Exchange rate pass-through: an analysis of a panel quantile regression

IF 0.9 Q3 ECONOMICS

Economics and Business Letters Pub Date : 2021-05-31 DOI:10.17811/EBL.10.2.2021.148-156

Yasemin Colak, L. Erden

引用次数: 0

Abstract

The purpose of this study is to examine the degree of exchange rate pass-through (ERPT) with the focus on Taylor (2000)’s hypothesis that asserts ERPT tends to be high (low) in high (low) inflation states. To this end, a panel quantile regression is applied to the data from 37 countries over the period of 1996-2018. The panel quantile regression allows us to capture the distributional heterogeneity in the ERPT coefficient and thus to directly address the question of whether the ERPT degree depends on the inflationary environment. The results indicate that ERPT is low (high) at low (high) quantiles of the inflation rate, supporting Taylor’s hypothesis. Keywords: Exchange rate pass-through, Taylor’s Hypothesis, Panel Quantile RegressionJEL Codes: C13, E31, F31

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汇率传递：一个面板分位数回归分析

本研究的目的是检验汇率通过度（ERPT），重点是Taylor（2000）的假设，即在高（低）通胀状态下，汇率通过度往往是高（低的）。为此，对1996-2018年期间37个国家的数据进行了面板分位数回归。面板分位数回归使我们能够捕捉ERPT系数的分布异质性，从而直接解决ERPT程度是否取决于通货膨胀环境的问题。结果表明，在通货膨胀率的低（高）分位数下，ERPT是低（低）的，这支持了泰勒的假设。关键词：汇率传递，泰勒假说，面板分位数回归JEL代码：C13，E31，F31

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics and Business Letters ECONOMICS-

CiteScore

1.80

自引率

11.10%

发文量

期刊介绍： Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.