全球智库信息集成服务系统(G2TT): DP13037 The Shocks Matter: Improving our Estimates of Exchange Rate Pass-Through

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来源类型	Discussion paper
规范类型	论文
来源ID	DP13037
	DP13037 The Shocks Matter: Improving our Estimates of Exchange Rate Pass-Through
	Kristin Forbes; Ida Hjortsoe; Tsvetelina Nenova
发表日期	2018-07-04
出版年	2018
语种	英语
摘要	A major challenge for monetary policy is predicting how exchange rate movements will impact inflation. We propose a new focus: directly incorporating the underlying shocks that cause exchange rate fluctuations when evaluating how these fluctuations “pass through” to import and consumer prices. A standard open-economy model shows that the relationship between exchange rates and prices depends on the shocks which cause the exchange rate to move. We build on this to develop a structural Vector Autoregression (SVAR) framework for a small open economy and apply it to the UK. We show that prices respond differently to exchange rate movements based on what caused the movements. For example, exchange rate pass-through is low in response to domestic demand shocks and relatively high in response to domestic monetary policy shocks. This framework can improve our ability to estimate how pass-through can change over short periods of time. For example, it can explain why sterling’s post-crisis depreciation caused a sharper increase in prices than expected, while the effect of sterling’s 2013-15 appreciation was more muted. We also apply this framework to forecast the extent of pass-through from sterling’s sharp depreciation corresponding to the UK’s vote to leave the European Union.
主题	International Macroeconomics and Finance
关键词	Exchange rate pass-through Import prices Consumer prices inflation Vector autoregressions
URL	https://cepr.org/publications/dp13037
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/541843
推荐引用方式 GB/T 7714	Kristin Forbes,Ida Hjortsoe,Tsvetelina Nenova. DP13037 The Shocks Matter: Improving our Estimates of Exchange Rate Pass-Through. 2018.