Explaining the exchange rate pass-through in different prices

• 成果类型: Article
• 署名作者: Choudhri, EU; Faruqee, H; Hakura, DS
• 署名单位: International Monetary Fund; Carleton University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2004.02.004
• 发表日期: 2005
• 页码: 349-374
• 关键词: exchange rate pass-through; new open economy macroeconomic models; nominal rigidities; local currency pricing; Distribution costs

摘要

This paper examines the performance of a variety of new open economy macroeconomic models in explaining the exchange rate pass-through in a wide range of prices. Quantitative versions of different models are used to derive the dynamic response of various prices to an exchange rate shock. Predicted responses are compared with the evidence based on VAR models to examine how well different models fit the data. The results show that the best-fitting model incorporates a number of features highlighted by different strands of the literature: sticky prices, sticky wages, distribution costs and a combination of local (LCP) and producer currency pricing (PCP). (c) 2004 Elsevier B.V. All rights reserved.