| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24773 |
| 来源ID | Working Paper 24773 |
| The Shocks Matter: Improving Our Estimates of Exchange Rate Pass-Through | |
| Kristin Forbes; Ida Hjortsoe; Tsvetelina Nenova | |
| 发表日期 | 2018-07-02 |
| 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 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; International Economics ; International Finance |
| URL | https://www.nber.org/papers/w24773 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582446 |
| 推荐引用方式 GB/T 7714 | Kristin Forbes,Ida Hjortsoe,Tsvetelina Nenova. The Shocks Matter: Improving Our Estimates of Exchange Rate Pass-Through. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24773.pdf（1542KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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