New Keynesian Exchange Rate Pass-Through / / David Cook, Woon Choi

• Record Nr.: UNINA9910810967603321
• Autore: Cook David
• Pubbl/distr/stampa: Washington, D.C. : , : International Monetary Fund, , 2008
• ISBN: 1-4623-1442-2; 1-4527-0972-6; 9786612841644; 1-4518-7071-X; 1-282-84164-5
• Edizione: [1st ed.]
• Descrizione fisica: 1 online resource (27 p.)
• Collana: IMF Working Papers; IMF working paper ; ; WP/08/213
• Altri autori (Persone): ChoiWoon
• Disciplina: 332.450973
• Soggetti: Foreign exchange rates - United States - Econometric models; Phillips curve - Econometric models; Currency; Deflation; Exchange rate pass-through; Foreign Exchange; Foreign exchange; Import prices; Imports; Inflation; Macroeconomics; Price Level; Prices; Producer prices; Sticky prices; United States
• 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. The estimate of price stickiness in import prices is comparable to existing estimates of domestic price stickiness.