文章基本信息

标题：A causality test of inflation environment and lower exchange rate pass-through
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作者：Reginaldo Pinto Nogueira, Jr.
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2014
卷号：34
期号：3
出版社：Economics Bulletin
摘要：Recent literature has argued that exchange rate pass-through (ERPT) into inflation has been declining following a dramatic change in inflation environment during the 1990s. We formally check this hypothesis for a sample of 12 emerging and developed economies, by making use of a state-space model that allows ERPT to be time-varying and dependent on the inflation environment, and testing whether inflation contains significant information about the future evolution of ERPT. The results reinforce the view of a smooth decline in the impact of exchange rates on inflation, but do not support the hypothesis that lower inflation precedes this declining ERPT.
关键词：Exchange Rate Pass-Through ; State-space Models ; Causality Tests.