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New Keynesian Exchange Rate Pass-Through / David Cook, Woon Choi.
- Format:
- Book
- Government document
- Author/Creator:
- Cook, David.
- Series:
- IMF Working Papers; Working Paper ; No. 2008/213
- IMF working paper ; WP/08/213
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Foreign exchange rates--United States--Econometric models.
- Foreign exchange rates.
- Phillips curve--Econometric models.
- Phillips curve.
- Physical Description:
- 1 online resource (27 p.)
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2008.
- Language Note:
- English
- Summary:
- Using the theory of optimal local currency pricing, this paper constructs a structural equation to estimate the rate at which foreign producer prices pass through the local currency prices of imported goods in the U.S. This can be viewed as measuring exchange rate pass-through, in line with price stickiness in the New Keynesian Phillips curve literature. We estimate the structural equation using the generalized methods of moments for consistent estimates of exchange rate pass-through. We find that a model with a mix of local currency pricing and producer currency pricing fits the data best. The estimate of price stickiness in import prices is comparable to existing estimates of domestic price stickiness.
- Contents:
- Contents; I. Introduction; II. The Model; III. The Data; Figures; 1. The Trade-Weighted Index of the Relative Prices; 2. U.S. Import Price Inflation and Foreign PPI Inflation; IV. Estimated Results; A. Defining Exchange Rate Pass-through; B. Benchmark Regressions; Tables; 1. Estimation Results of the Pass-Through Effect Model; C. Estimating Pass-Though Effects for a Sub-sample Period; D. Robustness Checks: Alternative Specification; 2. Estimating the Pass-through Effect Model: Alternative Specifications; E. Pass-through Effect Model with a Mix of LCP and PCP
- 3. Estimating the Pass-through Effect Model: A Mix of LCP and PCPF. Regional Models and Country Specific Exports; 4. Regional Pass-through Effect Model: A Mix of LCP and PCP; V. Conclusion; References; Appendix
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on online resource; title from PDF front page (ebrary, viewed February 26, 2014).
- ISBN:
- 9786612841644
- 9781462314423
- 1462314422
- 9781452709727
- 1452709726
- 9781451870718
- 145187071X
- 9781282841642
- 1282841645
- OCLC:
- 762684955
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