Price Adjustment and Exchange Rate Pass-Through
Price Adjustment and Exchange Rate Pass-Through
复制标题
价格调整和汇率传导
DOI：
10.2139/ssrn.779846
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
James Yetman
中科院分区：
文献类型：
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作者：
M. Devereux;James Yetman
本文发展了一个简单的理论模型，可以用来解释汇率传递给消费者价格的决定因素。虽然最近的证据表明，在许多国家，对传染的估计较低，但对这一现象的解释几乎没有达成共识。本文认为，粘性价格是汇率传递的关键决定因素。我们的论证分为两个阶段。首先，保持价格变化的频率不变，我们表明我们的模型校准了来自低通胀国家的数据，可以再现这些国家的极低传递的估计。在这种情况下，低传递的主要决定因素是价格调整缓慢。然后，我们扩展模型以允许价格变化的频率是内生的。对更广泛的国家进行校正，包括低通胀和高通胀国家，我们表明，我们的模型表明，在平均通胀中，汇率传递正在增加，但速度在下降。在数据上执行相同的练习，我们发现模型的预测和数据之间的惊人对应。
This paper develops a simple theoretical model that can be used to account for the determinants of exchange rate pass-through to consumer prices. While recent evidence has found low estimates of pass-through in many countries, there is little consensus on an explanation for this. Our paper argues that sticky prices represent a key determinant of exchange rate pass-through. We make this argument in two stages. First, holding the frequency of price change constant, we show that our model calibrated to data from low-inflation countries can reproduce the estimates of very low pass-through for these countries. The principal determinant of low pass-through in this case is the slow adjustment of prices. We then extend the model to allow the frequency of price change to be endogenous. Calibrating to a wider set of countries, including both low-inflation and high-inflation countries, we show that our model implies that exchange rate pass-through is increasing in average inflation, but at a declining rate. Performing the identical exercise on the data, we find a striking correspondence between the predictions of the model and those of the data.
DOI：
--
发表时间：
2005
期刊：
影响因子：
--
作者：
CHINO;Tetsuro;Eiji Fujii;藤井英次
通讯作者：
藤井英次