High exchange-rate volatility and low pass-through
High exchange-rate volatility and low pass-through
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DOI：
10.1016/j.jmoneco.2008.05.013
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发表时间：
2008-09-01
影响因子：
4.1
通讯作者：
Leduc, Sylvain
中科院分区：
文献类型：
--
作者：
Corsetti, Giancarlo;Dedola, Luca;Leduc, Sylvain
开放经济模型的两个规范分别产生高汇率波动和低汇率传递(ERPT)。在模型中，价格歧视导致ERPT在短期和长期都是不完全的。短期内，少量的名义刚性足以大幅降低ERPT：尽管如此，汇率贬值仍会恶化贸易条件，这与证据一致。使用模型生成的时间序列研究了ERPT经验文献中遗漏变量和测量误差(由于数据限制)可能产生的偏差。对ERPT系数的估计可能与真实参数有很大不同，并且对推动经济的冲击很敏感。尽管如此，估计仍然可以发现模型的关键结构特征。(C)2008爱思唯尔B.V.保留所有权利。
Two specifications of an open-economy model are shown to generate high exchangerate volatility and low exchange-rate pass-through (ERPT). In the model, price discrimination causes ERPT to be incomplete in both the short and the long run. In the short run, a small amount of nominal rigidities is enough to reduce ERPT sharply: still, exchange-rate depreciation worsens the terms of trade, consistent with the evidence. Possible biases from omitted variables and measurement error in the ERPT empirical literature (due to data limitations) are investigated using model-generated time series. Estimates of ERPT coefficients can be quite different from true parameters, and are sensitive to the shocks driving the economies. Estimates can nonetheless detect key structural features of the models. (C) 2008 Elsevier B.V. All rights reserved.