High exchange-rate volatility and low pass-through

• 成果类型: Article
• 署名作者: Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain
• 署名单位: Roma Tre University; Roma Tre University; European University Institute; European Central Bank; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.05.013
• 发表日期: 2008
• 页码: 1113-1128
• 关键词: DSGE models; International business cycle; Purchasing-power parity puzzle

摘要

Two specifications of an open-economy model are shown to generate high exchangerate volatility and low exchange-rate pass-through (ERPT). In the model, price discrimination causes ERPT to be incomplete in both the short and the long run. In the short run, a small amount of nominal rigidities is enough to reduce ERPT sharply: still, exchange-rate depreciation worsens the terms of trade, consistent with the evidence. Possible biases from omitted variables and measurement error in the ERPT empirical literature (due to data limitations) are investigated using model-generated time series. Estimates of ERPT coefficients can be quite different from true parameters, and are sensitive to the shocks driving the economies. Estimates can nonetheless detect key structural features of the models. (C) 2008 Elsevier B.V. All rights reserved.