Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach

Determining the exchange rate pass-through on inflation is a necessity for central banks as well as for firms and households. This is an apparently easy and intuitive task, but it faces high complexity and uncertainty. This paper examines the nature of th

Detalles Bibliográficos
Autores Principales: Rincón-Castro, Hernán, Rodríguez-Niño, Norberto
Formato: Documento de trabajo (Working Paper)
Lenguaje:Español (Spanish)
Publicado: Banco de la República 2016
Materias:
Acceso en línea:http://repositorio.banrep.gov.co/handle/20.500.12134/6241
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recordtype dspace
spelling oai:RI-BanRep:20.500.12134-62412019-04-16T16:29:44Z Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach Rincón-Castro, Hernán Rodríguez-Niño, Norberto C52 - Model Evaluation, Validation, and Selection F31 - Foreign Exchange E31 - Price Level; Inflation; Deflation E52 - Monetary Policy C51 - Model Construction and Estimation Exchange rate pass-through Pricing along the distribution chain Endogeneity Nonlinearity Asymmetry Logistic smooth transition VAR (LST-VAR) Bayesian approach Inflación Política monetaria Tipos de cambio Incertidumbre (Economía) C51 - Construcción de modelos y estimación C52 - Evaluación, contraste y selección de modelos E52 - Política monetaria F31 - Tipos de cambio E31 - Nivel de precios; Inflación; Deflación Determining the exchange rate pass-through on inflation is a necessity for central banks as well as for firms and households. This is an apparently easy and intuitive task, but it faces high complexity and uncertainty. This paper examines the nature of th 2016-03-02 2016-03-02 Working Paper Documentos de trabajo Published Version http://repositorio.banrep.gov.co/handle/20.500.12134/6241 http://hdl.handle.net/20.500.12134/6241 spa Documentos de Trabajo Borradores de Economía Borradores de Economía; No. 930 https://ideas.repec.org/p/bdr/borrec/930.html Open Access https://creativecommons.org/licenses/by-nc-sa/4.0/ Acceso abierto Atribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0 Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva. PDF application/pdf image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg image/jpeg Bogotá Banco de la República
institution Repositorio Institucional del Banco de la República de Colombia
collection DSpace
language Español (Spanish)
topic C52 - Model Evaluation, Validation, and Selection
F31 - Foreign Exchange
E31 - Price Level; Inflation; Deflation
E52 - Monetary Policy
C51 - Model Construction and Estimation
Exchange rate pass-through
Pricing along the distribution chain
Endogeneity
Nonlinearity
Asymmetry
Logistic smooth transition VAR (LST-VAR)
Bayesian approach
Inflación
Política monetaria
Tipos de cambio
Incertidumbre (Economía)
C51 - Construcción de modelos y estimación
C52 - Evaluación, contraste y selección de modelos
E52 - Política monetaria
F31 - Tipos de cambio
E31 - Nivel de precios; Inflación; Deflación
spellingShingle C52 - Model Evaluation, Validation, and Selection
F31 - Foreign Exchange
E31 - Price Level; Inflation; Deflation
E52 - Monetary Policy
C51 - Model Construction and Estimation
Exchange rate pass-through
Pricing along the distribution chain
Endogeneity
Nonlinearity
Asymmetry
Logistic smooth transition VAR (LST-VAR)
Bayesian approach
Inflación
Política monetaria
Tipos de cambio
Incertidumbre (Economía)
C51 - Construcción de modelos y estimación
C52 - Evaluación, contraste y selección de modelos
E52 - Política monetaria
F31 - Tipos de cambio
E31 - Nivel de precios; Inflación; Deflación
Rincón-Castro, Hernán
Rodríguez-Niño, Norberto
Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach
description Determining the exchange rate pass-through on inflation is a necessity for central banks as well as for firms and households. This is an apparently easy and intuitive task, but it faces high complexity and uncertainty. This paper examines the nature of th
format Documento de trabajo (Working Paper)
author Rincón-Castro, Hernán
Rodríguez-Niño, Norberto
author_facet Rincón-Castro, Hernán
Rodríguez-Niño, Norberto
author_sort Rincón-Castro, Hernán
title Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach
title_short Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach
title_full Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach
title_fullStr Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach
title_full_unstemmed Nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition VAR approach
title_sort nonlinear pass-through of exchange rate shocks on inflation : a bayesian smooth transition var approach
publisher Banco de la República
publishDate 2016
url http://repositorio.banrep.gov.co/handle/20.500.12134/6241
_version_ 1637301640381857792
score 12,131701