Time-varying exchange rate pass-through
Subtitle: experiences of  some industrial countries
By: by Toshitaka Sekine
Contributors: Bank for International Settlements. Monetary and Economic Department
Series: BIS working papers -- no. 202; BIS working papers (Online) -- no. 202.
Publisher: Bank for International Settlements
Published: 2006
Place of publication: Basel, Switzerland
Language: eng
Format: [electronic resource] :
Description: This paper estimates exchange rate pass-through of six major industrial countries using a time - varying parameter with stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices (first-stage pass-through) and those of import price movements to consumer prices (second-stage pass-through). The paper finds that both stages of pass-through have declined over time for all the sample countries. The decline in second-stage pass-through is associated with the emergence of the low and stable inflation environment as well as a rise in import penetration, while the relationship to the inflation environment is weak for first-stage pass-through.
Notes: Title from PDF file (viewed on May 31, 2006).

"Monetary and Economic Department."

"March 2006."

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.