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Article dans une revue Research in International Business and Finance Année : 2014

A Threshold Vector Autoregression Model of Exchange Rate Pass-Through in Mexico

Résumé

Considering nonlinearities in the exchange rate pass-through to domesticprices, this paper estimates exchange rate pass-through in Mexico. We examine responses of domestic prices to a positive one unit exchange rate shock by estimating a threshold vector autoregression (TVAR) model. A monthly rate of inflation of 0.79% acts as a threshold. The exchange rate pass-through to domestic prices is statistically significant above the threshold level of the inflation rate and statistically insignificant below it.
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halshs-01022416, version 1 (07-08-2014)

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Abdul Aleem, Amine Lahiani. A Threshold Vector Autoregression Model of Exchange Rate Pass-Through in Mexico. Research in International Business and Finance, 2014, 30, pp.24-33. ⟨10.1016/j.ribaf.2013.05.001⟩. ⟨halshs-01022416⟩
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