Pass-through of exchange rates and purchasing power parity

• 成果类型: Article
• 署名作者: Feenstra, RC; Kendall, JD
• 署名单位: University of California System; University of California Davis; University of California System; University of California Berkeley; National Bureau of Economic Research; Nanyang Technological University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(96)01473-0
• 发表日期: 1997
• 页码: 237-261
• 关键词: purchasing power parity; pass-through; forward rate; interest rate differential

摘要

In this paper we develop and test two hypotheses about purchasing power parity (PPP). The first is that changes in the price of traded goods relative to domestic substitutes will affect the PPP relation, due to the partial pass-through of exchange rates. The second is that PPP should hold on forward rather than spot exchange rates, due to hedging by firms, which implies that the interest rate differential should enter the PPP relation for spot rates. Using quarterly data for several countries, we find support far both these hypotheses, though the magnitude of the interest rate effect is very small.