Incomplete pass-through and the welfare effects of exchange rate variability

• 成果类型: Article
• 署名作者: Sutherland, A
• 署名单位: University of St Andrews
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2004.01.005
• 发表日期: 2005
• 页码: 375-399
• 关键词: Monetary policy; welfare; pass-through; exchange rate variability; optimal policy

摘要

This paper considers the implications of incomplete exchange rate pass-through for optimal monetary and exchange rate policy. A two-country model is presented, which allows an explicit derivation of welfare functions in terms of a weighted sum of the second moments of producer prices and the nominal exchange rate. From a single country perspective, the optimal exchange rate variance depends on the degree of pass-through, the size and openness of the economy, the elasticity of labour supply and the volatility of foreign producer prices. Welfare may be decreasing or increasing in the volatility of the exchange rate. (c) 2004 Elsevier B.V. All rights reserved.