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      The response of exchange rate pass-through to the macroeconomic environment

      Holmes, Mark J.
      DOI
       10.2174/1874915100902010001
      Link
       bentham.org
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      Citation
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      Holmes, M. J.(2009). The response of exchange rate pass-through to the macroeconomic environment. The Open Business Journal, 2, 1-6.
      Permanent Research Commons link: https://hdl.handle.net/10289/2054
      Abstract
      This paper offers new insights into the nature of exchange rate pass through modelling in the context of a Markov regime-switching environment. Using New Zealand data, the results indicate that pass through to import prices resulting from fluctuations in the exchange rate or exporter costs can be characterised as regime-specific. Furthermore, there is evidence that the probability of switching between higher and lower pass through regimes is significantly influenced by inflation where stable rates of inflation increase the probability of remaining in a low pass through regime.
      Date
      2009
      Type
      Journal Article
      Publisher
      Bentham Open
      Collections
      • Management Papers [1098]
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