Daily exchange rate pass-through into micro prices
| Autor: | Hakan Yilmazkuday, Renzo Alvarez, Syed Al-Helal Uddin, Amin Shoja |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Economics and Econometrics
050208 finance Financial economics business.industry 05 social sciences Exchange-rate pass-through Monetary economics Product (business) Identification (information) Exchange rate Agriculture Inflation rate Price change 0502 economics and business Econometrics Economics 050207 economics business |
| Zdroj: | Applied Economics Letters. 26:440-445 |
| ISSN: | 1466-4291 1350-4851 |
| Popis: | This paper estimates the exchange rate pass-through (ERPT) by using good-level daily data on wholesale prices of imported agricultural products, where the identification is achieved by using daily data on the domestic inflation rate. The results of standard empirical analyses are in line with existing studies that employ lower frequencies of data by showing evidence for incomplete daily ERPT of about 5 percent. The key innovation is achieved when nonlinearities in ERPT are considered, where ERPT is doubled to about 10 percent when daily nominal exchange rate changes are above 0.55 percent, daily frequencies of price change are above 3.12 percent, and storage life of a product is above 10 weeks. Important policy implications follow. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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