依赖于国家的汇率传递

IF 1.5 3区经济学 Q2 ECONOMICS

Oxford Bulletin of Economics and Statistics Pub Date : 2024-10-26 DOI:10.1111/obes.12645

Yan Carrière-Swallow, Melih Firat, Davide Furceri, Daniel Jiménez

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引用次数: 0

摘要

我们估计汇率对国内价格的传递率在不同的经济状态下是如何变化的，这取决于推动汇率波动的冲击。我们从文献中确认了一些结果，并发现了新的事实。根据过去30年发达经济体和新兴市场经济体的大量样本经验，我们发现，在不确定性增加和通胀高企的时期，汇率传递明显更大。使用一种新的识别策略，我们还表明，当汇率波动由美国货币政策驱动时，传递性更高。

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State-Dependent Exchange Rate Pass-Through

We estimate how the rate of pass-through from the exchange rate to domestic prices varies across states of the economy and depending on the shocks that drive fluctuations in the exchange rate. We confirm several results from the literature and uncover new facts. Drawing on the experience of a large sample of advanced and emerging market economies over the past 30 years, we document that exchange rate pass-through is significantly larger during periods of elevated uncertainty and when inflation is high. Using a novel identification strategy, we also show that pass-through is higher when exchange rate fluctuations are driven by U.S. monetary policy.

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来源期刊

Oxford Bulletin of Economics and Statistics 管理科学-统计学与概率论

CiteScore

5.10

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Whilst the Oxford Bulletin of Economics and Statistics publishes papers in all areas of applied economics, emphasis is placed on the practical importance, theoretical interest and policy-relevance of their substantive results, as well as on the methodology and technical competence of the research. Contributions on the topical issues of economic policy and the testing of currently controversial economic theories are encouraged, as well as more empirical research on both developed and developing countries.