

Rev. Bras. Econ.

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ContentsThis paper investigates the presence of nonlinear mechanisms of pass-through from the exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the pass-through. The paper examines whether the short-run magnitude of the pass-through is affected by the business cycle, direction and magnitude of exchange rate changes, and exchange rate volatility. The results indicate that the short-run pass-through is higher when the economy is growing faster, when the exchange rate depreciates above some threshold and when exchange rate volatility is lower. Este trabalho investiga a presença de mecanismos não-lineares de

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The Pass-Through from Depreciation to Inflation: A Panel Study

Cited by 144 publications

References 11 publications

Emerging floaters: Pass-throughs and (some) new commodity currencies

Emerging floaters: Pass-throughs and (some) new commodity currencies

Exchange Rate Pass-Through And Monetary Policy

Nonlinear mechanisms of the exchange rate pass-through: a Phillips curve model with threshold for Brazil

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