Investigating the presence of a Nonlinear Exchange Rate Pass Through: A Markov Switching Model Approach

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F26482789%3A_____%2F19%3AN0000043" target="_blank" >RIV/26482789:_____/19:N0000043 - isvavai.cz</a>

Result on the web

<a href="http://www.isaacpub.org/images/PaperPDF/JAEF_100053_2019011709321570795.pdf" target="_blank" >http://www.isaacpub.org/images/PaperPDF/JAEF_100053_2019011709321570795.pdf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.22606/jaef.2019.41004" target="_blank" >10.22606/jaef.2019.41004</a>

Result language

angličtina

Original language name

Investigating the presence of a Nonlinear Exchange Rate Pass Through: A Markov Switching Model Approach

Original language description

The main aim of this paper was to estimate the exchange rate pass-through into import prices and the overall inflation rate in the Czech Republic in the light of the Czech National Bank exchange rate intervention policy. We used monthly data from 2000-2017 and used Markov Switching model, as developed by Hamilton (1989), in an attempt to capture the non-linear relationship of the exchange rate-pass through in different regimes of exchange rate intervention vs no intervention in the exchange rate by the CNB. The paper found the presence of two states in the economy and further found that although the exchange rate (ECzk/Eur) does not have a significant effect during state 1, the effect becomes significant in state 2 where the pass-through rate into Czech import prices is 42%. This pass-through did not follow into the overall inflation rate. Furthermore, we estimated an 86% probability of staying in state 2 when the economy is in state 2. This means that the Czech economy will spend considerably more time in state 2 where the pass-through into import prices is 42%.

Czech name

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Czech description

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Type

J_ost - Miscellaneous article in a specialist periodical

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2019

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Journal of Advances in Economics and Finance

ISSN

2519-5999

e-ISSN

2519-5980

Volume of the periodical

4/2019

Issue of the periodical within the volume

1

Country of publishing house

TW - TAIWAN (PROVINCE OF CHINA)

Number of pages

9

Pages from-to

29-37

UT code for WoS article

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EID of the result in the Scopus database

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