The Shocks Matter: Improving Our Estimates of Exchange Rate Pass-Through
The Shocks Matter: Improving Our Estimates of Exchange Rate Pass-Through
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冲击很重要：改进我们对汇率传导的估计
DOI：
10.2139/ssrn.2689737
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发表时间：
2015
期刊：
影响因子：
--
通讯作者：
Tsvetelina Nenova
中科院分区：
文献类型：
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作者：
Kristin Forbes;Ida Hjortsoe;Tsvetelina Nenova
货币政策面临的一个主要挑战是预测汇率变动将如何影响通货膨胀。我们提出一个新的重点：在评估汇率波动如何“传递”到进口和消费价格时，将引起汇率波动的潜在冲击纳入其中。我们表明，在一个标准的开放经济模型中，汇率和价格之间的关系取决于导致汇率变动的冲击。然后，我们开发了一个小型开放经济体的SVAR框架，依赖于短期和长期的识别限制与我们的理论模型一致。将这一框架应用于英国，我们发现，进口和消费价格对汇率波动的反应取决于引起波动的原因。例如，汇率传递在应对国内货币政策冲击时相对较大，而在应对国内需求冲击时较小。这一框架有助于解释为什么传递效应会随着时间的推移而改变，包括为什么英镑在危机后的贬值会导致价格比预期更大幅度的上涨，而英镑最近的升值却产生了更微弱的影响。
A major challenge for monetary policy has been predicting how exchange rate movements will impact inflation. We propose a new focus: incorporating the underlying shocks that cause exchange rate fluctuations when evaluating how these fluctuations ‘pass through’ into import and consumer prices. We show that in a standard open-economy model the relationship between exchange rates and prices depends on the shocks which cause the exchange rate to move. Then we develop an SVAR framework for a small open economy that relies on both short-run and long-run identification restrictions consistent with our theoretical model. Applying this framework to the United Kingdom, we find that the response of both import and consumer prices to exchange rate fluctuations depends on what caused the fluctuations. For example, exchange rate pass-through is relatively large in response to domestic monetary policy shocks, but smaller in response to domestic demand shocks. This framework helps explain why pass-through can change over time, including why sterling’s post-crisis depreciation caused a sharper increase in prices than expected and sterling’s recent appreciation has had a more muted effect.