Exchange Rate Pass-Through: A Generalization

Hamid Beladi, Avik Chakrabarti () and Sugata Marjit

No 9, Working Papers from College of Business, University of Texas at San Antonio

Abstract: The extent of exchange rate pass-through has been playing an increasingly pivotal role in the transmission of exchange rate shocks and adequate policy responses. We develop a model of exchange rate pass-through that allows the stochastic process of exchange rate to include the lagged values of the velocity of money. We show that the likelihood and extent of pass-through is sensitive to the lagged response.

Keywords: Exchange rate; Pass-through; Stochastic processes; Brownian motion. (search for similar items in EconPapers)
JEL-codes: C6 C62 F1 F3 F33 F42 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2010-03-30
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Exchange rate pass-through: A generalization (2010)
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