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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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%.

Název v anglickém jazyce

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

Popis výsledku anglicky

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%.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2019

Kód důvěrnosti údajů

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

Název periodika

Journal of Advances in Economics and Finance

ISSN

2519-5999

e-ISSN

2519-5980

Svazek periodika

4/2019

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

TW - Čínská republika (Tchaj-wan)

Počet stran výsledku

9

Strana od-do

29-37

Kód UT WoS článku

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EID výsledku v databázi Scopus

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