A Threshold Vector Autoregression Model of Exchange Rate Pass-Through in Mexico
Résumé
Considering nonlinearities in the exchange rate pass-through to domesticprices, this paper estimates exchange rate pass-through in Mexico. We examine responses of domestic prices to a positive one unit exchange rate shock by estimating a threshold vector autoregression (TVAR) model. A monthly rate of inflation of 0.79% acts as a threshold. The exchange rate pass-through to domestic prices is statistically significant above the threshold level of the inflation rate and statistically insignificant below it.
Domaines
Economies et finances
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A._LAHIANI_A._ALEEM_publi2014_A_Threshold_Autoregression_Model_of_Exchange_rate_pass-through_HALSHS-01022416.pdf (133.22 Ko)
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