Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach

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Borradores de Economía; No. 930

Date published

2016-03-02

Date

2016-03-02

Authors

Rincón-Castro, Hernán
Rodríguez-Niño, Norberto

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ISBN

Document language

spa
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The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

Determining the exchange rate pass-through on inflation is a necessity for central banks as well as for firms and households. This is an apparently easy and intuitive task, but it faces high complexity and uncertainty. This paper examines the nature of th

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JEL Codes

C52 - Model Evaluation, Validation, and Selection
F31 - Foreign Exchange
E31 - Price Level; Inflation; Deflation
E52 - Monetary Policy
C51 - Model Construction and Estimation

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Keywords

Keywords

Exchange rate pass-through , Pricing along the distribution chain , Endogeneity , Nonlinearity , Asymmetry , Logistic smooth transition VAR (LST-VAR) , Bayesian approach

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URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6241
 https://hdl.handle.net/20.500.12134/6241
 https://ideas.repec.org/p/bdr/borrec/930.html
 https://doi.org/10.32468/be.930

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