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오늘 본 자료
Nonlinear Exchange Rate Pass-Through : Does Business Cycle Matter?
( Nidhaleddine Ben Cheikh ),( Younes Ben Zaied ),( Houssam Bouzgarrou ),( Pascal Nguyen ) 세종대학교 경제통합연구소 2018 Journal of Economic Integration Vol.33 No.2
This paper investigates the nonlinear dynamics in the Exchange Rate Pass-Through of the Euro area. We implement the class of logistic smooth transition models to explore the role of the business cycle in driving nonlinearity. Using quarterly data over the period of January 1980 ~ April 2015, our results provide strong evidence of nonlinearity in 7 out of 10 Eurozone countries. We show that the exchange rate transmission to inflation respond to the economic activity in the nonlinear manner, that is, exchange rate pass-through is higher during expansion than recession periods. By monitoring the different patterns of growth and exchange rate pass-through, European monetary authorities could enhance inflation convergence within the Euro area.