State space models for the exchange rate pass-throughdeterminants and null/full pass-through hypotheses
Souza, Rafael Martins de; Maciel, Luiz Felipe Pires; Pizzinga, Adrian Heringer
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Resumo
In this article, we formulate linear Gaussian state space models for the estimation of the exchange rate pass-through of the Brazilian Real against the US Dollar, using monthly data from August 1999 to August 2008. The state space/Kalman filtering framework allows the investigation of some empirical aspects previously suggested in the literature, such as time-varying coefficients and null/full pass-through hypotheses. We also test whether some theoretical determinants' of the pass-through are statistically significant in the period considered. The principal findings are as follows: (1) the data offer strong support to a time-varying pass-through; and (2) the variance of the exchange rate pass-through, the monetary policy and the trade flow have shown to be relevant determinants of the exchange rate pass-through.
Ficha do documento
- Tipo
- Artigo científico
- Ano
- 2013
- Instituição
- Routledge Journals, Taylor & Francis Ltd
- Fonte
- Repositório da FGV
- Idioma
- Inglês
- Acesso
- Acesso restrito
- Identificador
- oai:repositorio.fgv.br:10438/23343
- Temas
- Economia
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