Time-Varying Exchange Rate Pass-Through: Experiences of Some Industrial Countries

2006 ◽  
Author(s):  
Toshitaka Sekine
Keyword(s):  
Exchange Rate ◽  
Time Varying ◽  
Industrial Countries ◽  
Pass Through ◽  
Exchange Rate Pass Through

scholarly journals A time-varying parameter VAR investigation of the exchange rate pass-through in Turkey

2016 ◽  
Vol 63 (5) ◽  
pp. 563-579
Author(s):  
Abdurrahman Çatık ◽  
Mehmet Karaçuka ◽  
Barış Gök
Keyword(s):  
Exchange Rate ◽  
Financial Crisis ◽  
Inflation Targeting ◽  
Time Varying ◽  
Macroeconomic Policies ◽  
Inflationary Phase ◽  
Time Varying Parameter ◽  
Exchange Rate Movements ◽  
Pass Through ◽  
Exchange Rate Pass Through

The effects of exchange rate movements on price levels have important implications to macroeconomic policies through the impacts on trade balance and inflation. In contrast to previous studies, we employ a VAR model with time-varying parameters to measure the magnitude of exchange rate pass-through (ERPT). The findings confirm the time-varying pattern in the ERPT, as the magnitude of ERPT has reached its maximum value during the 1994 financial crisis. The decline in the magnitude of ERPT has become more pronounced after the 2001 financial crisis as a result of the implementation of inflation targeting, which has shifted Turkey?s economy from a long lasting high inflationary phase to a low inflationary economic environment.

VIETNAM’s INCOMPLETE EXCHANGE RATE PASS-THROUGH

2020 ◽  
pp. 1-18
Author(s):  
PHAM THI THANH XUAN
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regime ◽  
Flexible Exchange Rate ◽  
Time Varying ◽  
Pass Through ◽  
Exchange Rate Pass Through

We measure exchange rate pass-through (ERPT) for Vietnam and find that Vietnam’s ERPT is low, incomplete, and time varying. Our results also indicate that during appreciation periods ERPT is modest, but that during downturns ERPT effects are much larger. Moreover, our results indicate that the flexible exchange rate regime has successfully anchored the ERPT.

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