Has exchange rate pass-through really declined? Evidence from Canada

• 成果类型: Article
• 署名作者: Bouakez, Hafedh; Rebei, Nooman
• 署名单位: Universite de Montreal; HEC Montreal; Bank of Canada
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2007.12.004
• 发表日期: 2008
• 页码: 249-267
• 关键词: exchange rate pass-through; general equilibrium; maximum-likelihood estimation

摘要

Several empirical studies suggest that exchange rate pass-through has declined in recent years among industrialized countries. Results for Canada also indicate that import and consumer prices have become less responsive to exchange-rate movements in the 1990s. These findings are based on reduced-form regressions that are typically motivated by partial-equilibrium models of pricing. This paper uses instead a structural, general-equilibrium approach to test the premise that exchange rate pass-through has decreased in Canada. Our approach consists in estimating a dynamic stochastic general-equilibrium model for Canada over two sub-samples, which cover the periods before and after the adoption of inflation targeting by the Bank of Canada. We then use impulse-response analysis to assess the stability of exchange rate pass-through across the two sub-samples. Our results indicate that pass-through to Canadian import prices has been rather stable, while pass-through to Canadian consumer prices has declined in recent years. Counterfactual experiments reveal that the change in monetary policy regime is largely responsible for this decline. (C) 2008 Elsevier B.V. All rights reserved.