1.

Record Nr.

UNINA9910463600903321

Autore

Choi Woon Gyu

Titolo

New Keynesian exchange rate pass-through / / Woon Gyu Choi and David Cook ; authorized for distribution by Nadeem Haque

Pubbl/distr/stampa

[Washington, District of Columbia] : , : International Monetary Fund, , 2008

©2008

ISBN

1-4623-1442-2

1-4527-0972-6

9786612841644

1-4518-7071-X

1-282-84164-5

Descrizione fisica

1 online resource (27 p.)

Collana

IMF Working Papers

IMF working paper ; ; WP/08/213

Altri autori (Persone)

CookDavid

HaqueNadeem

Disciplina

332.450973

Soggetti

Foreign exchange rates - United States - Econometric models

Phillips curve - Econometric models

Electronic books.

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references.

Nota di contenuto

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



Sommario/riassunto

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. Th