Conditional exchange rate pass-through : a DSGE model approach
Date
2019-03
Authors
Palleja, Mariano Joaquín
relationships.isContributorOfPublication
García-Cicco, Javier
Journal Title
Journal ISSN
Volume Title
Publisher
Universidad de San Andrés. Departamento de Economía
Abstract
El análisis del traspaso de tipo de cambio a precios como un fenómeno no condicional puede llevar a resultados erróneos, dada la potencial existencia de un problema de endogeneidad. En este trabajo se propone estimar un modelo dinámico y estocástico de equilibrio general para dos economías y analizar en qué grado sus coeficientes, a priori significativamente distintos, se deben a diferencias estructurales o a diferencias en los shocks enfrentados por cada una de ellas. La evidencia sugiere que, para los casos analizados, son los shocks y no los parámetros de la economía los que generan distintas medidas no condicionales.
Due to the potential existence of an endogeneity issue, assessing exchange rate pass-through as a non conditional phenomenon can lead to misleading conclusions. In this regard, this paper estimates for two economies a dynamic stochastic general equilibrium model, aiming to analyze to what extent their coefficients of pass-through, which are a priori significantly different, are either driven by structural discrepancies or by differences in the shocks each economy faces. Evidence suggests that the later effect predominates.
Due to the potential existence of an endogeneity issue, assessing exchange rate pass-through as a non conditional phenomenon can lead to misleading conclusions. In this regard, this paper estimates for two economies a dynamic stochastic general equilibrium model, aiming to analyze to what extent their coefficients of pass-through, which are a priori significantly different, are either driven by structural discrepancies or by differences in the shocks each economy faces. Evidence suggests that the later effect predominates.
Description
Fil: Palleja, Mariano Joaquín. Universidad de San Andrés. Departamento de Economía; Argentina.
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Citation
Palleja, M. J. (2019). Conditional exchange rate pass-through : a DSGE model approach. [Tesis de maestría, Universidad de San Andrés. Departamento de Economía]. Repositorio Digital San Andrés. http://hdl.handle.net/10908/17093