Analysis on Exchange Rate Pass-Through with Evidence from Northeast Asia
نویسندگان
چکیده
This paper theoretically and emprically investigates the relationship between exchange rate and price level. By building a theoretical model, where the central bank tries to offset the fluctuation in exchange rate market, we show that the exchange rate pass-through might be positive , negative or unobvious.With the data of three major economies in Northeast Asia, i.e., China, Japan and ROK, we show that the evidences do support our theory sequentially by means of Restricted and MarkovSwitching Vector Autoregressive models.
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Aguerre, R.B., Fuertes, A. M. and Phylaktis, K. (2012), "Exchange Rate Pass-through into Import Prices Revisited", Journal of International Money, 31: 818-844. Bailliu, J. & Fujii, E. (2004). "Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation", Bank of Canada Working Paper No. 21. Carlsson, M., Lyhagen, J., and Österholm, P. (2007)...
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