Exchange rate pass-through in small, open, commodity-exporting economies: Lessons from Canada

• 成果类型: Article
• 署名作者: Flaccadoro, Marco
• 署名单位: European Central Bank; Bank of Italy
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2024.103885
• 发表日期: 2024
• 关键词: prices; Exchange rates; pass-through; commodity prices; oil shocks

摘要

This paper analyses the exchange rate pass -through in small, open, commodity-exporting economies, taking Canada as a case study. I estimate it as being conditional on commodity shocks and compare the results with those of a standard approach, showing that the passthrough sign changes drastically across frameworks for consumer prices. My approach leads to a positive pass -through, thus implying a positive co-movement between exchange rate appreciation and consumer price inflation, conditional on the shocks. Conversely, standard models find a negative pass -through. I explain my findings by using the commodity-exporter characteristic of Canada and the nature of the shocks, which raise the demand for commodities. This, in turn, causes a currency appreciation and has inflationary effects domestically through higher commodity prices.